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Licensed Unlicensed Requires Authentication Published by De Gruyter May 9, 2008

QMC techniques for CAT bond pricing*

Hansjörg Albrecher, Jürgen Hartinger and Robert F. Tichy
From the journal

Pricing of catastrophe bonds leads to integrals with discontinuous and formally infinite-dimensional integrands. We investigate the suitability of Quasi-Monte Carlo methods for the numerical evaluation of these integrals and develop several variance-reduction algorithms. Furthermore, the performance of Quasi-Monte Carlo sequences for asymptotically efficient rare event simulation is examined. Various numerical illustrations are given.

Published Online: 2008-05-09
Published in Print: 2004-12

© de Gruyter 2004

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