Multivariate approximation methods for the pricing of catastrophe-linked bonds

MaRDI QIDQ4440831zbMATH OpenFDO

Authors Jürgen Hartinger, Robert F. Tichy, Hansjörg Albrecher

Publication date 1 March 2004

zbMATH Keywords

basis riskdefault riskFaure sequenceshigh-dimensional integralsHolton sequencelow-discrepancy sequencesnumerical examplespricing of default-risky catastrophe-linked bondsquasi Monte Carlo integrationSobol sequencestochastic interest rates

Mathematics Subject Classification ID

Irregularities of distribution, discrepancy (11K38) Pseudo-random numbers; Monte Carlo methods (11K45) Monte Carlo methods (65C05) Microeconomic theory (price theory and economic markets) (91B24)

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Cited in

(3)

• Pricing zero-coupon catastrophe bonds using EVT with doubly stochastic Poisson arrivals
• Pricing the Risk-Transfer financial Instruments via Monte Carlo Methods
• Imprecise Approaches to Analysis of Insurance Portfolio with Catastrophe Bond

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