Abstract
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.
Originalsprache | englisch |
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Seiten (von - bis) | 197-211 |
Seitenumfang | 15 |
Fachzeitschrift | Monte Carlo methods and applications |
Jahrgang | 10 |
Ausgabenummer | 3-4 |
DOIs | |
Publikationsstatus | Veröffentlicht - 1 Jan. 2004 |
ASJC Scopus subject areas
- Statistik und Wahrscheinlichkeit
- Angewandte Mathematik