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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.
Keywords: Quasi-Monte Carlo; insurance linked securities; rare events; importance sampling; variation reduction
Published Online: 2008-05-09
Published in Print: 2004-12
© de Gruyter 2004
