Pricing the risk-transfer financial instruments via Monte Carlo methods

Authors:
Maciej Romaniuk
Affiliations:
Systems Research Institute Polish Academy of Sciences, ul. Newelska 6, 01-447 Warszawa, Poland
Venue:
Systems Analysis Modelling Simulation
Year:
2003

Citing 2
Cited 0

Mersenne twister: a 623-dimensionally equidistributed uniform pseudo-random number generator

ACM Transactions on Modeling and Computer Simulation (TOMACS) - Special issue on uniform random number generation
Monte Carlo Statistical Methods (Springer Texts in Statistics)

Monte Carlo Statistical Methods (Springer Texts in Statistics)

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Abstract

The article is devoted to finding the present value of catastrophe bonds using a combination of Monte Carlo and Iterative Stochastic Equation methods. Apart from general methodology, three practical examples of catastrophe bonds connected with earthquakes are also considered. For these examples algorithms in pseudocode with procedures originated from catastrophe simulation software are provided. The methodology presented in this article may be also used for other types of risk-transfer financial instruments. Some of these possibilities are described.