Pricing the Risk-Transfer Financial Instruments via Monte Carlo Methods

Romaniuk M (2002). Pricing the Risk-Transfer Financial Instruments via Monte Carlo Methods. IIASA Interim Report. IIASA, Laxenburg, Austria: IR-02-065

[img]
Preview
Text
IR-02-065.pdf

Download (371kB) | Preview

Abstract

The paper 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 paper maybe also used for other types of risk-transfer financial instruments. Some of these possibilities are described.

Item Type: Monograph (IIASA Interim Report)
Research Programs: Risk, Modeling and Society (RMS)
Depositing User: IIASA Import
Date Deposited: 15 Jan 2016 02:14
Last Modified: 25 Oct 2016 05:27
URI: http://pure.iiasa.ac.at/6722

Actions (login required)

View Item View Item

International Institute for Applied Systems Analysis (IIASA)
Schlossplatz 1, A-2361 Laxenburg, Austria
Phone: (+43 2236) 807 0 Fax:(+43 2236) 71 313