Pricing the Risk-Transfer Financial Instruments via Monte Carlo Methods

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http://eprints.org/relation/isVersionOf https://pure.iiasa.ac.at/id/document/4830 http://eprints.org/relation/isVolatileVersionOf https://pure.iiasa.ac.at/id/document/4830 http://eprints.org/relation/isCoversheetVersionOf https://pure.iiasa.ac.at/id/document/4830 archive 351 disk0/00/00/67/22 2016-01-15 02:14:36 2021-08-27 17:17:54 2016-01-15 02:14:36 monograph show 2 Romaniuk M. 7982 Pricing the Risk-Transfer Financial Instruments via Monte Carlo Methods pub iis_met iis_rsp prog_rms 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. 2002-09 published IR-02-065 IR-02-065 1539 public interim_report IIASA, Laxenburg, Austria 30 FALSE info:eu-repo/semantics/book