| 来源类型 | Monograph (IIASA Interim Report) |
| 规范类型 | 报告 |
| Pricing the Risk-Transfer Financial Instruments via Monte Carlo Methods. | |
| Romaniuk M | |
| 发表日期 | 2002 |
| 出版者 | IIASA, Laxenburg, Austria: IR-02-065 |
| 出版年 | 2002 |
| 语种 | 英语 |
| 摘要 | 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. |
| 主题 | Risk, Modeling and Society (RMS) |
| URL | http://pure.iiasa.ac.at/id/eprint/6722/ |
| 来源智库 | International Institute for Applied Systems Analysis (Austria) |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/125142 |
| 推荐引用方式 GB/T 7714 | Romaniuk M. Pricing the Risk-Transfer Financial Instruments via Monte Carlo Methods.. 2002. |
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| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| IR-02-065.pdf（362KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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