Pricing index-based catastrophe bonds: Part 1: Formulation and discretization issues using a numerical PDE approach.

André J. A. Unger

Published in: Comput. Geosci. (2010)

Keyphrases

partial differential equations
numerical methods
key issues
database
objective function
critical points
numerical data
numerical attributes
numerical algorithms
data structure
level set
index structure
sensitivity analysis
numerical analysis
optimal pricing