Valuing Multirisk Catastrophe Reinsurance Based on the Cox–Ingersoll–Ross (CIR) Model

Table 5

Effect of dependence .

Quantile	Mean	0.5	0.75	0.9	0.95	0.99	0.9999
= 0.5485	87.605	11.656	10.368	250.793	378.791	779.679	7100.907
= 2.5485	93.532	13.952	112.451	264.075	403.031	805.368	6051.593
= 4.5485	96.980	14.739	117.958	275.371	414.009	844.241	7098.610

Note: the simulation times are 100,000.