Abstract:Abstract-Stochastic simulation techniques employed for the analysis of portfolios of insurance/reinsurance risk, often referred to as 'Aggregate Risk Analysis', can benefit from exploiting state-of-the-art high-performance computing platforms. In this paper, parallel methods to speed-up aggregate risk analysis for supporting real-time pricing are explored. An algorithm for analysing aggregate risk is proposed and implemented for multi-core CPUs and for many-core GPUs. Experimental studies indicate that GPUs of… Show more
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