Systems Simulation Analysis and Optimization of Insurance Business
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Problems of computational actuarial mathematics, dynamic financial analysis, and optimization of insurance business and the possibility of their solution by means of parallel computing on graphics accelerators are discussed. The ruin probability and other performance criteria of an insurance company are estimated by the Monte Carlo method. In many cases, it is the only applicable method. Since the ruin probability is small enough, to achieve an acceptable estimate accuracy, an astronomical number of simulations may be required. Parallelization of the Monte Carlo method and the use of graphical accelerators allow us getting the desired result in a reasonable time. The results of numerical experiments on the developed system of actuarial modeling are presented, allowing the use of graphical accelerator that supports Nvidia CUDA 1.3 and higher.
Keywordscomputational actuarial mathematics dynamic financial analysis simulation modeling optimization of insurance business risk process ruin probability efficient frontier parallel computing Monte Carlo method GPGPU CUDA
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