Participating life insurance policies: an accurate and efficient parallel software for COTS clusters

Abstract

In this paper we discuss the development of a parallel software for the numerical simulation of Participating Life Insurance Policies in distributed environments. The main computational kernels in the mathematical models for the solution of the problem are multidimensional integrals and stochastic differential equations. The former is solved by means of Monte Carlo method combined with the Antithetic Variates variance reduction technique, while differential equations are approximated via a fully implicit, positivity-preserving, Euler method. The parallelization strategy we adopted relies on the parallelization of Monte Carlo algorithm. We implemented and tested the software on a PC Linux cluster

Financial Evaluation of Life Insurance Policies in High Performance Computing Environments

“…The choice was due to the observation that the use of cluster of personal computers and workstations as platforms for running high performance applications in financial undertakings widely increased, mainly due to their cost-effective nature. This research activity is described in [14].…”