Abstract
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.
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The study was partially supported by the grant of the President of Ukraine for the support of scientific studies of young scientists, No. GP/F49/121.
Translated from Kibernetika i Sistemnyi Analiz, No. 2, March–April, 2014, pp. 112–125.
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Norkin, B.V. Systems Simulation Analysis and Optimization of Insurance Business. Cybern Syst Anal 50, 260–270 (2014). https://doi.org/10.1007/s10559-014-9613-9
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DOI: https://doi.org/10.1007/s10559-014-9613-9