A Cray T3E implementation of a parallel stochastic dynamic assets and liabilities management model

DOI10.1016/S0167-8191(99)00119-2zbMATH Open0939.91052OpenAlexW2145885871MaRDI QIDQ1978669FDOQ1978669

Authors: Yanyan Li 

Publication date: 4 June 2000

Published in: Parallel Computing (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0167-8191(99)00119-2

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• High-Performance Computing for Asset-Liability Management
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zbMATH Keywords

financial modelparallel simulationasset liability managementCray T3E

Mathematics Subject Classification ID

Performance evaluation, queueing, and scheduling in the context of computer systems (68M20) Computer system organization (68M99)

Cited In (4)

• High-Performance Computing for Asset-Liability Management
• The AURORA financial management system: Model and parallel implementation design
• On parallel asset-liability management in life insurance: a forward risk-neutral approach
• Efficient deterministic numerical simulation of stochastic asset-liability management models in life insurance

Uses Software

• MSLiP
• EVPI
• PETSc

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