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

DOI10.1016/S0167-8191(99)00119-2MaRDI QIDQ1978669zbMATHOpenAlexFDO

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

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)

Recommendations

• High-Performance Computing for Asset-Liability Management
• 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
• Bank asset and liability management under uncertainty

Cited in

(4)

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

Describes a project that uses

Uses Software

• MSLiP
• EVPI
• PETSc

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