Systems simulation analysis and optimization of insurance business

DOI10.1007/S10559-014-9613-9MaRDI QIDQ2263261zbMATH OpenOpenAlexFDO

Authors B. V. Norkin

Publication date 18 March 2015

Published in Cybernetics and Systems Analysis (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s10559-014-9613-9

zbMATH Keywords

Monte Carlo methodparallel computingruin probabilityCUDAGPGPUefficient frontierrisk processsimulation modelingcomputational actuarial mathematicsdynamic financial analysisoptimization of insurance business

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Numerical methods (including Monte Carlo methods) (91G60) Stochastic systems in control theory (general) (93E03)

Recommendations

• scientific article; zbMATH DE number 3982373
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• SIMULATION OPTIMIZATION: APPLICATIONS IN RISK MANAGEMENT
• The insurance process simulation by Monte Carlo method
• Mathematical modeling of the dynamics of an insurance company based on macro indicators
• Modeling and asymptotic analysis of insurance company performance

Cites work

• scientific article; zbMATH DE number 5947643 (Why is no real title available?)
• scientific article; zbMATH DE number 5299204 (Why is no real title available?)
• scientific article; zbMATH DE number 2122817 (Why is no real title available?)
• scientific article; zbMATH DE number 5223066 (Why is no real title available?)
• A parallel ant colony optimization algorithm based on fine-grained model with GPU-accelerated
• Mathematical models for insurance business optimization
• On the optimization of portfolios of insurance contracts
• Optimization of risk processes
• Parallel processors for planning under uncertainty
• Probability Inequalities for Sums of Bounded Random Variables
• Some mathematical aspects of reinsurance
• Statistical Tools for Finance and Insurance

Cited in

(1)

• Stochastic optimal control of risk processes with Lipschitz payoff functions

Describes a project that uses

Uses Software

• DRNG
• cuRAND
• CPLEX
• CUDA

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