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

DOI10.1007/S10287-009-0100-0MaRDI QIDQ693200zbMATH OpenOpenAlexWikidataFDO

Authors Stefania Corsaro, Pasquale L. De Angelis, Zelda Marino, Francesca Perla

Publication date 7 December 2012

Published in Computational Management Science (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s10287-009-0100-0

zbMATH Keywords

Monte Carlo methodparallel computinglife insurance policies

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Numerical methods (including Monte Carlo methods) (91G60) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Parallel algorithms in computer science (68W10) Distributed algorithms (68W15) Computational methods for problems pertaining to game theory, economics, and finance (91-08)

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• scientific article; zbMATH DE number 5252498

Cites work

• scientific article; zbMATH DE number 1999206 (Why is no real title available?)
• A fast, high quality, and reproducible parallel lagged-Fibonacci pseudorandom number generator
• A theory of the term structure of interest rates
• Credit default swap calibration and derivatives pricing with the SSRD stochastic intensity model
• Market Based Tools for Managing the Life Insurance Company
• On high-performance software development for the numerical simulation of life insurance policies
• On the Periods of Generalized Fibonacci Recurrences
• On the discretization schemes for the CIR (and Bessel squared) processes
• TestU01
• The pricing of options and corporate liabilities

Cited in

(2)

• On high-performance software development for the numerical simulation of life insurance policies
• On parallel asset-liability management in life insurance: a forward risk-neutral approach

Describes a project that uses

Uses Software

• SPRNG
• DCDFLIB
• TestU01
• Diehard

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