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

DOI10.1007/S10287-009-0100-0zbMATH Open1253.91188OpenAlexW2116925137WikidataQ113444979 ScholiaQ113444979MaRDI QIDQ693200FDOQ693200

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

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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)

Cites Work

• The pricing of options and corporate liabilities
• A theory of the term structure of interest rates
• Title not available (Why is that?)
• Credit default swap calibration and derivatives pricing with the SSRD stochastic intensity model
• On the discretization schemes for the CIR (and Bessel squared) processes
• TestU01
• A fast, high quality, and reproducible parallel lagged-Fibonacci pseudorandom number generator
• On high-performance software development for the numerical simulation of life insurance policies
• On the Periods of Generalized Fibonacci Recurrences
• Market Based Tools for Managing the Life Insurance Company

Cited In (2)

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

Uses Software

• SPRNG
• DCDFLIB
• TestU01
• Diehard

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