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On high-performance software development for the numerical simulation of life insurance policies. (English) Zbl 1147.91339
Appleby, John A. D. et al., Numerical methods for finance. Selected papers based on the presentations at the international conference on ‘Numerical methods for finance’ Dublin, Ireland, June 2006. Boca Raton, FL: Chapman & Hall/CRC (ISBN 978-1-58488-925-0/hbk). 87-111 (2008).
Summary: In this work we focus on the numerical issues involved in evaluating an important class of financial derivatives: participating life insurance contracts. We investigate the impact of different numerical methods on accuracy and efficiency in the solution of main computational kernels generally arising from mathematical models describing the financial problem. The main kernels involved in the evaluation of these financial derivatives are multidimensional integrals and stochastic differential equations. For this reason we consider different Monte Carlo simulations and various stochastic-differential-equation discretization schemes. We have established that a combination of the Monte Carlo method with the antithetic variates variance-reduction technique and the fully implicit Euler scheme developed by D. Brigo and A. Alfonsi [Finance Stoch. 9, No. 1, 29–42 (2005; Zbl 1065.60085)] provides high efficiency and good accuracy.
For the entire collection see [Zbl 1134.91002].

91B30 Risk theory, insurance (MSC2010)