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Participating life insurance policies: an accurate and efficient parallel software for COTS clusters. (English) Zbl 1253.91188
Summary: We discuss the development of a parallel software for the numerical simulation of participating life insurance policies in distributed environments. The main computational kernels in the mathematical models for the solution of the problem are multidimensional integrals and stochastic differential equations. The former is solved by means of Monte Carlo method combined with the Antithetic Variates variance reduction technique, while differential equations are approximated via a fully implicit, positivity-preserving, Euler method. The parallelization strategy we adopted relies on the parallelization of Monte Carlo algorithm. We implemented and tested the software on a PC Linux cluster.
MSC:
91G60 Numerical methods (including Monte Carlo methods)
68W15 Distributed algorithms
60H35 Computational methods for stochastic equations (aspects of stochastic analysis)
65C05 Monte Carlo methods
68W10 Parallel algorithms in computer science
91-08 Computational methods for problems pertaining to game theory, economics, and finance
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