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Parallel Simulations for Analysing Portfolios of Catastrophic Event Risk
Company: 2012 SC Companion: High Performance Computing, Networking, Storage and Analysis
Company Url: Click here to open
Year Of Publication: 2012
Month Of Publication: November
Resource Link: Click here to open
Pages: 1176-1184
Download Count: 0
View Count: 1306
Comment Num: 0
Language: English
Source: conference proceedings
Who Can Read: Free
Date: 4-20-2013
Publisher: Administrator
Summary
In this paper, we explore parallel methods for aggregate risk analysis. A parallel aggregate risk analysis algorithm and an engine based on the algorithm is proposed. This engine is implemented in C and OpenMP for multi-core CPUs and in C and CUDA for many-core GPUs. Performance analysis of the algorithm indicates that GPUs offer an alternative HPC solution for aggregate risk analysis that is cost effective. The optimised algorithm on the GPU performs a 1 million trial aggregate simulation with 1000 catastrophic events per trial on a typical exposure set and contract structure in just over 20 seconds which is approximately 15x times faster than the sequential counterpart. This can sufficiently support the real-time pricing scenario in which an underwriter analyses different contractual terms and pricing while discussing a deal with a client over the phone.
Author(s)
Varghese, Blesson Sign in to follow this author
Bahl, Aman Kumar Sign in to follow this author
Baltzer, Oliver Sign in to follow this author
Rau-Chaplin, Andrew Sign in to follow this author
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