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Achieving Speedup in Aggregate Risk Analysis using Multiple GPUs
Year Of Publication: 2013
Month Of Publication: August
Resource Link: Click here to open
Pages: 8
Download Count: 0
View Count: 1616
Comment Num: 0
Language: English
Source: working paper
Who Can Read: Free
Date: 8-17-2013
Publisher: Administrator
Summary
Stochastic simulation techniques employed for the analysis of portfolios of insurance/reinsurance risk, often referred to as `Aggregate Risk Analysis', can benefit from exploiting state-of-the-art high-performance computing platforms. In this paper, parallel methods to speed-up aggregate risk analysis for supporting real-time pricing are explored. An algorithm for analysing aggregate risk is proposed and implemented for multi-core CPUs and for many-core GPUs. Experimental studies indicate that GPUs offer a feasible alternative solution over traditional high-performance computing systems. A simulation of 1,000,000 trials with 1,000 catastrophic events per trial on a typical exposure set and contract structure is performed in less than 5 seconds on a multiple GPU platform. The key result is that the multiple GPU implementation can be used in real-time pricing scenarios as it is approximately 77x times faster than the sequential counterpart implemented on a CPU.
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Author(s)
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
Varghese, Blesson Sign in to follow this author
Whiteway, Aaron Sign in to follow this author
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