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- W2952807840 abstract "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." @default.
- W2952807840 created "2019-06-27" @default.
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- W2952807840 date "2013-08-12" @default.
- W2952807840 modified "2023-09-23" @default.
- W2952807840 title "Achieving Speedup in Aggregate Risk Analysis using Multiple GPUs" @default.
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- W2952807840 doi "https://doi.org/10.48550/arxiv.1308.2572" @default.
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