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Financial Evaluation of Life Insurance Policies in High Performance Computing Environments

  • Stefania Corsaro
  • Pasquale Luigi De Angelis
  • Zelda Marino
  • Paolo Zanetti
Chapter
Part of the Springer Optimization and Its Applications book series (SOIA, volume 70)

Abstract

The European Directive Solvency II has increased the request of stochastic asset–liability management models for insurance undertakings. The Directive has established that insurance undertakings can develop their own “internal models” for the evaluation of values and risks in the contracts. In this chapter, we give an overview on some computational issues related to internal models. The analysis is carried out on “Italian style” profit-sharing life insurance policies (PS policy) with minimum guaranteed return. We describe some approaches for the development of accurate and efficient algorithms for their simulation. In particular, we discuss the development of parallel software procedures. Main computational kernels arising in models employed in this framework are stochastic differential equations (SDEs) and high-dimensional integrals. We show how one can develop accurate and efficient procedures for PS policies simulation applying different numerical methods for SDEs and techniques for accelerating Monte Carlo simulations for the evaluation of the integrals. Moreover, we show that the choice of an appropriate probability measure provides a significative gain in terms of accuracy.

Keywords

Monte Carlo Credit Spread Short Rate Risk Source Defaultable Bond 
These keywords were added by machine and not by the authors. This process is experimental and the keywords may be updated as the learning algorithm improves.

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Copyright information

© Springer Science+Business Media New York 2012

Authors and Affiliations

  • Stefania Corsaro
    • 1
  • Pasquale Luigi De Angelis
    • 1
  • Zelda Marino
    • 1
  • Paolo Zanetti
    • 1
  1. 1.Dipartimento di Statistica e Matematica per la Ricerca EconomicaUniversità degli Studi di Napoli “Parthenope”NapoliItaly

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