Title | ||
---|---|---|
Computing probable maximum loss in catastrophe reinsurance portfolios on multi-core and many-core architectures. |
Abstract | ||
---|---|---|
In the reinsurance market, the risks natural catastrophes pose to portfolios of properties must be quantified, so that they can be priced, and insurance offered. The analysis of such risks at a portfolio level requires a simulation of up to 800﾿000 trials with an average of 1000 catastrophic events per trial. This is sufficient to capture risk for a global multi-peril reinsurance portfolio covering a range of perils including earthquake, hurricane, tornado, hail, severe thunderstorm, wind storm, storm surge and riverine flooding, and wildfire. Such simulations are both computation and data intensive, making the application of high-performance computing techniques desirable. |
Year | DOI | Venue |
---|---|---|
2016 | 10.1002/cpe.3695 | Concurrency and Computation: Practice and Experience |
Keywords | Field | DocType |
risk analysis,secondary uncertainty,many-core computing,hardware accelerators | Reinsurance,Risk analysis (business),Computer science,Risk analysis (engineering),Multi-core processor,Natural catastrophe,Distributed computing | Journal |
Volume | Issue | ISSN |
28 | 3 | 1532-0626 |
Citations | PageRank | References |
0 | 0.34 | 3 |
Authors | ||
3 |
Name | Order | Citations | PageRank |
---|---|---|---|
Neil Burke | 1 | 0 | 0.34 |
Andrew Rau-chaplin | 2 | 638 | 61.65 |
Blesson Varghese | 3 | 352 | 35.03 |