Oliver Baltzer

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—At the heart of the analytical pipeline of a modern quantitative insurance/reinsurance company is a stochastic simulation technique for portfolio risk analysis and pricing process referred to as Aggregate Analysis. Support for the computation of risk measures including Probable Maximum Loss (PML) and the Tail Value at Risk (TVAR) for a variety of types of(More)
Due to the widespread adoption of location-based services and other spatial applications, data warehouses that store spatial information are becoming increasingly prevalent. Consequently, it is becoming important to extend the standard OLAP paradigm with features that support spatial analysis and aggregation. While traditional OLAP systems are limited to(More)
—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(More)
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