Parallel Simulations for Analysing Portfolios of Catastrophic Event Risk

@article{Bahl2012ParallelSF,
  title={Parallel Simulations for Analysing Portfolios of Catastrophic Event Risk},
  author={Aman Kumar Bahl and Oliver Baltzer and Andrew Rau-Chaplin and Blesson Varghese},
  journal={2012 SC Companion: High Performance Computing, Networking Storage and Analysis},
  year={2012},
  pages={1176-1184}
}
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 complex property catastrophe insurance contracts including Cat eXcess of Loss (XL), or Per-Occurrence XL, and Aggregate XL, and contracts… CONTINUE READING
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