Participating life insurance policies: an accurate and efficient parallel software for COTS clusters

DOI10.1007/s10287-009-0100-0zbMath1253.91188OpenAlexW2116925137WikidataQ113444979 ScholiaQ113444979MaRDI QIDQ693200

Stefania Corsaro, Zelda Marino, Francesca Perla, Pasquale L. De Angelis

Publication date: 7 December 2012

Published in: Computational Management Science (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10287-009-0100-0

zbMATH Keywords

Monte Carlo methodparallel computinglife insurance policies

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Monte Carlo methods (65C05) Parallel algorithms in computer science (68W10) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Computational methods for problems pertaining to game theory, economics, and finance (91-08) Distributed algorithms (68W15)

Uses Software

• SPRNG
• DCDFLIB
• TestU01
• Diehard

Cites Work

• Unnamed Item
• Unnamed Item
• The Pricing of Options and Corporate Liabilities
• Credit default swap calibration and derivatives pricing with the SSRD stochastic intensity model
• A fast, high quality, and reproducible parallel lagged-Fibonacci pseudorandom number generator
• A Theory of the Term Structure of Interest Rates
• On the discretization schemes for the CIR (and Bessel squared) processes
• TestU01
• On the Periods of Generalized Fibonacci Recurrences
• Market Based Tools for Managing the Life Insurance Company

This page was built for publication: Participating life insurance policies: an accurate and efficient parallel software for COTS clusters