KK KIRAN (PLEASE BE SAFE )
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GPUs and DSLs for Life Insurance Modeling
GPU s and DSL s for Life Insurance Modeling The Solvency II EU Directive came into effect at the beginning of the year. It harmonizes insurance regulation in the European Union with an economic and risk based approach, which considers the full balance sheet of insurers and re-insurers. In the case of life insurers and pension funds, this requires the calculation of the economic value of the liabilities—the contractual commitments the company has to meet—for long term contracts. Calculating the economic value of the liabilities and capturing the dependence of the liabilities to different scenarios such as movements of the interest rate or changes of mortality cannot be achieved without detailed models of the underlying contracts and requires a significant computational effort. A Perfect GPU Use Case The calculations have to be executed for millions of pension and life insurance contracts and have to be performed for thousands of interest rate ...