We address computational problems deriving from Solvency II compliance in the context of Italian life insurance. Solvency II requires insurance undertakings to perform market consistent valuation of technical provisions and continuous monitoring of risks. We examine the case of profit sharing policies with minimum guarantees, which is the most diffused type of life policy in Italy. Market consistent valuation of the complex cash flows generated by these contracts entails modelling of management actions and the use of numerical techniques in a stochastic framework, typically Monte Carlo simulation on a fine grained time grid. Fulfillment of the subsequent highly-demanding computational tasks is possible only by implementing valuation procedures in parallel and distributed architectures. In this work we introduce DISAR, a Solvency II compliant system designed to work on a grid of conventional computers, and discuss its performances. © 2011 Springer-Verlag Berlin Heidelberg.

Applications of distributed and parallel computing in the solvency II framework: The DISAR system / Castellani, Gilberto; Passalacqua, Luca. - 6586 LNCS:(2011), pp. 413-421. (Intervento presentato al convegno Parallel Processing Workshops, Euro-Par 2010: HeteroPar 2010, HPPC 2010, HiBB 2010, CoreGrid 2010, UCHPC 2010, HPCF 2010, PROPER 2010, CCPI 2010, VHPC 2010 tenutosi a Ischia nel 31 August 2010 through 3 September 2010) [10.1007/978-3-642-21878-1_51].

Applications of distributed and parallel computing in the solvency II framework: The DISAR system

CASTELLANI, Gilberto;PASSALACQUA, LUCA
2011

Abstract

We address computational problems deriving from Solvency II compliance in the context of Italian life insurance. Solvency II requires insurance undertakings to perform market consistent valuation of technical provisions and continuous monitoring of risks. We examine the case of profit sharing policies with minimum guarantees, which is the most diffused type of life policy in Italy. Market consistent valuation of the complex cash flows generated by these contracts entails modelling of management actions and the use of numerical techniques in a stochastic framework, typically Monte Carlo simulation on a fine grained time grid. Fulfillment of the subsequent highly-demanding computational tasks is possible only by implementing valuation procedures in parallel and distributed architectures. In this work we introduce DISAR, a Solvency II compliant system designed to work on a grid of conventional computers, and discuss its performances. © 2011 Springer-Verlag Berlin Heidelberg.
2011
Parallel Processing Workshops, Euro-Par 2010: HeteroPar 2010, HPPC 2010, HiBB 2010, CoreGrid 2010, UCHPC 2010, HPCF 2010, PROPER 2010, CCPI 2010, VHPC 2010
04 Pubblicazione in atti di convegno::04b Atto di convegno in volume
Applications of distributed and parallel computing in the solvency II framework: The DISAR system / Castellani, Gilberto; Passalacqua, Luca. - 6586 LNCS:(2011), pp. 413-421. (Intervento presentato al convegno Parallel Processing Workshops, Euro-Par 2010: HeteroPar 2010, HPPC 2010, HiBB 2010, CoreGrid 2010, UCHPC 2010, HPCF 2010, PROPER 2010, CCPI 2010, VHPC 2010 tenutosi a Ischia nel 31 August 2010 through 3 September 2010) [10.1007/978-3-642-21878-1_51].
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Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/11573/56977
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