Application of high-performance computing for calculating reserves using the cape cod method

Abstract

Calculation of reserves is one significant step in the strategic perspective for an insurance company. This is done on a periodic manner in order to have a better understanding regarding the future liabilities of the company. The time required for these calculations will grow quadratically as the size of the input increases. These computations are done several times by taking different factors in view. Thus, these computations become costly with regard to time. One of the many actuarial techniques for calculating reserves namely the Cape Cod method was used to calculate the reserves. HPC was applied for the same in order to reduce the time required to calculate a company’s reserves. We applied HPC to calculate Projected Ultimate Claims based on Cape Cod method. Method takes year wise input of reported claims, incurred claims and earned premiums and outputs Projected Ultimate claims for each year. Making use of the independence which exists in computation of output across years, we parallelized the computations across years. The parallelization strategy proposed gives the speed up to 66194X compared to the serial implementation of the same.