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.
CITATION STYLE
Castellani, G., & Passalacqua, L. (2011). Applications of distributed and parallel computing in the solvency II framework: The DISAR system. In Lecture Notes in Computer Science (including subseries Lecture Notes in Artificial Intelligence and Lecture Notes in Bioinformatics) (Vol. 6586 LNCS, pp. 413–421). https://doi.org/10.1007/978-3-642-21878-1_51
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