On parallel asset-liability management in life insurance: a forward risk-neutral approach

Authors:
S. Corsaro;P. L. De Angelis;Z. Marino;F. Perla;P. Zanetti
Affiliations:
University of Naples Parthenope, Department of Statistics and Mathematics, via Medina 40, I-80133 Naples, Italy;University of Naples Parthenope, Department of Statistics and Mathematics, via Medina 40, I-80133 Naples, Italy;University of Naples Parthenope, Department of Statistics and Mathematics, via Medina 40, I-80133 Naples, Italy;University of Naples Parthenope, Department of Statistics and Mathematics, via Medina 40, I-80133 Naples, Italy;University of Naples Parthenope, Department of Statistics and Mathematics, via Medina 40, I-80133 Naples, Italy
Venue:
Parallel Computing
Year:
2010

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Abstract

In this paper we discuss the development of a valuation system of asset-liability management of portfolios of life insurance policies on advanced architectures. According to the new rules of the Solvency II project, numerical simulations must provide reliable estimates of the relevant quantities involved in the contracts; therefore, valuation processes have to rely on accurate algorithms able to provide solutions in a suitable turnaround time. Our target is to develop an effective valuation software. At this aim we first introduce a change of numeraire in the stochastic processes for risks sources, thus providing estimates under the forward risk-neutral measure that result in a gain in accuracy. We then parallelize the Monte Carlo method to speed-up the simulation process.