Research Article | Open Access | Download PDF
Volume 65 | Number 1 | Year 2018 | Article Id. IJETT-V65P213 | DOI : https://doi.org/10.14445/22315381/IJETT-V65P213
Risk Based Approach to Calculate General Motor Insurance Reserve using High Performance Computing
Nikhil Rai, Akhilesh Pandey, Karam Rai, Pallav Kumar Baruah, Satya Sai Mudigonda, Phani Krishna Kandala
Citation :
Nikhil Rai, Akhilesh Pandey, Karam Rai, Pallav Kumar Baruah, Satya Sai Mudigonda, Phani Krishna Kandala, "Risk Based Approach to Calculate General Motor Insurance Reserve using High Performance Computing," International Journal of Engineering Trends and Technology (IJETT), vol. 65, no. 1, pp. 67-73, 2018. Crossref, https://doi.org/10.14445/22315381/IJETT-V65P213
Abstract
Reserving calculation is a significant step in the strategic view of an insurance company. It is preformed periodically in order to show the realistic view of the future liabilities. Time required to calculate the reserves would grow exponentially depending on the size of input. Computation of reserves might need to be done several times by taking different factors into consideration. Hence the computation becomes even more costly in terms of time. We applied HPC to calculate reserves using Risk based approach which is a combination of calculating a best estimate and risk margin surrounding this best estimate. Using GPUs we showed an improvement of 430X speed up compared to the serial execution for Risk based Inflation adjusted Chain Ladder Method
Keywords
Accident year cohort, Chain ladder method (CLM), CUDA, Development year, Graphical Processing Unit (GPU), ,Risk based Inflation Adjusted CLM, Reserve.
References
[1] Hans Waszink, Waszink, Considerations on the Discount Rate in the Cost of Capital Method for the Risk Margin, www.actuaries.org/ASTIN/Colloquia, 2013.
[2] J Bhanu Teja , Pallav Kumar Baruah , Satya Sai Mudigonda , and Phani Krishna Kandala, Application of High Perfor-mance Computing for Calculation of Reserves for a Com-pany,International Journal of Scientific and Engineering Re-search Volume 9,2018
[3] Joshi, M.S., Graphical Asian Options,The University Of Mel-bourne
[4] Jauvion, G. and Nguyen, T.,arallelized Tri-nomial Option Pricing Model On GPU With CUDA, www.arbitragisresearch.com/cuda-in-computational-finance.
[5] Mark Tucker and J. Mark Bull,Application of High Performance Computing to Solvency and Profitability Calculations for Life Assurance Contracts
[6] Wütrich, M.V. and Merz, M. Stochastic Claims Reservig in Insurance Wiley,2008
[7] https://web.archive.org./web/20140327110448/http://www.soa.org/file/pd/health/hspring07005bk.pdf
[8] Peter D England and Richard J Verrall,Stochastic claims re-serving in general insurance, British Actuarial Journal, vol. 8, no. 3, pp. 443–518 2002
PDF 
Citation
Abstract
Keywords
References