In this paper we focus on the computational issues in the development of internal models, according to the technical requirements established by the Solvency II project. In particular, we consider the valuation of profit-sharing life insurance policies. Numerical simulations must provide reliable estimates of the relevant quantities involved in the contracts; therefore, valuation processes have to be performed by accurate algorithms able to provide solutions in a suitable turnaround time. To gain in accuracy we propose a change of num´eraire in the stochastic processes for risks sources, thus providing estimates under the forward risk-neutral measure. To speed-up the simulation process we use high performance computing environments. We develop algorithms based on the parallelization of Monte Carlo method, using both the risk-neutral and the forward measure, thus providing numerical procedures capable to trade-off accuracy and efficiency.

Computational issues in internal models: the case of profit-sharing life insurance policies

Stefania Corsaro;Pasquale Luigi De Angelis;Zelda Marino;Francesca Perla;Paolo Zanetti
2009

Abstract

In this paper we focus on the computational issues in the development of internal models, according to the technical requirements established by the Solvency II project. In particular, we consider the valuation of profit-sharing life insurance policies. Numerical simulations must provide reliable estimates of the relevant quantities involved in the contracts; therefore, valuation processes have to be performed by accurate algorithms able to provide solutions in a suitable turnaround time. To gain in accuracy we propose a change of num´eraire in the stochastic processes for risks sources, thus providing estimates under the forward risk-neutral measure. To speed-up the simulation process we use high performance computing environments. We develop algorithms based on the parallelization of Monte Carlo method, using both the risk-neutral and the forward measure, thus providing numerical procedures capable to trade-off accuracy and efficiency.
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Utilizza questo identificativo per citare o creare un link a questo documento: http://hdl.handle.net/11367/772
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