Risk Based Approach to Calculate General Motor Insurance Reserve using High Performance Computing
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International Journal of Engineering Trends and Technology (IJETT) |  |
| © 2018 by IJETT Journal | ||
| Volume-65 Number-2 |
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| Year of Publication : 2018 | ||
| Authors : Nikhil Rai, Akhilesh Pandey, Karam Rai, Pallav Kumar Baruah, Satya Sai Mudigonda, Phani Krishna Kandala |
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| DOI : 10.14445/22315381/IJETT-V65P213 |
Citation
MLA Style: 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 65.2 (2018): 67-73.
APA Style:Nikhil Rai, Akhilesh Pandey, Karam Rai, Pallav Kumar Baruah, Satya Sai Mudigonda, Phani Krishna Kandala (2018). Risk Based Approach to Calculate General Motor Insurance Reserve using High Performance Computing. International Journal of Engineering Trends and Technology, 65(2), 67-73.
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
Reference
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Keywords
Accident year cohort, Chain ladder method (CLM), CUDA, Development year, Graphical Processing Unit (GPU), ,Risk based Inflation Adjusted CLM, Reserve.