Achieving Speedup in Aggregate Risk Analysis using Multiple GPUs
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References listed on IDEAS
- David Cummins & Christopher Lewis & Richard Phillips, 1999.
"Pricing Excess-of-Loss Reinsurance Contracts against Cat as trophic Loss,"
NBER Chapters,in: The Financing of Catastrophe Risk, pages 93-148
National Bureau of Economic Research, Inc.
- J. David Cummins & Christopher M. Lewis & Richard D. Phillips, 1998. "Pricing Excess-of-loss Reinsurance Contracts Against Catastrophic Loss," Center for Financial Institutions Working Papers 98-09, Wharton School Center for Financial Institutions, University of Pennsylvania.
- Woo, G., 2002. "Natural Catastrophe Probable Maximum Loss," British Actuarial Journal, Cambridge University Press, vol. 8(05), pages 943-959, December.
- Paul Glasserman & Philip Heidelberger & Perwez Shahabuddin, 2002. "Portfolio Value-at-Risk with Heavy-Tailed Risk Factors," Mathematical Finance, Wiley Blackwell, vol. 12(3), pages 239-269.
More about this item
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2013-08-23 (All new papers)
- NEP-CMP-2013-08-23 (Computational Economics)
- NEP-IAS-2013-08-23 (Insurance Economics)
- NEP-RMG-2013-08-23 (Risk Management)
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