GPU parallel implementation for asset-liability management in insurance companies

In this work we present a stochastic asset liability management (ALM) model for a life insurance company together with its numerical simulation, based in a Monte Carlo balance sheet projection, and we carry out its efficient parallel computation using graphics processing units (GPUs) hardware. The liabilities of the company consist of a portfolio comprising with-profit life insurance policies, that evolve according to the policyholder saving account, surrender and biometric models. On the asset side, we mainly consider bonds, equity and cash, so that appropriate stochastic models are considered for their evolution. We consider some innovations with respect to literature in the modeling of the surrenders of the policyholders. Another important innovative aspect comes from the implementation of ALM in the new high performance computing architectures provided by GPUs technology. Numerical results illustrate the high speed up of the calculus by using GPUs and the coherence of the computations (asset evolution, default probabilities and so on). (C) 2017 Elsevier B.V. All rights reserved.