Computing probable maximum loss in catastrophe reinsurance portfolios on multi‐core and many‐core architectures

Abstract

SummaryIn the reinsurance market, the risks natural catastrophes pose to portfolios of properties must be quantified, so that they can be priced, and insurance offered. The analysis of such risks at a portfolio level requires a simulation of up to 800 000 trials with an average of 1000 catastrophic events per trial. This is sufficient to capture risk for a global multi‐peril reinsurance portfolio covering a range of perils including earthquake, hurricane, tornado, hail, severe thunderstorm, wind storm, storm surge and riverine flooding, and wildfire. Such simulations are both computation and data intensive, making the application of high‐performance computing techniques desirable.In this paper, we explore the design and implementation of portfolio risk analysis on both multi‐core and many‐core computing platforms. Given a portfolio of property catastrophe insurance treaties, key risk measures, such as probable maximum loss, are computed by taking both primary and secondary uncertainties into account. Primary uncertainty is associated with whether or not an event occurs in a simulated year, while secondary uncertainty captures the uncertainty in the level of loss due to the use of simplified physical models and limitations in the available data. A combination of fast lookup structures, multi‐threading and careful hand tuning of numerical operations is required to achieve good performance. Experimental results are reported for multi‐core processors and systems using NVIDIA graphics processing unit and Intel Phi many‐core accelerators. Copyright © 2015 John Wiley & Sons, Ltd.