2,709 research outputs found
Parallel Simulations for Analysing Portfolios of Catastrophic Event Risk
At the heart of the analytical pipeline of a modern quantitative
insurance/reinsurance company is a stochastic simulation technique for
portfolio risk analysis and pricing process referred to as Aggregate Analysis.
Support for the computation of risk measures including Probable Maximum Loss
(PML) and the Tail Value at Risk (TVAR) for a variety of types of complex
property catastrophe insurance contracts including Cat eXcess of Loss (XL), or
Per-Occurrence XL, and Aggregate XL, and contracts that combine these measures
is obtained in Aggregate Analysis.
In this paper, we explore parallel methods for aggregate risk analysis. A
parallel aggregate risk analysis algorithm and an engine based on the algorithm
is proposed. This engine is implemented in C and OpenMP for multi-core CPUs and
in C and CUDA for many-core GPUs. Performance analysis of the algorithm
indicates that GPUs offer an alternative HPC solution for aggregate risk
analysis that is cost effective. The optimised algorithm on the GPU performs a
1 million trial aggregate simulation with 1000 catastrophic events per trial on
a typical exposure set and contract structure in just over 20 seconds which is
approximately 15x times faster than the sequential counterpart. This can
sufficiently support the real-time pricing scenario in which an underwriter
analyses different contractual terms and pricing while discussing a deal with a
client over the phone.Comment: Proceedings of the Workshop at the International Conference for High
Performance Computing, Networking, Storage and Analysis (SC), 2012, 8 page
Hierarchical fractional-step approximations and parallel kinetic Monte Carlo algorithms
We present a mathematical framework for constructing and analyzing parallel
algorithms for lattice Kinetic Monte Carlo (KMC) simulations. The resulting
algorithms have the capacity to simulate a wide range of spatio-temporal scales
in spatially distributed, non-equilibrium physiochemical processes with complex
chemistry and transport micro-mechanisms. The algorithms can be tailored to
specific hierarchical parallel architectures such as multi-core processors or
clusters of Graphical Processing Units (GPUs). The proposed parallel algorithms
are controlled-error approximations of kinetic Monte Carlo algorithms,
departing from the predominant paradigm of creating parallel KMC algorithms
with exactly the same master equation as the serial one.
Our methodology relies on a spatial decomposition of the Markov operator
underlying the KMC algorithm into a hierarchy of operators corresponding to the
processors' structure in the parallel architecture. Based on this operator
decomposition, we formulate Fractional Step Approximation schemes by employing
the Trotter Theorem and its random variants; these schemes, (a) determine the
communication schedule} between processors, and (b) are run independently on
each processor through a serial KMC simulation, called a kernel, on each
fractional step time-window.
Furthermore, the proposed mathematical framework allows us to rigorously
justify the numerical and statistical consistency of the proposed algorithms,
showing the convergence of our approximating schemes to the original serial
KMC. The approach also provides a systematic evaluation of different processor
communicating schedules.Comment: 34 pages, 9 figure
Comparison of Different Parallel Implementations of the 2+1-Dimensional KPZ Model and the 3-Dimensional KMC Model
We show that efficient simulations of the Kardar-Parisi-Zhang interface
growth in 2 + 1 dimensions and of the 3-dimensional Kinetic Monte Carlo of
thermally activated diffusion can be realized both on GPUs and modern CPUs. In
this article we present results of different implementations on GPUs using CUDA
and OpenCL and also on CPUs using OpenCL and MPI. We investigate the runtime
and scaling behavior on different architectures to find optimal solutions for
solving current simulation problems in the field of statistical physics and
materials science.Comment: 14 pages, 8 figures, to be published in a forthcoming EPJST special
issue on "Computer simulations on GPU
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