New Valuation and Parallel Simulation Methods for Finance and Insurance
Start year: 2010
Summary: A new generation of efficient parallel simulation technology will be developed for complex, high-dimensional valuation problems in the finance and insurance sector. Platen s innovative benchmark approach addresses a fundamental empirical inconsistency of modern finance, leading to serious overpricing. This new paradigm will be extended to insurance and other areas of risk management, demonstrating that many insurance and superannuation products can be created for less than half the currently marketed price. The proposed breakthrough in simulation technology will reduce the time for computing such complex contracts and the measurement of risk for large nonlinear portfolios from several hours down to seconds.
Keywords: parallel Monte Carlo simulation; valuation and risk measurement; superannuation; insurance; benchmark approach; variance reduction;