Computing probable maximum loss in catastrophe reinsurance portfolios on multi-core and many-core architectures-Reference-Cited by-同舟云学术

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

Published:2015-10-12 Issue:3 Volume:28 Page:836-847
ISSN:1532-0626
Container-title:Concurrency and Computation: Practice and Experience
language:en
Short-container-title:Concurrency Computat.: Pract. Exper.

Author:

Burke Neil¹,Rau-Chaplin Andrew¹,Varghese Blesson²

Affiliation:

1. Faculty of Computer Science; Dalhousie University; Halifax Nova Scotia Canada

2. School of Computer Science; University of St Andrews; North Haugh St Andrews Fife UK

Publisher

Wiley

Subject

Computational Theory and Mathematics,Computer Networks and Communications,Computer Science Applications,Theoretical Computer Science,Software

Reference33 articles.

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2. Meyers GG Klinker FL Lalonde DA The aggregation and correlation of reinsurance exposure Casualty Actuarial Society Forum Philadelphia, USA 2003 69 152

3. A rational approach to pricing of catastrophe insurance;Dong;Journal of Risk and Uncertainty,1996

4. Natural catastrophe probable maximum loss;Woo;British Actuarial Journal,2002

5. Value-at-risk in portfolio optimization: properties and computational approach;Gaivoronski;Journal of Risk,2005

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