Participating life insurance policies: an accurate and efficient parallel software for COTS clusters

In this paper we discuss the development of a parallel software for the numerical simulation of Participating Life Insurance Policies in distributed environments. The main computational kernels in the mathematical models for the solution of the problem are multidimensional integrals and stochastic differential equations. The former is solved by means of Monte Carlo method combined with the Antithetic Variates variance reduction technique, while differential equations are approximated via a fully implicit, positivity‐preserving, Euler method. The parallelization strategy we adopted relies on the parallelization of Monte Carlo algorithm. We implemented and tested the software on a PC Linux cluster.