View Full Version : Computational challenges in actuarial work

February 26th 2009, 12:03 PM

In my case new regulations, like the Solvency II in Europe, are forcing us to do more and more complex stochastic computations. We still use our own workstations to execute the code because the software we use does not scale to big computers very well. Everything works fine but it takes so damn long to wait the results --> we can't do as many realizations as we would like to do.

We have tried grid computing technologies in a way were we can utilize our hundreds of workstations. That has worked pretty well. It has been easy to split huge stochastic calculations in small pieces. We are now evaluating different commercial grid technologies and I am, of course, interested to hear if anyone has experience of distributed computing.

The second question is how those complex and long running computations are done in your environments? I mean that do actuaries elsewhere have access to huge computers or is it often so that those computations are done with the very own workstation. How about in universities?

Thanks for sending comments!

February 26th 2009, 05:42 PM
I've only seen what you've described, pray that quantum computing delivers.