Pension reserve computations on GPUs
Christian Harrington, Nicolai J. Dahl, Peter Sestoft, David Raymond Christiansen · 2014
New regulations from the European Union, called Solvency II, require that life insurance and pension providers perform more complicated calculations to demonstrate their solvency. At the same time, exploiting alternative computational paradigms such as GPGPU requires a high degree of expertise about the hardware and ties the computational infrastructure to one particular platform. In an industry where contracts literally last a lifetime, this is far from optimal. We demonstrate the feasibility of an alternative approach in which life insurance and pension products are represented in a high-level, declarative, domain-specific language from which platform-specific high-performance code can be generated. Specifically, we generate CUDA C code after applying both domain- and platform-specific optimizations. This code significantly outperforms equivalent code running on conventional CPUs.