In this talk we present some challenges we face when we develop our solutions at MavenBlue. We take a holistic approach which is possible by leveraging state of the art parallel computing technology. On our platform, we are able to simulate a full balance sheet including all assets, liabilities and risk measures (e.g. Risk margin and SCR) under different scenarios and with different strategies. In this talk we will show how we use GPUs in two examples involving:

1. Valuation of unit linked products with guarantees; and
2. Valuation of profit sharing using regressions and a volatility adjustment.

Dr. Marcel Smith is a principal consultant and one of the founding partners of MavenBlue. He obtained his PhD in Econometrics from Erasmus University and is a certified FRM from GARP. Marcel is an expert in financial risk management, asset liability management, management, product development, operations research, quantitative modelling and parallel computing.