{"paper":{"title":"Accounting for Secondary Uncertainty: Efficient Computation of Portfolio Risk Measures on Multi and Many Core Architectures","license":"http://arxiv.org/licenses/nonexclusive-distrib/1.0/","headline":"","cross_cats":["cs.CE"],"primary_cat":"cs.DC","authors_text":"Andrew Rau-Chaplin, Blesson Varghese","submitted_at":"2013-10-08T20:36:49Z","abstract_excerpt":"Aggregate Risk Analysis is a computationally intensive and a data intensive problem, thereby making the application of high-performance computing techniques interesting. In this paper, the design and implementation of a parallel Aggregate Risk Analysis algorithm on multi-core CPU and many-core GPU platforms are explored. The efficient computation of key risk measures, including Probable Maximum Loss (PML) and the Tail Value-at-Risk (TVaR) in the presence of both primary and secondary uncertainty for a portfolio of property catastrophe insurance treaties is considered. Primary Uncertainty is th"},"claims":{"count":0,"items":[],"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57"},"source":{"id":"1310.2274","kind":"arxiv","version":1},"verdict":{"id":null,"model_set":{},"created_at":null,"strongest_claim":"","one_line_summary":"","pipeline_version":null,"weakest_assumption":"","pith_extraction_headline":""},"references":{"count":0,"sample":[],"resolved_work":0,"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57","internal_anchors":0},"formal_canon":{"evidence_count":0,"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57"},"author_claims":{"count":0,"strong_count":0,"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57"},"builder_version":"pith-number-builder-2026-05-17-v1"}