In the past couple of years I've learned just enough about how computational modeling is used in Actuarial science to begin to understand the real possibilities.
In a nutshell, I've found the big three applications are general capital model for purposes ranging from pricing to cash flow testing. The second primary application is policy valuation, which appears to be gaining momentum as more than a regulatory requirement, becoming a basis for capital modeling based on actual experience and valuation at the current time. The third computational demand is from the operation of hedging programs to mitigate the risk to a company from the guarantees associated with Variable Annuities or Equity linked annuities.
As policy valuation systems grow to include functionality that dramatically increases compute requirements it will join Hedging and Capital Modeling as a consumer of massive compute cycles increasing the demand for shared computing resources.
I May be a lay person when it comes to Actuarial modeling, but I do have over 20 years experience when it comes to designing computer systems and Infrastructure. I know that combining these three types of activities onto a single computing grid has a number of benefits, including:
In the past it's been impossible to combine these applications into a single Gird or cluster because each application type used a different method for distributing work across the many systems required to return results in a reasonable amount of time.
As I write this all the major Modeling packages used in North America, MG-ALFA, TAS, Prophet, Axis, and Moses are for the first time available on a single scheduling platform. Windows High Performance Compute Server.
Stay tuned for more information about Policy Valuation applications and Hedging applications joining them on HPCS.
Once all the leading suppliers of the major application areas are supporting a single platform, the only thing between the actuary and enhanced computing capabilitiess is the completion of the IT Project to build a single unified Actuarial modeling cluster.
I can't wait to help make this happen.