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This paper presents a parallel Aggregate Risk Analysis algorithm designed to efficiently compute portfolio risk measures, such as Probable Maximum Loss (PML) and Tail Value-at-Risk (TVaR), on multi-core CPU and many-core GPU platforms. It addresses both primary and secondary uncertainties in property catastrophe insurance treaties, demonstrating significant speed improvements, achieving a 24x faster analysis on GPUs compared to sequential CPU implementations. The study emphasizes the importance of high-perf

Author

BG

Language

EN