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We compare the regulatory environment for the maximum technical interest rate of life insurance contracts in four European countries and the United States. In Germany, Austria and Switzerland, the maximum rate is driven by a long-term rolling average of government bond yields and is adjusted by the regulator. In the U.S., corporate bond yields are used and the regulator is not directly involved in setting the maximum rate. The regime implemented in the United Kingdom is unique: instead of a rules-based 'one-size-fits-all' approach, the maximum rate is determined by a company-specific principle-based method. We provide a comparative analysis of the different systems and conduct a numerical analysis to investigate how the maximum rate will develop under predefined interest rate scenarios. The discussion is highly relevant in light of Solvency II, a regime that may fundamentally change regulation of the maximum technical interest rate. [ABSTRACT FROM AUTHOR]

In this paper, we present a highly efficient approach for numerically solving the Black–Scholes equation in order to price European and American basket options. Therefore, hardware features of contemporary high performance computer architectures such as non-uniform memory access and hardware-threading are exploited by a hybrid parallelization using MPI and OpenMP which is able to drastically reduce the computing time. In this way, we achieve very good speed-ups and are able to price baskets with up to six underlyings. Our approach is based on a sparse grid discretization with finite elements and makes use of a sophisticated adaption. The resulting linear system is solved by a conjugate gradient method that uses a parallel operator for applying the system matrix implicitly. Since we exploit all levels of the operator's parallelism, we are able to benefit from the compute power of more than 100 cores. Several numerical examples as well as an analysis of the performance for different computer architectures are provided. [ABSTRACT FROM PUBLISHER]