The programme for the 4th R in Insurance conference is finalised. Mirai Solutions will present latest advancements on how to achieve parallel Monte Carlo simulations that are efficient, flexible and reproducible.
Riccardo Porreca, one of our consultants, will talk about combining RcppParallel with TRNG (Tina’s Random Number Generation). Bringing this powerful technique to the R world will open up new exciting possibilities for the community.
We show how this can be applied to modelling credit default risk in correlation with market risk, which is particularly useful given rare and correlated default-events in large portfolios.
A pre-taste can be found in the Abstract inside the conference program.
Registration for the conference, held at Cass Business School in London, 11 July, is open and early enrollees benefit from a reduced fee until the end of May.