Research project will contribute to a more secure pension system
With computing power from graphics processors commonly used in gaming computers, a new research project aims to develop an advanced calculation platform for pension funds. Innovation Fund Denmark is investing DKK 9 million in the project collaboration between the IT University of Copenhagen, University of Copenhagen and the software company Edlund A/S.
Computer Science DepartmentCollaborationsResearchfintechgrantsPeter Sestoft
Written 20 December, 2017 08:56 by Vibeke Arildsen
The Danish pension system has been named the best in the world, but changes in EU legislation and new types of pension products are currently creating challenging the risk assessments and business prospects of pension funds.
Now, a new research project sets out to develop an advanced software tool for the pension and life insurance industry, which can ensure more reliable and effective calculations.
ITU professor Peter Sestoft will develop faster calculation methods using graphics processors."It is extremely important for pension funds to have an estimate of their cash flow - when they have profits that need to be invested and when money is needed for the members’ pension payouts. It is also important that the Danish Financial Supervisory Authority is able to assess whether the calculations of the pension funds are correct. This project is about making correct and very flexible calculation models for pension products," says ITU’s project participant, Professor Peter Sestoft.
Calculation power from graphics processors
The challenge of making good calculation models is, among other things, that new EU rules are imposing new requirements for the calculation methods. In addition, new types of pension products have emerged on the market, which requires other types of modelling.
These factors combined with long investment horizons – often 70 years from entering on the labour market until the last pension payout – create a need for enormous computing power.
"Graphics processors are a kind of small supercomputers that create seamless graphics in computer games, but they are also useful for other types of calculations. We will use them to make faster calculations," explains Peter Sestoft.
Possible FinTech export
Another goal of the project is to create a calculation platform that can also be used in other countries with similar pension systems, such as Sweden and Norway.
"We are making a domain-specific programming language to express pension and life insurance contracts. This allows us to make a model that is general and which is useful not only for Danish products, but which can also be exported to other northern European countries," says Peter Sestoft.
Peter Sestoft, Professor and Head of the Computer Science Department, phone +45 7218 5083, email sestoft@itu.dk
Vibeke Arildsen, Press Officer, phone 2555 0447, email viar@itu.dk