Methods and systems for variable annuity risk management

Details Methods and systems for variable annuity risk management Methods and systems for variable annuity risk management

2011-06-28

2011-06-28

Colbert, Ella (Department: 3694)

Data processing: financial, business practice, management, or co

Automated electrical financial or business practice or...

Finance

C705S035000, C705S037000, C705S039000, C705S044000

Reexamination Certificate

active

07970682

ABSTRACT:
In one aspect the invention comprises systems and methods for providing hedging against loss of value of a block of variable annuity policies to be sold, between the signing and closing dates of the transaction. In one embodiment, a purchase price adjustment grid (or formula) is used to adjust the purchase price for the sale of variable annuities between signing and closing dates as a result of changes in market parameters over that time period. One aspect comprising the steps of: (a) storing data representing at least one equity amount table having a horizontal axis corresponding to a first variable and a vertical axis corresponding to a second variable; (b) receiving a first value of the first variable and a second value of the second variable; and (c) calculating a table amount based on a bilinear interpolation of quantities in the equity amount table.

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Moshe Arye Milevsky and Steven E. Posner, The Titanic Option: Valuation of the Guarateed Minimum Death Benfit in Variable Annuities and Mutual Funds. Journal of Risk and Insurance, vol. 68, No. 1, (Mar. 2001), pp. 93-128.
“First National Corporation Reports Continued Strong Earnings in Third Quarter 2003”, Business Editors. Business Wire, New York: Oct. 16, 2003, p. 1.

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