Data processing: financial – business practice – management – or co – Automated electrical financial or business practice or... – Finance
Reexamination Certificate
2007-03-02
2010-11-23
Kazimi, Hani (Department: 3691)
Data processing: financial, business practice, management, or co
Automated electrical financial or business practice or...
Finance
C705S004000, C705S035000
Reexamination Certificate
active
07840468
ABSTRACT:
The invention comprises a system and method for hedging or mitigating mortality exposure risk in a portfolio of mortality-dependent instruments. A mortality risk or longevity risk of the portfolio is calculated or otherwise determined. Then the sensitivity of the portfolio to mortality risk or longevity risk is calculated or otherwise determined, in other words, how much is cost or value of the portfolio affected by a change in mortality rate. To account for that mortality exposure, a selection is made of building block mortality derivatives that include age-based mortality derivatives. The selected plurality of building block mortality derivatives are used to create a hedge against the mortality risk or longevity risk of the portfolio.
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Coughlan Guy D.
Epstein David
Hall Robert J.
Ong Alen Sen Kay
Goodwin & Procter LLP
Johnson Gregory
JPMorgan Chase Bank N.A.
Kazimi Hani
LandOfFree
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