Back to results
US 2013/0097097 A1Published application
Methods and systems for managing longevity risk
OwnerJames Valentino, Menachem Brenner +3inventors
InventorsJames Valentino, Menachem Brenner, Eli Garber, Michael Davidson, Meir Sokoler
Life of this patent
Estimating the term…
Abstract
A method for managing risk of longevity is presented in which transactions with supplier and demander entities which benefit from longevity increases or decreases, respectively, are hedged by an intermediary. For example, the intermediary may purchase a first bond from a first entity and sell a second bond to a second entity. Each of the bonds may be linked to a longevity statistic or index.
Claims24
A method comprising:
- purchasing a first bond from a first entity;
- and
- selling a second bond to a second entity;
- wherein said first bond pays periodic interest payments until a first maturity date, said first maturity date being linked to a first statistic related to longevity;
- and
- wherein said second bond pays periodic interest payments until a second maturity date, said second maturity date being linked to a second statistic related to longevity.
3 more elements
A method comprising:
- purchasing an income stream from a first entity in exchange for a payment, wherein the first entity benefits from an increase in longevity, and wherein the income stream is payable for a first term based on a first longevity benchmark;
- issuing a financial instrument to a second entity, wherein the second entity benefits from a decrease in longevity;
- receiving a premium from the second entity in exchange for the financial instrument;
- receiving from the first entity, the income stream for the first term;
- and
- paying the second entity a periodic payment related to the financial instrument for a second term based on a second longevity benchmark.
3 more elements
A method comprising:
- purchasing an asset from a first entity, wherein the first entity benefits from an increase in longevity;
- entering into a swap agreement with the first entity, wherein the swap agreement has a swap rate based on a first longevity benchmark;
- issuing a financial instrument to a second entity, wherein the second entity benefits from a decrease in longevity;
- and
- paying the second entity a payment associated with the financial instrument, the payment based on a second longevity benchmark.
2 more elements
A method comprising:
- hedging a financial instrument based on life expectancy via a swap agreement with an issuer of the financial instrument, wherein the swap agreement has a swap term based on a longevity benchmark;
- holding a portfolio of assets associated with an entity that benefits from an increase in longevity;
- and
- minimizing a basis risk associated with the hedge by correlating a benefit to the issuer from a decrease in longevity and the benefit to the entity from the increase in longevity.
1 more element
Dependencies are inferred from the claim text.