System And Method For Providing Systemic Casualty Reserve Protection

A method, comprising:

• calculating, by a processor, a first industry index amount at an index year based on (i) selected actual loss values for the index year for a plurality of companies in a defined line of business, (ii) selected actual loss values for a predetermined number of years preceding the index year for the plurality of companies in the defined line of business, and (iii) loss estimates for a number of years subsequent to the index year corresponding to a predetermined term of a systemic risk product for the plurality of companies in the defined line of business;
• calculating, by the processor, a second industry index amount based on (i) the selected actual loss values for the index year for the plurality of companies in the defined line of business, (ii) the selected actual loss values for the predetermined number of years preceding the index year for the plurality of companies in the defined line of business, and (iii) selected actual loss values for at least one year subsequent to the index year for the plurality of companies in the defined line of business, wherein the at least one year subsequent to the index year is equal to the predetermined term of the systemic risk product;
• calculating, by the processor, an industry index value based on the first and second industry index amounts;
• and
• calculating a settlement amount based on the industry index value, an index trigger and an index limit.

A system, comprising:

• a memory storing a set of instructions;
• and
• a processor executing the set of instructions to perform operations comprising:
• calculating a first industry index amount at an index year based on (i) selected actual loss values for the index year for a plurality of companies in a defined line of business, (ii) selected actual loss values for a predetermined number of years preceding the index year for the plurality of companies in the defined line of business, and (iii) loss estimates for a number of years subsequent to the index year corresponding to a predetermined term of a systemic risk product for the plurality of companies in the defined line of business;
• calculating a second industry index amount based on (i) the selected actual loss values for the index year for the plurality of companies in the defined line of business, (ii) the selected actual loss values for the predetermined number of years preceding the index year for the plurality of companies in the defined line of business, and (iii) selected actual loss values for at least one year subsequent to the index year for the plurality of companies in the defined line of business, wherein the at least one year subsequent to the index year is equal to the predetermined term of the systemic risk product;
• calculating an industry index value based on the first and second industry index amounts;
• and
• calculating a settlement amount based on the industry index value, an index trigger and an index limit.

A non-transitory computer readable storage medium with an executable program stored thereon, wherein the program instructs a processor to perform the following steps:

• calculating a first industry index amount at an index year based on (i) selected actual loss values for the index year for a plurality of companies in a defined line of business, (ii) selected actual loss values for a predetermined number of years preceding the index year for the plurality of companies in the defined line of business, and (iii) loss estimates for a number of years subsequent to the index year corresponding to a predetermined term of a systemic risk product for the plurality of companies in the defined line of business;
• calculating a second industry index amount based on (i) the selected actual loss values for the index year for the plurality of companies in the defined line of business, (ii) the selected actual loss values for the predetermined number of years preceding the index year for the plurality of companies in the defined line of business, and (iii) selected actual loss values for at least one year subsequent to the index year for the plurality of companies in the defined line of business, wherein the at least one year subsequent to the index year is equal to the predetermined term of the systemic risk product;
• calculating an industry index value based on the first and second industry index amounts, and
• calculating a settlement amount based on the industry index value, an index trigger and an index limit.