Abstract: There is provided a computer-implemented method of estimating a capital reserve requirement to cover the longevity risk exposure of a financial instrument in the case of a future longevity shock, the financial instrument undertaking to pay to an investor sums according to a payment schedule of amounts arranged to match with the future cash flow obligations of a pension scheme to at least a portion of its members.
Type:
Grant
Filed:
November 4, 2009
Date of Patent:
September 10, 2013
Assignee:
Pensions First Group LLC
Inventors:
Timothy Lyons, Jonathan Stolerman, Wayne Chen, Darren Best