Abstract: The invention provides methods of extrapolating at least one future mortality rate by calculating a current year mortality rate for a particular age cohort, and applying a series of improvement factors to the current year mortality rate. The invention further provides methods of structuring a derivative financial instrument by providing projected going-forward mortality rates reflective of a degree of improvement in mortality rate experience for particular age cohorts for a particular future period, and defining settlement parameters wherein a value recognized by an investor in said instrument at the time of settlement relates at least in part to the correlation between said projected mortality rate and actually-incurred mortality rate for the age cohort during at least a portion of the period.

Abstract: The invention provides methods of extrapolating at least one future mortality rate by calculating a current year mortality rate for a particular age cohort, and applying a series of improvement factors to the current year mortality rate. The invention further provides methods of structuring a derivative financial instrument by providing projected going-forward mortality rates reflective of a degree of improvement in mortality rate experience for particular age cohorts for a particular future period, and defining settlement parameters wherein a value recognized by an investor in said instrument at the time of settlement relates at least in part to the correlation between said projected mortality rate and actually-incurred mortality rate for the age cohort during at least a portion of the period.

Abstract: Financial instruments are indexed to a standardized measure of publicly available longevity and mortality demographic data. A first financial instrument includes a zero-coupon bond and Experience Coupons. The zero-coupon bond accrues interest over its term at a base interest rate. The Experience Coupons, which are responsive to differences in actual and projected longevity/mortality data, either supplement or erode the value of the zero-coupon bond according to the direction of the differences in actual and projected longevity/mortality data. A second financial instrument is a swap in which counterparties trade expectations that actual mortality or longevity experience will be better or worse than projected mortality or longevity experience for a selected population cohort.

Abstract: The invention provides methods of extrapolating at least one future mortality rate by calculating a current year mortality rate for a particular age cohort, and applying a series of improvement factors to the current year mortality rate. The invention further provides methods of structuring a derivative financial instrument by providing projected going-forward mortality rates reflective of a degree of improvement in mortality rate experience for particular age cohorts for a particular future period, and defining settlement parameters wherein a value recognized by an investor in said instrument at the time of settlement relates at least in part to the correlation between said projected mortality rate and actually-incurred mortality rate for the age cohort during at least a portion of the period.