Abstract: There is provided a computer-implemented method of projecting the future cash flows of a pension scheme, comprising: receiving data representative of the members of the pension scheme; receiving data representative of a mortality assumption; calculating, using data processing apparatus, for each pension scheme member, a projection of the future cash flow liabilities of the pension scheme to that member on the basis of the pension scheme member data and by applying the mortality assumption data to the pension scheme member data; and generating, using data processing apparatus, data representative of a projected liability cash flow of the pension scheme to all of its members by aggregating the liabilities to each member.

Abstract: Computer systems, software, and methods 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.

Abstract: There is provided a computer-implemented method of projecting the future cash flows of a pension scheme, comprising: receiving data representative of the members of the pension scheme; receiving data representative of a mortality assumption; calculating, using data processing apparatus, for each pension scheme member, a projection of the future cash flow liabilities of the pension scheme to that member on the basis of the pension scheme member data and by applying the mortality assumption data to the pension scheme member data; and generating, using data processing apparatus, data representative of a projected liability cash flow of the pension scheme to all of its members by aggregating the liabilities to each member.

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.

Abstract: A method of transferring risk from a pension scheme, comprising: a sponsoring entity acquiring a captive entity established to provide infrastructure to insure at least a portion of the pension scheme's liabilities; the sponsoring entity providing an amount of risk capital to the captive entity and an amount of capital to the pension scheme; the captive entity writing one or more contracts in favor of a counterparty to make payments dependent on the insured liabilities to the pension scheme members; calculating the insured liabilities to the pension scheme members; and causing an electronic payment of an amount dependent on the calculated insured liabilities to be executed to the counterparty. The captive entity may be demerged from the sponsoring entity by the sponsoring entity divesting at least a portion of the captive entity.

Abstract: There is provided a computer-implemented method of projecting the future cash flows of a pension scheme, comprising: receiving data representative of the members of the pension scheme; receiving data representative of a mortality assumption; calculating, using data processing apparatus, for each pension scheme member, a projection of the future cash flow liabilities of the pension scheme to that member on the basis of the pension scheme member data and by applying the mortality assumption data to the pension scheme member data; and generating, using data processing apparatus, data representative of a projected liability cash flow of the pension scheme to all of its members by aggregating the liabilities to each member.

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.

Abstract: There is provided a method of securitizing a pension fund associated with a pension scheme, comprising: calculating, using data processing apparatus, the expected liabilities of a pension scheme to at least a portion of its members taking into account an expected mortality of the scheme members; issuing from a securities issuing entity a financial instrument which undertakes to pay to an investor a cash flow according to a payment schedule, said expected liabilities being establishing as the initial payment schedule of a financial instrument; exchanging financial instrument with assets held by pension fund; and supporting the securities issuing entity in issuing the financial instrument by providing risk capital to the securities issuing entity; wherein the risk capital is initially provided by at least three separate equity investor entities. One of the equity investor entities may be the corporate sponsor of the pension scheme.

Abstract: The invention provides a computer implemented method of establishing a longevity financial instrument, the method comprising: establishing, using computing apparatus, a set of parameters determining payment amounts to be made according to a payment schedule for the financial instrument such that the payment amounts relate to the future liabilities of a pension scheme to at least a portion of its members. The parameters may determine the payment amounts to match the a calculation of the future liabilities of the pension scheme to at least a portion of its members, taking into account the actual cumulative mortality experience of the pension scheme membership. The various embodiments of the method provide a number of longevity financial instruments that have different payment schedules that are advantageously arranged to match different risk profiles and can be used to satisfy pension scheme sponsors having different risk appetites.

Abstract: A method, for use for example in pension scheme defeasance, comprises providing to an entity a financial instrument which undertakes to pay to the entity, at regular points in time within a specified duration, sums according to a schedule of payment amounts associated with the financial instrument, the scheduled payment amounts being arranged to match with the expected cash flow obligations of a pension scheme to its members. At a re-set point in time the schedule of payment amounts is re-set such that the entity will receive an adjusted payment amount calculated to be the aggregate of nominal cash flows to be paid to the pension scheme members adjusted to take into account the actual cumulative mortality experience of the pension scheme prior to the re-set point in time. Calculations for carrying out the method may be made using a data processing system.

Abstract: A method, for use for example in pension scheme defeasance, comprises providing to an entity a financial instrument which undertakes to pay to the entity, at regular points in time within a specified duration, sums according to a schedule of payment amounts associated with the financial instrument, the scheduled payment amounts being arranged to match with the expected cash flow obligations of a pension scheme to its members. At a re-set point in time the schedule of payment amounts is re-set such that the entity will receive an adjusted payment amount calculated to be the aggregate of nominal cash flows to be paid to the pension scheme members adjusted to take into account the actual cumulative mortality experience of the pension scheme prior to the re-set point in time. Calculations for carrying out the method may be made using a data processing system.