System and method for hedging portfolios of variable annuity...

Details System and method for hedging portfolios of variable annuity... System and method for hedging portfolios of variable annuity...

G - Physics

06

Q

G06Q 40/00 (2006.01)

Patent

CA 2615242

A system and method for managing hedge program liability involving obtaining policyholder information that constitutes the liability portfolio and asset information that constitute the asset portfolio; simulating at least one partial sensitivity and valuation for the liability portfolio for projected market data to obtain valuation simulation data. The system and method then involves using market date information estimating at least one partial sensitivity and valuation of the liability and asset portfolios using the simulated partial sensitivity and the market data. Based on comparing the one estimated partial sensitivity against at least one partial sensitivity limit buying or selling one or more assets to restore the estimated partial sensitivity within the limit if the estimated partial sensitivity breaches the at least one partial sensitivity limit.

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