Methods and systems for variable annuity risk management
View Patent ↗In one aspect the invention comprises systems and methods for providing hedging against loss of value of a block of variable annuity policies to be sold, between the signing and closing dates of the transaction. In one embodiment, a purchase price adjustment grid (or formula) is used to adjust the purchase price for the sale of variable annuities between signing and closing dates as a result of changes in market parameters over that time period. One aspect comprising the steps of: (a) storing data representing at least one equity amount table having a horizontal axis corresponding to a first variable and a vertical axis corresponding to a second variable; (b) receiving a first value of the first variable and a second value of the second variable; and (c) calculating a table amount based on a bilinear interpolation of quantities in the equity amount table.
1. A computer system comprising:
a storage device operable to store data representing at least one equity amount table having a horizontal axis corresponding to a first variable and a vertical axis corresponding to a second variable;
a receiving device operable to receive a first value of said first variable and a second value of said second variable; and
one or more computer processors operable to calculate a table amount based on a bilinear interpolation of quantities in said equity amount table.
2. A computer system as in claim 1 , wherein said first variable is reference rate change.
3. A computer system as in claim 1 , wherein said second variable is market index return.
4. A computer system as in claim 1 , wherein said first variable is reference index spot.
5. A computer system as in claim 1 , wherein said second variable is reference volatility.
6. A computer system as in claim 1 , wherein said one or more processors are further operable to calculate an equity amount based on said table amount.
7. A computer system as in claim 6 , wherein said one or more processors are further operable to identify whether said equity amount is positive or negative and, based on said identifying, transmit data identifying a first party and a second party, wherein said first party is obligated to pay said second party said equity amount.
8. A computer system as in claim 6 , wherein said equity amount corresponds to a block of variable annuity policies to be sold in a sales transaction.
9. A computer system as in claim 8 , wherein said table amount is used to identify change in value of said variable annuity policies between signing and closing of said sales transaction.
10. A computer system as in claim 9 , wherein a reduction or increase in said value is hedged.
11. A method comprising:
storing data with a computer in a data storage device readable by said computer, said data representing at least one equity amount table having a horizontal axis corresponding to a first variable and a vertical axis corresponding to a second variable;
receiving and storing with said computer a first value of said first variable and a second value of said second variable; and
calculating with said computer a table amount based on a bilinear interpolation of quantities in said equity amount table.
12. A method as in claim 11 , wherein said first variable is reference rate change.
13. A method as in claim 11 , wherein said second variable is market index return.
14. A method as in claim 11 , wherein said first variable is reference index spot.
15. A method as in claim 11 , wherein said second variable is reference volatility.
16. A method as in claim 11 , further comprising calculating an equity amount based on said table amount.
17. A method as in claim 16 , further comprising identifying whether said equity amount is positive or negative and, based on said identifying, transmitting data identifying a first party and a second party, wherein said first party is obligated to pay said second party said equity amount.
18. A method as in claim 16 , wherein said equity amount corresponds to a block of variable annuity policies to be sold in a sales transaction.
19. A method as in claim 18 , wherein said table amount is used to identify change in value of said variable annuity policies between signing and closing of said sales transaction.
20. A method as in claim 19 , further comprising hedging against a reduction or increase in said value.