Program generator for hedging the guaranteed benefits of a set of variable annuity contracts
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United States of America Patent
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Mar 6, 2012
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app pub date -
May 9, 2005
filing date -
May 9, 2005
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Abstract
A computer-based method for generating a program for hedging guaranteed benefits of a set of variable annuity (VA) contracts, including automatically generating interpreted and compiled contract value projection code; generating vectorized integrated scenario sets including arbitrage-free interest rate, hedging instrument, and VA fund values based on financial market data and regression and cointegration analysis of the VA funds and user-selected hedging instruments; multi-threaded vectorized calculating of present value PVGij of projected VA benefit guarantee cash flows for each VA contract i for each vectorized integrated scenario set j; calculating of differences of PVGij to determine sensitivities to financial parameters (“Greeks”) for each contract; calculating of present value PVAij of projected asset cash flows for each asset i for each vectorized integrated scenario set j; calculating of differences of PVAij to determine sensitivities to financial parameters (“Greeks”) for each asset; and, presenting of summary and detail asset and liability Greeks.
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