Pension fund systems

US8533087B2 · kind B2 · utility

Assignee

• Pensions First Group LLP · GB

Inventors

• Timothy M. Lyons · Batavia, US
• Jonathan Stolerman · 276th Street, GB
• Wayne Chen · Sunnyvale, US
• Darren Best · London, GB

Key dates

• Filing date: Nov 4, 2009
• Grant date: Sep 10, 2013
• Expiry date: Nov 4, 2029

Classification

• Technology area (CPC G): Physics
• CPC primary: G06Q40/04
• WIPO field: IT methods for management
• WIPO sector: Electrical engineering

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. The method comprises: (a) calculating, using computing apparatus, an expected payment schedule of the financial instrument by calculating what the cash flow obligations of the pension scheme to its relevant members would be in the case of an expected longevity scenario for the pension scheme membership occurring; (b) calculating, using computing apparatus, a present value of the financial instrument in the case of a stressed longevity scenario for the pension scheme membership in which a longevity-related shock to the expected longevity scenario of the pension scheme membership occurs; and (c) calculating, using computing apparatus and using the calculations of the expected payment schedule and a present value of the financial instrument in the case of a stressed longevity…