The patent badge is an abbreviated version of the USPTO patent document. The patent badge does contain a link to the full patent document.
The patent badge is an abbreviated version of the USPTO patent document. The patent badge covers the following: Patent number, Date patent was issued, Date patent was filed, Title of the patent, Applicant, Inventor, Assignee, Attorney firm, Primary examiner, Assistant examiner, CPCs, and Abstract. The patent badge does contain a link to the full patent document (in Adobe Acrobat format, aka pdf). To download or print any patent click here.
Patent No.:
Date of Patent:
Mar. 06, 2012
Filed:
May. 09, 2005
Richard C. Payne, Mississauga, CA;
Richard C. Payne, Mississauga, CA;
Genesis Financial Products, Inc., Mississauga, Ontario, CA;
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 PVGof projected VA benefit guarantee cash flows for each VA contract i for each vectorized integrated scenario set j; calculating of differences of PVGto determine sensitivities to financial parameters ('Greeks') for each contract; calculating of present value PVAof projected asset cash flows for each asset i for each vectorized integrated scenario set j; calculating of differences of PVAto determine sensitivities to financial parameters ('Greeks') for each asset; and, presenting of summary and detail asset and liability Greeks.