US2012221360A1PendingUtilityA1

System and method for determining a premium for insurance for a security

56
Individually held — no corporate assignee on recordPriority: Jun 24, 2004Filed: Apr 12, 2012Published: Aug 30, 2012
Est. expiryJun 24, 2024(expired)· nominal 20-yr term from priority
Inventors:Steven S. SchuverDavid D. SchuverThomas L. Bakos
G06Q 40/03G06Q 40/08
56
PatentIndex Score
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Claims

Abstract

A method for determining a premium for insuring a security comprising the steps of determining an insurance risk premium based upon a security to be insured, determining an expense and profit load, and combining the insurance risk premium and the expense and profit load to determine a total gross premium. A system for determining a premium for insuring a security comprises a computer system capable of having entered information related to a security to be insured, the computer system having a program for calculating an insurance risk premium based upon a security to be insured, for calculating an expense and profit load, and for combining the insurance risk premium and the expense and profit load to determine a total gross premium.

Claims

exact text as granted — not AI-modified
1 . A system for determining a premium for an insurance policy for insuring a security against a change in value of the security comprising a computer system configured to have entered information related to the security to be insured by the insurance policy, the computer system configured to calculate an insurance risk premium based upon the security to be insured by use of an options pricing formula. 
     
     
         2 . The system of  claim 1  further comprising the computer system configured to calculate an expense load and to combine the calculated insurance risk premium with the calculated expense load to determine a total gross premium for the insurance policy. 
     
     
         3 . The system of  claim 1  wherein the options pricing formula is equivalent to determining a price of a put option for the security to be insured. 
     
     
         4 . The system of  claim 1  wherein the options pricing formula is a Black-Scholes pricing formula. 
     
     
         5 . The system of  claim 1  wherein the options pricing formula is a binomial pricing formula. 
     
     
         6 . The system of  claim 1  wherein the options pricing formula is a flexible binomial pricing formula. 
     
     
         7 . The system of  claim 1  wherein the options pricing formula is a finite difference pricing formula. 
     
     
         8 . The system of  claim 1  wherein the options pricing formula is an analytic approximation pricing formula. 
     
     
         9 . The system of  claim 1  further comprising the computer system configured to calculate an expense load by determining an expense similar to buying an option and an expense similar to selling an option. 
     
     
         10 . A system for determining a premium for an insurance policy for insuring a portfolio of securities against a change in value of the portfolio of securities comprising a computer system configured to have entered information related to the portfolio of securities to be insured by the insurance policy, the computer system configured to calculate an insurance risk premium for the portfolio of securities by use of an options pricing formula. 
     
     
         11 . The system of  claim 10  wherein the options pricing formula is a Black-Scholes pricing formula. 
     
     
         12 . The system of  claim 10  wherein the options pricing formula is a binomial pricing formula. 
     
     
         13 . The system of  claim 10  wherein the options pricing formula is a flexible binomial pricing formula. 
     
     
         14 . The system of  claim 10  wherein the options pricing formula is a finite difference pricing formula. 
     
     
         15 . The system of  claim 10  wherein the options pricing formula is an analytic approximation pricing formula. 
     
     
         16 . A system for determining a premium for an insurance policy for insuring a portfolio of securities against a change in value of the portfolio of securities comprising a computer system configured to have entered information related to each of the securities in the portfolio of securities to be insured by the insurance policy, the computer system configured to calculate an insurance risk premium for each of the securities in the portfolio by use of an options pricing formula. 
     
     
         17 . The system of  claim 16  wherein the computer system is further configured to combine each of the calculated insurance risk premiums for each of the securities in the portfolio. 
     
     
         18 . The system of  claim 16  wherein the options pricing formula is a Black-Scholes pricing formula. 
     
     
         19 . The system of  claim 16  wherein the options pricing formula is a binomial pricing formula. 
     
     
         20 . The system of  claim 16  wherein the options pricing formula is a finite difference pricing formula.

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