System And Method For Providing Systemic Casualty Reserve Protection

Abstract

A system, method and computer readable storage medium for calculating a first industry index amount at an index year based on selected loss values for the index year for a plurality of companies in a defined line of business and a predetermined number of years preceding the index year for the plurality of companies and loss estimates for a number of years subsequent to the index year corresponding to a predetermined term of a systemic risk product for the plurality of companies, calculating a second industry index amount based on selected loss values for the index year for the plurality of companies, a predetermined number of years preceding the index year for the plurality of companies and at least one year subsequent to the index year and calculating an industry index value based on the first and second industry index amount.

1 - 24 . (canceled) 
     
     
         25 . A method, comprising:
 calculating, by a processor, a first industry index amount at an index year based on (i) selected actual loss values for the index year for a plurality of companies in a defined line of business, (ii) selected actual loss values for a predetermined number of years preceding the index year for the plurality of companies in the defined line of business, and (iii) loss estimates for a number of years subsequent to the index year corresponding to a predetermined term of a systemic risk product for the plurality of companies in the defined line of business;   calculating, by the processor, a second industry index amount based on (i) the selected actual loss values for the index year for the plurality of companies in the defined line of business, (ii) the selected actual loss values for the predetermined number of years preceding the index year for the plurality of companies in the defined line of business, and (iii) selected actual loss values for at least one year subsequent to the index year for the plurality of companies in the defined line of business, wherein the at least one year subsequent to the index year is equal to the predetermined term of the systemic risk product;   calculating, by the processor, an industry index value based on the first and second industry index amounts; and   calculating a settlement amount based on the industry index value, an index trigger and an index limit.   
     
     
         26 . The method of  claim 25 , wherein the defined line of business is based on a Schedule P defined line of business, wherein the Schedule P is a National Association of Insurance Commissioners (NAIC), Annual Statement schedule, wherein the Schedule P includes defined lines of business. 
     
     
         27 . The method of  claim 25 , wherein the selected actual loss values for the index year are one of actual paid loss values and case reserved loss values from Schedule P filings for the plurality of companies, wherein the Schedule P filings are a National Association of Insurance Commissioners (NAIC), Annual Statement schedule, wherein each Schedule P includes ten years worth of paid loss data. 
     
     
         28 . The method of  claim 25 , wherein the predetermined term is any of one year to nine years. 
     
     
         29 . The method of  claim 25 , wherein the selected actual loss values for the index year and the loss estimates are one of gross losses or net losses. 
     
     
         30 . The method of  claim 25 , further comprising:
 determining a portion of the selected actual loss values for the predetermined number of years preceding the index year for adjustment based on a consistency check; and   adjusting, prior to calculating the first and second industry indices, the portion of the selected actual loss values for the predetermined number of years preceding the index year.   
     
     
         31 . The method of  claim 25 , wherein calculating the second industry index comprises:
 calculating an interim industry index amount based on the selected actual loss values for the index year for the plurality of companies, the predetermined number of years preceding the index year for the plurality of companies and at least one year subsequent to the index year; and   calculating a final industry index amount based on the selected actual loss values for the index year for the plurality of companies, the predetermined number of years preceding the index year for the plurality of companies and the number of years subsequent to the index year corresponding to the predetermined term of the systemic risk product,   wherein the industry index value is calculated based on the first, interim and final industry index amounts.   
     
     
         32 . A system, comprising:
 a memory storing a set of instructions; and   a processor executing the set of instructions to perform operations comprising:   calculating a first industry index amount at an index year based on (i) selected actual loss values for the index year for a plurality of companies in a defined line of business, (ii) selected actual loss values for a predetermined number of years preceding the index year for the plurality of companies in the defined line of business, and (iii) loss estimates for a number of years subsequent to the index year corresponding to a predetermined term of a systemic risk product for the plurality of companies in the defined line of business;   calculating a second industry index amount based on (i) the selected actual loss values for the index year for the plurality of companies in the defined line of business, (ii) the selected actual loss values for the predetermined number of years preceding the index year for the plurality of companies in the defined line of business, and (iii) selected actual loss values for at least one year subsequent to the index year for the plurality of companies in the defined line of business, wherein the at least one year subsequent to the index year is equal to the predetermined term of the systemic risk product;   calculating an industry index value based on the first and second industry index amounts; and   calculating a settlement amount based on the industry index value, an index trigger and an index limit.   
     
     
         33 . The system of  claim 32 , wherein the defined line of business is based on a Schedule P defined line of business, wherein the Schedule P is a National Association of Insurance Commissioners (NAIC), Annual Statement schedule, wherein the Schedule P includes defined lines of business. 
     
     
         34 . The system of  claim 32 , wherein the selected actual loss values for the index year are one of actual paid loss values and case reserved loss values from Schedule P filings for the plurality of companies, wherein the Schedule P filings are a National Association of Insurance Commissioners (NAIC), Annual Statement schedule, wherein each Schedule P includes ten years worth of paid loss data. 
     
     
         35 . The system of  claim 32 , wherein the predetermined term is any of one year to nine years. 
     
     
         36 . The system of  claim 32 , wherein the selected loss actual values for the index year and the loss estimates are one of gross losses or net losses. 
     
     
         37 . The system of  claim 32 , wherein the operations further comprise:
 determining a portion of the selected actual loss values for the predetermined number of years preceding the index year for adjustment based on a consistency check; and   adjusting, prior to calculating the first and second industry indices, the portion of the selected actual loss values for the predetermined number of years preceding the index year.   
     
     
         38 . The system of  claim 32 , wherein the operations further comprise:
 calculating an interim industry index amount based on the selected actual loss values for the index year for the plurality of companies, the predetermined number of years preceding the index year for the plurality of companies and at least one year subsequent to the index year; and   calculating a final industry index amount based on the selected actual loss values for the index year for the plurality of companies, the predetermined number of years preceding the index year for the plurality of companies and the number of years subsequent to the index year corresponding to the predetermined term of the systemic risk product,   wherein the industry index value is calculated based on the first, interim and final industry index amounts.   
     
     
         39 . A non-transitory computer readable storage medium with an executable program stored thereon, wherein the program instructs a processor to perform the following steps:
 calculating a first industry index amount at an index year based on (i) selected actual loss values for the index year for a plurality of companies in a defined line of business, (ii) selected actual loss values for a predetermined number of years preceding the index year for the plurality of companies in the defined line of business, and (iii) loss estimates for a number of years subsequent to the index year corresponding to a predetermined term of a systemic risk product for the plurality of companies in the defined line of business;   calculating a second industry index amount based on (i) the selected actual loss values for the index year for the plurality of companies in the defined line of business, (ii) the selected actual loss values for the predetermined number of years preceding the index year for the plurality of companies in the defined line of business, and (iii) selected actual loss values for at least one year subsequent to the index year for the plurality of companies in the defined line of business, wherein the at least one year subsequent to the index year is equal to the predetermined term of the systemic risk product;   calculating an industry index value based on the first and second industry index amounts, and   calculating a settlement amount based on the industry index value, an index trigger and an index limit.   
     
     
         40 . The non-transitory computer readable storage medium of  claim 39 , wherein the steps further comprises:
 determining a portion of the selected actual loss values for the predetermined number of years preceding the index year for adjustment based on a consistency check; and   adjusting, prior to calculating the first and second industry indices, the portion of the selected actual loss values for the predetermined number of years preceding the index year.   
     
     
         41 . The non-transitory computer readable storage medium of  claim 39 , wherein the steps further comprise:
 calculating an interim industry index amount based on the selected actual loss values for the index year for the plurality of companies, the predetermined number of years preceding the index year for the plurality of companies and at least one year subsequent to the index year; and   calculating a final industry index amount based on the selected actual loss values for the index year for the plurality of companies, the predetermined number of years preceding the index year for the plurality of companies and the number of years subsequent to the index year corresponding to the predetermined term of the systemic risk product,   wherein the industry index value is calculated based on the first, interim and final industry index amounts.