System And Method For Determining Loss Data Based On Industry Indices

Abstract

Systems and methods for evaluating basis risk associated with index based security instruments. The systems and methods calculating an element factor for each of a plurality of elements based on a modeled company loss for a plurality of events and an industry loss for the plurality of events, calculating a company loss for each element based on the element factor and an industry loss for each of the corresponding elements for each of a plurality of events, comparing the company loss for each element to the modeled company loss for each element for each of the events, wherein the comparing occurs within a layer of interest to determine a basis risk for each of the events and outputting a monetary value of the basis risk for each of the events based on each of the elements.

1 - 22 . (canceled) 
     
     
         23 . A method, comprising:
 calculating, by a computing device, an element factor for each of a plurality of elements based on a modeled company loss for a plurality of events and a modeled industry loss for the plurality of events;   calculating, by the computing device, a modeled company index loss for each element based on the element factor and the modeled industry loss for each of the corresponding elements for each of a plurality of events; and   comparing, by the computing device, the modeled company index loss for each element to the modeled company loss for each element for each of the events, wherein the comparing occurs within a layer of interest to determine a basis risk for each of the events.   
     
     
         24 . The method of  claim 23 , further comprising:
 receiving a weight that modifies the modeled company loss to each event, the weight being based on a value of the modeled company loss for each event in relation to a defined range of losses in the layer of interest for each event, wherein the defined range of losses for each event is less than an entire range of losses for each event; and   modifying the modeled company loss for each event based on the weight assigned to the corresponding event.   
     
     
         25 . The method of  claim 23 , further comprising:
 receiving an adjusted element factor for at least one of the elements;   recalculating the modeled company index loss based on the adjusted element factor; and   recomparing the modeled company index loss to the modeled company loss to determine a new basis risk.   
     
     
         26 . The method of  claim 23 , wherein the modeled company loss for each of the plurality of events is a mean modeled company loss based on a plurality of simulations of each of the events, wherein the mean modeled company loss is based on a primary uncertainty that includes whether the event occurred. 
     
     
         27 . The method of  claim 26 , wherein the modeled company loss for each of the plurality of events further includes a standard deviation loss based on a secondary uncertainty that includes a size of the event. 
     
     
         28 . The method of  claim 23 , further comprising:
 receiving the modeled company loss from a CAT model element, wherein the modeled company loss is an ultimate net loss (UNL).   
     
     
         29 . The method of  claim 23 , further comprising:
 calculating an exact match between the modeled company loss and modeled company index loss in the layer of interest by subtracting a negative basis risk from the modeled company loss.   
     
     
         30 . The method of  claim 23 , further comprising:
 storing a tag to identify characteristics of each event; and   aggregating the modeled company losses for each element for events having a selected characteristic.   
     
     
         31 . The method of  claim 30 , further comprising:
 aggregating one of a positive basis risk and a negative basis risk for each element for the events having the selected characteristic.   
     
     
         32 . The method of  claim 23 , further comprising:
 identifying events having a positive basis risk; and   identifying events having a negative basis risk.   
     
     
         33 . The method of  claim 32 , wherein for each of the events having a positive or negative basis risk, the method further comprising:
 identifying a category for each event, wherein each category includes a range of basis risks.   
     
     
         34 . A non-transitory computer readable storage medium with an executable program stored thereon, wherein the program instructs a processor to perform operations, comprising:
 calculating an element factor for each of a plurality of elements based on a modeled company loss for a plurality of events and a modeled industry loss for the plurality of events;   calculating a modeled company index loss for each element based on the element factor and the modeled industry loss for each of the corresponding elements for each of a plurality of events; and   comparing the modeled company index loss for each element to the modeled company loss for each element for each of the events, wherein the comparing occurs within a layer of interest to determine a basis risk for each of the events.   
     
     
         35 . A system, comprising:
 a memory configured to store a modeled company loss and a modeled industry loss for a plurality of events and a set of instructions; and   a processor configured to execute the set of instructions that cause the processor to:
 calculate an element factor for each of a plurality of elements based on the modeled company loss for a plurality of events and the modeled industry loss for the plurality of events; 
 calculate a modeled company index loss for each element based on the element factor and the modeled industry loss for each of the corresponding elements for each of a plurality of events; and 
 compare the modeled company index loss for each element to the modeled company loss for each element for each of the events, wherein the comparing occurs within a layer of interest to determine a basis risk for each of the events. 
   
     
     
         36 . The system of  claim 35 , wherein the set of instructions further cause the processor to:
 receive a weight that modifies the modeled company loss to each event, the weight being based on a value of the modeled company loss for each event in relation to a defined range of losses in the layer of interest for each event, wherein the defined range of losses for each event is less than an entire range of losses for each event; and   modify the modeled company loss for each event based on the weight assigned to the corresponding event.   
     
     
         37 . The system of  claim 35 , wherein the set of instructions further cause the processor to:
 receive an adjusted element factor for at least one of the elements;   recalculate the modeled company index loss based on the adjusted element factor; and   recompare the modeled company index loss to the modeled company loss to determine a new basis risk.   
     
     
         38 . The system of  claim 35 , wherein the modeled company loss for each of the plurality of events is a mean modeled company loss based on a plurality of simulations of each of the events, wherein the mean modeled company loss is based on a primary uncertainty that includes whether the event occurred. 
     
     
         39 . The system of  claim 38 , wherein the modeled company loss for each of the plurality of events further includes a standard deviation loss based on a secondary uncertainty that includes a size of the event. 
     
     
         40 . The system of  claim 35 , wherein the set of instructions further cause the processor to:
 calculate an exact match between the modeled company loss and modeled company index loss in the layer of interest by subtracting a negative basis risk from the modeled company loss.   
     
     
         41 . The system of  claim 35 , wherein the memory stores a tag to identify characteristics of each event and the set of instructions further cause the processor to:
 aggregate the modeled company losses for each element for events having a selected characteristic; and   aggregate one of a positive basis risk and a negative basis risk for each element for the events having the selected characteristic.   
     
     
         42 . The system of  claim 35 , wherein the set of instructions further cause the processor to:
 for each event:
 identify whether the event has a positive basis risk or a negative basis risk; and 
 identify a category for each event, wherein each category includes a range of basis risks.