Patent ID: 6343272
Filing Date: 2002-01-29
Classification: G06Q

Abstract:
A computer system comprising:collection means for collecting and inputting an initial premium value for at least one account at a first time period; said at least one account comprises an account value, wherein at said first time period said account value is based on said initial premium value, and during successive time periods said account value varies at a value rate when said value rate is greater than a floor rate and said account value varies at said floor rate when said value rate is less than said floor rate; wherein said value rate comprises the product of a participation rate and a change in a value of a predetermined stock index, wherein the participation rate is a predetermined percentage; input means for receiving said values of said predetermined stock index; account valuation and hedge factor means for determining an account value of said account and for determining a benefit hedge factors from at least said participation rate and said floor rate; transfer command means for outputting a transfer command to transfer assets to at least one fixed rate instrument and at least one hedging instrument relative to said benefit hedge factors; and participation rate determining means for determining said participation rate in at least one of said successive periods according to: 1=E+OC+1/(1+Y) â€ƒwherein E is a percentage of premium expense factor, OC is a cost of an equity participation option based on said participation rate, and Y is a yield on fixed rate instruments with a maturity equal to said hedging instrument.