Patent ID: 8374938

Claim:
A computer implemented method for implementing a longevity bond management system, the method comprising: issuing, through a special purpose vehicle, by one or more computers, a longevity bond having returns following a longevity index defined for a reference population of a pre-selected cohort of beneficiaries, wherein the longevity index has a best estimate value at inception of the index for each year during a lifespan of the longevity bond; receiving from investors a payment amount for investment in the longevity bond; investing the payment amount in a collateral pool held by a custodian; receiving cash flows from the investment in the collateral pool; entering into a swap to exchange the cash flows from the investment for an amount calculated based on a difference between an actual value of the longevity index for a given year of the longevity bond based on mortality of members of the pre-selected cohort and the best-estimate value of the longevity index amount for the given year of the longevity bond; calculating, by said one or more computers, based on both the best estimate value of the longevity index for the given year of the longevity bond and the actual value of the longevity index for the given year of the longevity bond, a periodic payment to the investors, wherein calculating includes increasing the periodic payment when longevity of the pre-selected cohort exceeds expectations and decreasing the periodic payment when longevity of the pre-selected cohort falls short of expectations; and forwarding the calculated periodic payment to the investors.