Patent ID: 8577786

Claim:
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, wherein the systemic risk product is a reinsurance product and the settlement amount is calculated based on: Settlement Amount=(Min(Max(industry index value−index trigger, 0), index limit) times a scalar to convert industry index value to monetary value)−an amount paid by a buyer of the systemic risk product in a layer, wherein the index trigger, the index limit, the scalar and the layer are terms of the systemic risk product.