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Financial activity based on natural peril events

  • US 20090024543A1
  • Filed: 08/06/2008
  • Published: 01/22/2009
  • Est. Priority Date: 12/21/2004
  • Status: Active Grant
First Claim
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1. A computer implemented method for automatically setting prices of financial products in a financial activity having a plurality of possible outcomes, comprising the steps of:

  • receiving a first request from a participant terminal to purchase a financial product for one of the possible outcomes, i; and

    electronically computing a price for the requested financial product, in response to the first request, based at least in part on the following first formula
    Pit=Kπ

    it=K[π

    it−

    1


    tπ

    it−

    1
    (1−

    π

    it−

    1
    )]wherei is the outcome requested by the participant,t is a time index counter designating the current transaction,t−

    1 is a time index counter designating the last previous transaction,Pit is the price for the purchase requested by the participantK=c exp [rj/365],c is a scaling constant,r is a constant proportional to the short term annualized interest rate,j is the relative Julian date since the financial activity was started,π

    it−

    1
    is the last previously calculated pricing probability for outcome iKπ

    it−

    1
    is the last previously calculated price for outcome i, andα

    t is a price adjustment parameter, having a value between 0 and 0.1

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