Hybrid Simulation Methodologies To Simulate Risk Factors
First Claim
1. A computer-implemented method for providing a simulated forecast based on correlated members of a pool of input risk factor variables representing input data, the method comprising:
- identifying certain members of the pool of input risk factor variables as being members of a first set of variables, and identifying certain other members of the pool of input risk factor variables as being members of a second set of variables;
generating a first simulation via a first simulation method using the first set of variables to generate a set of first results;
generating a second simulation via a second simulation method that differs from the first simulation method using the second set of variables to generate a set of second results;
the first simulation and the second simulation being generated utilizing correlations among variables in the first set of variables and variables in the second set of variables; and
storing the set of first results and the set of second results as a simulated forecast in a computer-readable memory.
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Abstract
Computer-implemented systems and methods are provided for generating a simulated forecast based on members of a pool of input risk factor variables. Certain members of the pool of input risk factor variables are identified as members of a first set of variables, and certain other members of the pool of input risk factor variables are identified as members of a second set of variables. A first simulation is generated via a first simulation method using the first set of variables, and a second simulation is generated via a second simulation method that differs from the first simulation method using the second set of variables. The first simulation and the second simulation are generated using correlations among variables in the first set of variables and variables in the second set of variables.
76 Citations
20 Claims
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1. A computer-implemented method for providing a simulated forecast based on correlated members of a pool of input risk factor variables representing input data, the method comprising:
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identifying certain members of the pool of input risk factor variables as being members of a first set of variables, and identifying certain other members of the pool of input risk factor variables as being members of a second set of variables; generating a first simulation via a first simulation method using the first set of variables to generate a set of first results; generating a second simulation via a second simulation method that differs from the first simulation method using the second set of variables to generate a set of second results; the first simulation and the second simulation being generated utilizing correlations among variables in the first set of variables and variables in the second set of variables; and storing the set of first results and the set of second results as a simulated forecast in a computer-readable memory. - View Dependent Claims (2, 3, 4, 5, 6, 7, 8, 9, 10, 11, 12, 13, 14, 15)
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16. A computer-implemented system for providing a simulated forecast based on correlated members of a pool of input risk factor variables representing input data, the system comprising:
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a data processor; a computer-readable memory encoded with instructions for commanding the data processor to implement a method, the method comprising; identifying certain members of the pool of input risk factor variables as being members of a first set of variables, and identifying certain other members of the pool of input risk factor variables as being members of a second set of variables; generating a first simulation via a first simulation method using the first set of variables to generate a set of first results; generating a second simulation via a second simulation method that differs from the first simulation method using the second set of variables to generate a set of second results; the first simulation and the second simulation being generated utilizing correlations among variables in the first set of variables and variables in the second set of variables; and storing the set of first results and the set of second results as a simulated forecast in a computer-readable memory. - View Dependent Claims (17, 18, 19)
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20. A computer-readable memory encoded with instructions for commanding a data processor to execute a method, the method comprising:
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identifying certain members of the pool of input risk factor variables as being members of a first set of variables, and identifying certain other members of the pool of input risk factor variables as being members of a second set of variables; generating a first simulation via a first simulation method using the first set of variables to generate a set of first results; generating a second simulation via a second simulation method that differs from the first simulation method using the second set of variables to generate a set of second results; the first simulation and the second simulation being generated utilizing correlations among variables in the first set of variables and variables in the second set of variables; and storing the set of first results and the set of second results as a simulated forecast in a computer-readable memory.
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Specification