Processing

Please wait...

Settings

Settings

Goto Application

1. WO2020192866 - STRUCTURED LIABILITY RISKS PARAMETRIZING AND FORECASTING SYSTEM PROVIDING COMPOSITE MEASURES BASED ON A REDUCED-TO-THE-MAX OPTIMIZATION APPROACH AND QUANTITATIVE YIELD PATTERN LINKAGE AND CORRESPONDING METHOD

Publication Number WO/2020/192866
Publication Date 01.10.2020
International Application No. PCT/EP2019/057238
International Filing Date 22.03.2019
Chapter 2 Demand Filed 03.09.2019
IPC
G06Q 10/06 2012.01
GPHYSICS
06COMPUTING; CALCULATING OR COUNTING
QDATA PROCESSING SYSTEMS OR METHODS, SPECIALLY ADAPTED FOR ADMINISTRATIVE, COMMERCIAL, FINANCIAL, MANAGERIAL, SUPERVISORY OR FORECASTING PURPOSES; SYSTEMS OR METHODS SPECIALLY ADAPTED FOR ADMINISTRATIVE, COMMERCIAL, FINANCIAL, MANAGERIAL, SUPERVISORY OR FORECASTING PURPOSES, NOT OTHERWISE PROVIDED FOR
10Administration; Management
06Resources, workflows, human or project management, e.g. organising, planning, scheduling or allocating time, human or machine resources; Enterprise planning; Organisational models
G06Q 40/08 2012.01
GPHYSICS
06COMPUTING; CALCULATING OR COUNTING
QDATA PROCESSING SYSTEMS OR METHODS, SPECIALLY ADAPTED FOR ADMINISTRATIVE, COMMERCIAL, FINANCIAL, MANAGERIAL, SUPERVISORY OR FORECASTING PURPOSES; SYSTEMS OR METHODS SPECIALLY ADAPTED FOR ADMINISTRATIVE, COMMERCIAL, FINANCIAL, MANAGERIAL, SUPERVISORY OR FORECASTING PURPOSES, NOT OTHERWISE PROVIDED FOR
40Finance; Insurance; Tax strategies; Processing of corporate or income taxes
08Insurance, e.g. risk analysis or pensions
G06Q 40/02 2012.01
GPHYSICS
06COMPUTING; CALCULATING OR COUNTING
QDATA PROCESSING SYSTEMS OR METHODS, SPECIALLY ADAPTED FOR ADMINISTRATIVE, COMMERCIAL, FINANCIAL, MANAGERIAL, SUPERVISORY OR FORECASTING PURPOSES; SYSTEMS OR METHODS SPECIALLY ADAPTED FOR ADMINISTRATIVE, COMMERCIAL, FINANCIAL, MANAGERIAL, SUPERVISORY OR FORECASTING PURPOSES, NOT OTHERWISE PROVIDED FOR
40Finance; Insurance; Tax strategies; Processing of corporate or income taxes
02Banking, e.g. interest calculation, credit approval, mortgages, home banking or on-line banking
CPC
G06Q 10/0635
GPHYSICS
06COMPUTING; CALCULATING; COUNTING
QDATA PROCESSING SYSTEMS OR METHODS, SPECIALLY ADAPTED FOR ADMINISTRATIVE, COMMERCIAL, FINANCIAL, MANAGERIAL, SUPERVISORY OR FORECASTING PURPOSES; SYSTEMS OR METHODS SPECIALLY ADAPTED FOR ADMINISTRATIVE, COMMERCIAL, FINANCIAL, MANAGERIAL, SUPERVISORY OR FORECASTING PURPOSES, NOT OTHERWISE PROVIDED FOR
10Administration; Management
06Resources, workflows, human or project management, e.g. organising, planning, scheduling or allocating time, human or machine resources; Enterprise planning; Organisational models
063Operations research or analysis
0635Risk analysis
G06Q 40/025
GPHYSICS
06COMPUTING; CALCULATING; COUNTING
QDATA PROCESSING SYSTEMS OR METHODS, SPECIALLY ADAPTED FOR ADMINISTRATIVE, COMMERCIAL, FINANCIAL, MANAGERIAL, SUPERVISORY OR FORECASTING PURPOSES; SYSTEMS OR METHODS SPECIALLY ADAPTED FOR ADMINISTRATIVE, COMMERCIAL, FINANCIAL, MANAGERIAL, SUPERVISORY OR FORECASTING PURPOSES, NOT OTHERWISE PROVIDED FOR
40Finance; Insurance; Tax strategies; Processing of corporate or income taxes
02Banking, e.g. interest calculation, credit approval, mortgages, home banking or on-line banking
025Credit processing or loan processing, e.g. risk analysis for mortgages
G06Q 40/08
GPHYSICS
06COMPUTING; CALCULATING; COUNTING
QDATA PROCESSING SYSTEMS OR METHODS, SPECIALLY ADAPTED FOR ADMINISTRATIVE, COMMERCIAL, FINANCIAL, MANAGERIAL, SUPERVISORY OR FORECASTING PURPOSES; SYSTEMS OR METHODS SPECIALLY ADAPTED FOR ADMINISTRATIVE, COMMERCIAL, FINANCIAL, MANAGERIAL, SUPERVISORY OR FORECASTING PURPOSES, NOT OTHERWISE PROVIDED FOR
40Finance; Insurance; Tax strategies; Processing of corporate or income taxes
08Insurance, e.g. risk analysis or pensions
Applicants
  • SWISS REINSURANCE COMPANY LTD. [CH]/[CH]
Inventors
  • KUKSIN, Nikita
  • TROITZISCH, Raphael
Agents
  • LEIMGRUBER, Fabian
Priority Data
Publication Language English (EN)
Filing Language English (EN)
Designated States
Title
(EN) STRUCTURED LIABILITY RISKS PARAMETRIZING AND FORECASTING SYSTEM PROVIDING COMPOSITE MEASURES BASED ON A REDUCED-TO-THE-MAX OPTIMIZATION APPROACH AND QUANTITATIVE YIELD PATTERN LINKAGE AND CORRESPONDING METHOD
(FR) SYSTÈME DE PARAMÉTRAGE ET DE PRÉVISION DE RISQUES DE RESPONSABILITÉ STRUCTURÉE FOURNISSANT DES MESURES COMPOSITES SUR LA BASE D'UNE APPROCHE D'OPTIMISATION RÉDUITE À MAX ET D'UNE LIAISON DE MOTIF DE RENDEMENT QUANTITATIF ET PROCÉDÉ CORRESPONDANT
Abstract
(EN)
Proposed is a system (10) providing a liability temperature measure (31) for liability systems (1) based on a time-dependent, composite indexing parameter (17). Measurement parameters assigned to parameterized liability risk drivers (311-313) are measured for generating the measured time-dependent, composite indexing parameter (17). The used liability risk drivers (311-313) are selected based on their impact to the measured variable composite index parameter and dynamically normalized to each other. The normalization is based on a defined transformation (151) applied to the final time series of the parameters providing individual set weights (1511,…,1513), wherein based on the weighted liability risk drivers (311-313) and sets of liability risk drivers (311-313), a minimum number (192) of liability risk drivers (311-313) in relation to maximized statistical significance is selected by applying an index assembly and validation unit (19), and wherein the index assembly and validation unit (19) provides the minimum number (192) of liability risk drivers (311-313) as a reduced set (161) of liability risk drivers out of all available liability risk drivers (16) using best fit characteristics (191). The driver selector (15) dynamically adapts the minimum number (192) of liability risk drivers (311-313) varying the liability risk drivers (311-313) in relation to the measured liability exposure signal (31) by periodic time response, wherein the time-dependent composite index parameter (17) is generated based on the adapted reduced set (161) of liability risk drivers (311-313).
(FR)
L’invention concerne un système (10) qui fournit une mesure de température de responsabilité (31) pour des systèmes de responsabilité (1) sur la base d'un paramètre d'indexation composite dépendant du temps (17). Des paramètres de mesure attribués à des facteurs de risque de responsabilité paramétrés (311 - 313) sont mesurés pour générer le paramètre d'indexation composite dépendant du temps (17) mesuré. Les facteurs de risque de responsabilité utilisés (311 - 313) sont sélectionnés sur la base de leur impact sur le paramètre d'indice composite variable mesuré et normalisés dynamiquement les uns par rapport aux autres. La normalisation est basée sur une transformation définie (151) appliquée à la série chronologique finale des paramètres fournissant des poids définis individuels (1511, …,1513). Sur la base des facteurs de risque de responsabilité pondérés (311 - 313) et des ensembles de facteurs de risque de responsabilité (311 - 313), un nombre minimum (192) de facteurs de risque de responsabilité (311 - 313) en relation avec une signification statistique maximisée est sélectionné par application d'un ensemble index et d'une unité de validation (19), et l'ensemble index et l'unité de validation (19) fournissent le nombre minimum (192) de facteurs de risque de responsabilité (311 - 313) en tant qu'ensemble réduit (161) de facteurs de risque de responsabilité parmi tous les facteurs de risque de responsabilité disponibles (16) à l'aide de meilleures caractéristiques d'ajustement (191). Le sélecteur de facteur (15) adapte de façon dynamique le nombre minimum (192) de facteurs de risque de responsabilité (311 - 313) faisant varier les facteurs de risque de responsabilité (311 - 313) par rapport au signal d'exposition de responsabilité mesuré (31) par réponse temporelle périodique, le paramètre d'indice composite dépendant du temps (17) étant généré sur la base de l'ensemble réduit adapté (161) de facteurs de risque de responsabilité (311 - 313).
Latest bibliographic data on file with the International Bureau