Establishment of demand security is a key incentive to boosting oil and gas investments in countries, thus, making the study of demand security also critical. In the present research, the primary aim is to explore the capacity of Caspian Markets in establishing energy demand security in the Caspian region and investigate its impact on oil and gas exports from the region. Therefore, additional factors such as political issues, international support and geographical limitations should also be considered for the determination of energy demand security. To address this need, a hybrid index is proposed that characterizes energy demand security in the Caspian region. In this research, we have looked at the countries of the Caspian region as a collective identity and we have avoided looking at the particular country of the Caspian region. In this study, we have used analytic hierarchy process (AHP method) to make hybrid index (Caspian energy demand security index). Results produced by the hybrid index demonstrate the superior state of Iran and Russia’s swap markets in establishing demand security in the Caspian region in the years 2020 and 2030 when compared to the markets of China, European Union (EU) and India that follow, respectively. The exception to this trend is that in 2030, the European Union will demand more Caspian gas than China.