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Life settlements: análisis descriptivo y aspectos cuantitativos

  • Dades identificatives

    Identificador: imarina:9216842
    Autors:
    de Andres-Sanchez, JorgeGonzalez-Vila Puchades, Laura
    Resum:
    A life settlement is a financial transaction by which an existing life insurance policy is sold to an investor for a greater price than its cash surrender value. In this way, the investor undertakes to pay, if any, the outstanding premiums and has the right to receive the death benefit when the insured dies. This work carries out a descriptive analysis of this type of transaction and a study of its main quantitative aspects. Thus, among other aspects, an overview of the product is offered and its main agents, the nature of the parameters involved in its value and the risks related to it are described. In regards to the quantitative point of view, a new way of analysing the sensitivity of the price of a life settlement to changes in the insured's life expectancy is introduced. Indeed, we extend the duration and convexity indicators of Stone and Zissu (2008), which use a deterministic approach, to the analytical framework provided by the probabilistic valuation method. Then, we propose to measure the sensitivity of this product to changes in the insured's mortality multiplier, and not in their life expectancy. The paper also describes the applicability of the new measures for risk management purposes.
  • Altres:

    Autor segons l'article: de Andres-Sanchez, Jorge; Gonzalez-Vila Puchades, Laura;
    Departament: Gestió d'Empreses
    Autor/s de la URV: De Andrés Sànchez, Jorge
    Paraules clau: Sensitivity analysis Seguro de vida Multiplicador de mortalidad Mortality multiplier Life settlement Life insurance Life expectancy Hedging longevity risk Esperanza de vida Duration Analisis de sensibilidad
    Resum: A life settlement is a financial transaction by which an existing life insurance policy is sold to an investor for a greater price than its cash surrender value. In this way, the investor undertakes to pay, if any, the outstanding premiums and has the right to receive the death benefit when the insured dies. This work carries out a descriptive analysis of this type of transaction and a study of its main quantitative aspects. Thus, among other aspects, an overview of the product is offered and its main agents, the nature of the parameters involved in its value and the risks related to it are described. In regards to the quantitative point of view, a new way of analysing the sensitivity of the price of a life settlement to changes in the insured's life expectancy is introduced. Indeed, we extend the duration and convexity indicators of Stone and Zissu (2008), which use a deterministic approach, to the analytical framework provided by the probabilistic valuation method. Then, we propose to measure the sensitivity of this product to changes in the insured's mortality multiplier, and not in their life expectancy. The paper also describes the applicability of the new measures for risk management purposes.
    Àrees temàtiques: Strategy and management Revistas de ciencias economicas y empresariales Organizational behavior and human resource management Organizational behavior and human reso Marketing Industrial relations Finance Economics, econometrics and finance (miscellaneous) Economics Economia Ciencias sociales Business, management and accounting (miscellaneous) Business and management Business and international management Business
    Accès a la llicència d'ús: https://creativecommons.org/licenses/by/3.0/es/
    Adreça de correu electrònic de l'autor: jorge.deandres@urv.cat jorge.deandres@urv.cat
    Identificador de l'autor: 0000-0002-7715-779X 0000-0002-7715-779X
    Data d'alta del registre: 2024-07-27
    Versió de l'article dipositat: info:eu-repo/semantics/publishedVersion
    Enllaç font original: https://addi.ehu.es/handle/10810/52000
    URL Document de llicència: https://repositori.urv.cat/ca/proteccio-de-dades/
    Referència a l'article segons font original: Cuadernos De Gestion. 21 (2): 19-34
    Referència de l'ítem segons les normes APA: de Andres-Sanchez, Jorge; Gonzalez-Vila Puchades, Laura; (2021). Life settlements: análisis descriptivo y aspectos cuantitativos. Cuadernos De Gestion, 21(2), 19-34. DOI: 10.5295/cdg.191209lg
    DOI de l'article: 10.5295/cdg.191209lg
    Entitat: Universitat Rovira i Virgili
    Any de publicació de la revista: 2021
    Tipus de publicació: Journal Publications
  • Paraules clau:

    Business,Business and International Management,Business, Management and Accounting (Miscellaneous),Economics, Econometrics and Finance (Miscellaneous),Finance,Industrial Relations,Management,Marketing,Organizational Behavior and Human Reso,Organizational Behavior and Human Resource Management,Strategy and Management
    Sensitivity analysis
    Seguro de vida
    Multiplicador de mortalidad
    Mortality multiplier
    Life settlement
    Life insurance
    Life expectancy
    Hedging longevity risk
    Esperanza de vida
    Duration
    Analisis de sensibilidad
    Strategy and management
    Revistas de ciencias economicas y empresariales
    Organizational behavior and human resource management
    Organizational behavior and human reso
    Marketing
    Industrial relations
    Finance
    Economics, econometrics and finance (miscellaneous)
    Economics
    Economia
    Ciencias sociales
    Business, management and accounting (miscellaneous)
    Business and management
    Business and international management
    Business
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