Autor según el artículo: de Andres-Sanchez, Jorge; Gonzalez-Vila Puchades, Laura;

Departamento: Gestió d'Empreses

Autor/es de la URV: De Andrés Sànchez, Jorge

Palabras clave: 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

Resumen: 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.

Áreas temáticas: Strategy and management Revistas de ciencias economicas y empresariales Organizational behavior and human resource management 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

Acceso a la licencia de uso: https://creativecommons.org/licenses/by/3.0/es/

Direcció de correo del autor: jorge.deandres@urv.cat

Identificador del autor: 0000-0002-7715-779X

Fecha de alta del registro: 2023-06-17

Versión del articulo depositado: info:eu-repo/semantics/publishedVersion

Enlace a la fuente original: https://addi.ehu.es/handle/10810/52000

URL Documento de licencia: http://repositori.urv.cat/ca/proteccio-de-dades/

Referencia al articulo segun fuente origial: Cuadernos De Gestion. 21 (2): 19-34

Referencia 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 del artículo: 10.5295/cdg.191209lg

Entidad: Universitat Rovira i Virgili

Año de publicación de la revista: 2021

Tipo de publicación: Journal Publications