Life settlements: análisis descriptivo y aspectos cuantitativos

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Publicado 10-12-2020
Jorge de Andrés Sánchez Laura González

Resumen

Un life settlement es una transacción financiera por la que el tomador de un seguro de vida, pagadero al fallecimiento del asegurado, vende su póliza a un inversor por un precio superior al que obtendría en caso de rescatar dicha póliza. De esta forma, el inversor asume el compromiso de pagar, si existen, las primas pendientes y adquiere el derecho de cobro de la suma asegurada cuando el asegurado fallezca. En el presente trabajo se realiza tanto un análisis descriptivo de este tipo de transacciones, como un estudio de sus principales aspectos cuantitativos. Así, entre otros aspectos, se ofrece una visión general del producto y se describen sus principales actores, la naturaleza de los parámetros que intervienen en su valor y los riesgos asociados en relación a éste. Desde el punto de vista cuantitativo, se introduce una nueva forma de analizar la sensibilidad del precio de un life settlement frente a variaciones de la esperanza de vida del asegurado. En efecto, extendemos los indicadores duración y convexidad de Stone y Zissu (2008), que usan un enfoque determinista, al marco analítico que proporciona el método de valoración denominado probabilístico y proponemos medir la sensibilidad del valor de este producto frente a variaciones del multiplicador de la probabilidad de mortalidad del asegurado, y no de su esperanza de vida. Asimismo, se describe la aplicabilidad de las nuevas medidas para la gestión de riesgos.

Cómo citar

de Andrés Sánchez, J., & González, L. (2020). Life settlements: análisis descriptivo y aspectos cuantitativos. Cuadernos De Gestión, 21(2). https://doi.org/10.5295/cdg.191209lg
Abstract 122 | PDF Downloads 41

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Keywords

Life settlement, Seguro de vida, Esperanza de vida, Análisis de sensibilidad, Multiplicador de mortalidad

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