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Valoración de un seguro de vida mediante opciones exóticas.
- Source :
-
Revista de Metodos Cuantitativos para la Economia y la Empresa . dic2021, Vol. 32, p214-240. 27p. - Publication Year :
- 2021
-
Abstract
- This paper presents the analysis and valuation of an individual, temporary, and leveled-prime life insurance. It starting point is an analogy between contract rules and a financial exotic option. In particular, a cash or nothing option. Several cases are presented from a person with different age and gender, and sensitivity to different probability distributions are tested using Monte Carlo simulation. All cases are adjusted to Argentinean recent data in order to estimate exercise prices, main variable to estimate the contract value. Prime market values used on this work are more than double than the theoretical value found on the exotic option while comparing them to identical contract conditions such as insured amount, time frame and demographic conditions of the individual. [ABSTRACT FROM AUTHOR]
- Subjects :
- *LIFE insurance
*DISTRIBUTION (Probability theory)
*GENDER
*MARKET value
*ANALOGY
Subjects
Details
- Language :
- Spanish
- ISSN :
- 1886516X
- Volume :
- 32
- Database :
- Academic Search Index
- Journal :
- Revista de Metodos Cuantitativos para la Economia y la Empresa
- Publication Type :
- Academic Journal
- Accession number :
- 153987576
- Full Text :
- https://doi.org/10.46661/revmetodoscuanteconempresa.4500