Coherent pricing of life settlements under asymmetric information
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| Tag | 1 | 2 | Value |
|---|---|---|---|
| LDR | 00000cab a2200000 4500 | ||
| 001 | MAP20130031408 | ||
| 003 | MAP | ||
| 005 | 20131009090306.0 | ||
| 008 | 130930e20130902esp|||p |0|||b|eng d | ||
| 040 | $aMAP$bspa$dMAP | ||
| 084 | $a341 | ||
| 100 | $0MAPA20110028862$aZhu, Nan | ||
| 245 | 1 | 0 | $aCoherent pricing of life settlements under asymmetric information$cNan Zhu, Daniel Bauer |
| 520 | $aAlthough life settlements are advertised to deliver a profitable investment opportunity with a low correlation to market systematic risk, recent investigations reveal a discrepancy of expected and realized returns. While thus far this discrepancy has been attributed to the (allegedly) poor quality of the underlying life expectancy estimates, we present a different explanation of the seemingly high reported expected returns based on {adverse selection. In particular, we provide a coherent pricing mechanism and pricing formulas in the presence of asymmetric information with respect to the underlying life expectancies. Therefore, our study sheds light on the nature of the unique risks within life settlements as recently discussed in the financial press. | ||
| 650 | 4 | $0MAPA20080563974$aRentabilidad | |
| 650 | 4 | $0MAPA20080580377$aEsperanza de vida | |
| 650 | 4 | $0MAPA20080570590$aSeguro de vida | |
| 650 | 4 | $0MAPA20080579258$aCálculo actuarial | |
| 700 | 1 | $0MAPA20080650254$aBauer, Daniel | |
| 773 | 0 | $wMAP20077000727$tThe Journal of risk and insurance$dNueva York : The American Risk and Insurance Association, 1964-$x0022-4367$g02/09/2013 Volumen 80 Número 3 - septiembre 2013 , p. 827-851 |