Pesquisa de referências

Coherent pricing of life settlements under asymmetric information

Recurso electrónico / electronic resource
Registro MARC
Tag12Valor
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003  MAP
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008  130930e20130902esp|||p |0|||b|eng d
040  ‎$a‎MAP‎$b‎spa‎$d‎MAP
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100  ‎$0‎MAPA20110028862‎$a‎Zhu, Nan
24510‎$a‎Coherent pricing of life settlements under asymmetric information‎$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
7001 ‎$0‎MAPA20080650254‎$a‎Bauer, Daniel
7730 ‎$w‎MAP20077000727‎$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