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Calculo y comparacion de la prima de un reaseguro de salud usando el modelo de opciones de Black-Scholes y el modelo actuarial

Author

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  • Luis Eduardo Giron
  • Ferney Herrera Cruz

Abstract

La presente investigación pretende calcular y comparar la prima de un reaseguro usando el modelo de opciones de Black-Scholes y el modelo clásico actuarial tradicional. El período de análisis va desde enero de 2011 hasta diciembre de 2012. Los resultados obtenidos muestran que el modelo de Black-Scholes, que se utiliza normalmente para valorar opciones financieras, puede ser también usado para la estimación de primas de reaseguros de salud; y que la prima neta estimada a partir de este modelo se aproxima a las establecidas por el método actuarial, excepto cuando el deducible del reaseguro es muy alto (por encima de $200.000.000).

Suggested Citation

  • Luis Eduardo Giron & Ferney Herrera Cruz, 2015. "Calculo y comparacion de la prima de un reaseguro de salud usando el modelo de opciones de Black-Scholes y el modelo actuarial," Revista de Economía del Rosario, Universidad del Rosario, vol. 18(2), pages 211-248, December.
    • Handle: RePEc:col:000151:014851
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    References listed on IDEAS

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    More about this item

    Keywords

    modelo clasico actuarial; modelo de Black-Scholes;

    JEL classification:

    • G22 - Financial Economics - - Financial Institutions and Services - - - Insurance; Insurance Companies; Actuarial Studies
    • G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing

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