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El cálculo de la prima única de riesgo mediante la medida de riesgo transformada proporcional del tanto instantáneo

Author

Listed:
  • Monserrat Hernández-Solís

    (Universidad Nacional de Educación a Distancia, UNED. España.)

  • Cristina Lozano Colomer

    (Universidad Pontifica de Comillas, ICADE. España.)

  • José Luis Vilar Zanón.

    (Universidad Complutense de Madrid. España.)

Abstract

El objetivo de esta investigación es obtener un principio de cálculo de primas, para el ramo de vida, basado en una medida de riesgo coherente, la llamada Esperanza Distorsionada transformada proporcional del tanto instantáneo, que justifique la recomendación de Solvencia II de incrementar los tantos instantáneos de mortalidad y conseguir de este modo una prima recargada de manera implícita para hacer frente a las desviaciones de siniestralidad real con respecto a la esperada. En este artículo se ha seleccionado la modalidad de seguro vida entera, calculándose la prima única de riesgo para las cuatro leyes de supervivencia más aceptadas, como son la primera y segunda de Dormoy, ley de Gomperzt y ley de Makeham.

Suggested Citation

  • Monserrat Hernández-Solís & Cristina Lozano Colomer & José Luis Vilar Zanón., 2013. "El cálculo de la prima única de riesgo mediante la medida de riesgo transformada proporcional del tanto instantáneo," Economic Analysis Working Papers (2002-2010). Atlantic Review of Economics (2011-2016), Colexio de Economistas de A Coruña, Spain and Fundación Una Galicia Moderna, vol. 1, pages 1-1, June.
    • Handle: RePEc:eac:articl:05/12
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    References listed on IDEAS

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