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Uma análise econômico-atuarial dos death bonds

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  • Carvalho, João Vinícius França
  • Afonso, Luís Eduardo

Abstract

A death bond is issued by a financial institution to buy a life insurance policy from an insured who wishes to receive funds during his lifetime. This work presents the pricing of death bonds for both genders and different ages of the initial contract, using actuarial modeling techniques. Initial results show little attraction for the bonds’ investors. An extension of the model shows that if investors can identify the individuals with the worst health conditions, the returns are substantially higher and the standard deviations are quite low.

Suggested Citation

  • Carvalho, João Vinícius França & Afonso, Luís Eduardo, 2012. "Uma análise econômico-atuarial dos death bonds," Revista Brasileira de Economia - RBE, EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil), vol. 66(2), June.
    • Handle: RePEc:fgv:epgrbe:v:66:y:2012:i:2:a:3589
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    1. George A. Akerlof, 1970. "The Market for "Lemons": Quality Uncertainty and the Market Mechanism," The Quarterly Journal of Economics, President and Fellows of Harvard College, vol. 84(3), pages 488-500.
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