On the premium of equity-linked insurance contracts

  1. Balbás Aparicio, Beatriz
  2. Balbás Aparicio, Raquel
Revista:
Anales del Instituto de Actuarios Españoles

ISSN: 0534-3232

Año de publicación: 2010

Número: 16

Páginas: 25-42

Tipo: Artículo

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Otras publicaciones en: Anales del Instituto de Actuarios Españoles

Resumen

Estudiaremos el problema de la valoración de contratos de seguro ligados al mercado financiero, tales como las anualidades o rentas ligadas a índices bursátiles. Introduciremos un principio de prima basado en la optimización de medidas de riesgo coherentes y acotadas por la media. Este principio parece presentar una serie de propiedades de interés. En efecto, en primer lugar, es sub-aditivo, por lo que favorece la diversificación. Segundo, se integran los riesgos actuariales y financieros, y no hace falta suponer independencia de los mismos. Tercero, se proporcionarán estrategias de cobertura para el asegurador. Y cuarto, la prima del contrato es fácil de calcular en las aplicaciones prácticas, puesto que sólo hay que resolver problemas de programación lineal, pese a que las medidas de riesgo están lejos de ser lineales.

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