Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/286249 
Title (translated): 
Life insurance valuation using exotic options
Year of Publication: 
2021
Citation: 
[Journal:] Revista de Métodos Cuantitativos para la Economía y la Empresa [ISSN:] 1886-516X [Volume:] 32 [Year:] 2021 [Pages:] 214-240
Publisher: 
Universidad Pablo de Olavide, Sevilla
Abstract (Translated): 
This paper presents the analysis and valuation of an individual, temporary, and leveled-prime life insurance. It starting point is an analogy between contract rules and a financial exotic option. In particular, a cash or nothing option. Several cases are presented from a person with different age and gender, and sensitivity to different probability distributions are tested using Monte Carlo simulation. All cases are adjusted to Argentinean recent data in order to estimate exercise prices, main variable to estimate the contract value. Prime market values used on this work are more than double than the theoretical value found on the exotic option while comparing them to identical contract conditions such as insured amount, time frame and demographic conditions of the individual.
Subjects: 
exotic option
life insurance
digital option
exercise probability
JEL: 
G13
G22
C15
Persistent Identifier of the first edition: 
Creative Commons License: 
cc-by-sa Logo
Document Type: 
Article

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