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Valuación de mercado del seguro de desempleo

Author

Listed:
  • Fausto Humberto Membrillo Hernández

    (Infonavit)

  • Marco Antonio Ruiz Olvera

    (Instituto Tecnológico de Estudios Superiores de Monterrey)

Abstract

A new approach is provided for the market valuation of credit insurance that is based on reduced- form methods for the pricing of income securities under default risk. We suggest how a risk neutral valuation model with a Markov chain embedded using interchangeable probabilities to emulate the state of the economy can be applied, both to the calculation of a fair market deposit insurance premium and to the valuation of long-term claims against the insurer

Suggested Citation

  • Fausto Humberto Membrillo Hernández & Marco Antonio Ruiz Olvera, 2011. "Valuación de mercado del seguro de desempleo," Revista de Administración, Finanzas y Economía (Journal of Management, Finance and Economics), Tecnológico de Monterrey, Campus Ciudad de México, vol. 6(2), pages 34-65.
    • Handle: RePEc:ega:rafega:201109
    as

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    File URL: http://alejandria.ccm.itesm.mx/egap/documentos/2011V5A9Membrillo-Ruiz.pdf
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    References listed on IDEAS

    as
    1. Darrell Duffie & Jun Pan & Kenneth Singleton, 2000. "Transform Analysis and Asset Pricing for Affine Jump-Diffusions," Econometrica, Econometric Society, vol. 68(6), pages 1343-1376, November.
    2. Darrell Duffie & Rui Kan, 1996. "A Yield‐Factor Model Of Interest Rates," Mathematical Finance, Wiley Blackwell, vol. 6(4), pages 379-406, October.
    3. Heston, Steven L, 1993. "A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options," The Review of Financial Studies, Society for Financial Studies, vol. 6(2), pages 327-343.
    Full references (including those not matched with items on IDEAS)

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    Keywords

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    JEL classification:

    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • G23 - Financial Economics - - Financial Institutions and Services - - - Non-bank Financial Institutions; Financial Instruments; Institutional Investors

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