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Valoración de primas de reaseguro para enfermedades catastróficas utilizando el modelo de Black-Scholes

Author

Listed:
  • Liliana Chicaíza
  • Liliana Chicaíza

Abstract

Las primas de reaseguro para enfermedades catastróficas en el sistema de salud colombiano han sido tradicionalmente estimadas a partir de métodos actuariales. Este artículo presenta la equivalencia entre las opciones call europeas y el funcionamiento del reaseguro en Colombia y concluye que la cobertura proporcionada por el reaseguro de enfermedades de alto costo se puede ser replicar a través de la adquisición de opciones. Se utiliza el modelo de Black-Scholes para hacer la valoración utilizando información de una de las firmas que operan el sector obteniéndose una prima que se encuentra dentro del rango establecido a través del método actuarial.

Suggested Citation

  • Liliana Chicaíza & Liliana Chicaíza, 2005. "Valoración de primas de reaseguro para enfermedades catastróficas utilizando el modelo de Black-Scholes," Documentos de Trabajo UEC 3748, Universidad Externado de Colombia.
    • Handle: RePEc:col:000139:003748
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    Keywords

    Black-Scholes;

    JEL classification:

    • D43 - Microeconomics - - Market Structure, Pricing, and Design - - - Oligopoly and Other Forms of Market Imperfection

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