Valuación de mercado del seguro de desempleo

Fausto Humberto Membrillo Hernández () and Marco Antonio Ruiz Olvera ()
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Fausto Humberto Membrillo Hernández: Infonavit
Marco Antonio Ruiz Olvera: Instituto Tecnológico de Estudios Superiores de Monterrey

Revista de Administración, Finanzas y Economía (Journal of Management, Finance and Economics), 2011, vol. 6, issue 2, 34-65

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

Keywords: Valuación; Mercados; Seguros; Desempleo (search for similar items in EconPapers)
JEL-codes: G12 G14 G23 (search for similar items in EconPapers)
Date: 2011
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Persistent link: https://EconPapers.repec.org/RePEc:ega:rafega:201109

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