This thesis focuses on a new market where the policyholder can sell his life insurance policy by hiring two kinds of contracts: a Viatical if the insured is a terminally ill person or a Life Settlement if he is impaired. A first study concerns the optimal decision rules for a policyholder who wants to sell his life insurance policy. We present two economic models, the first model is focused on Viaticals and is treated in discrete setting, the second model is focused on Life Settlements and should be treated in continuous time. In both models a terminally ill/impaired policyholder has to decide whether or not to sell his life insurance policy in the secondary market and in case of selling it when it is optimally better to do it. A second study concerns the risks assumed by the investor in Viaticals or Life Settlements. The main risk is the longevity risk. We propose a measure to value this risk called modified life extension duration. This measure determines the loss in the Life Settlement/Viatical value because of an increase of the life expectancy of the insured.

Esta tesis doctoral se enmarca en un novedoso mercado basado en la compra/venta de pólizas de vida donde se comercializan dos tipos de productos: el Viatical y el Settlement. Un primer análisis se centra en el desarrollo de unos modelos económicos de optimización basados en la maximización de la utilidad esperada de un tomador para determinar si resulta óptimo o no vender su póliza de vida en el mercado secundario. La venta de la póliza viene determinada por múltiples factores personales y de mercado del tomador del seguro de vida. Un segundo análisis se centra en la definición de los riesgos a los que incurre el inversor al invertir tanto en Viaticals como en Life Settlements. Se destaca el riesgo de longevidad, muy elevado en este tipo de operaciones. Se propone, por tanto, la medición de dicho riesgo mediante un instrumento denominado modified life extension duration.