Objective To determine whether investment in preventive measures by a Colombian insurer reduces rates of work‐related injuries and results in positive returns from these investments. Methods The study is based on monthly panel data of 2011‐2015 of 303 medium and large companies affiliated with a private insurer in Colombia. We undertook regression modeling analysis to assess the effectiveness of incremental investments in occupational health and safety (OHS) prevention measures. The cost‐benefit analysis is from the insurer's perspective. Results Investment in OHS per full‐time equivalent was statistically significant at the 1% level. We estimated that 4919 injuries were averted through these investments, resulting in the avoidance of $3 949 957 in costs. Our results suggest that the investments were worth undertaking from the insurer's perspective. Conclusions This paper provides new empirical evidence on the effectiveness and cost‐benefit of OHS investments in a middle‐income country. Incremental investment in OHS can be effective and cost‐beneficial.