Fair valuation of universal life policies via a replicating portfolio

descriptionPublicationkeyboard_double_arrow_right Article 01 Jan 2010Publisher:Walter de Gruyter GmbHJournal:Journal of Applied Analysis, volume 16 (issn: 1425-6908, eissn: 1869-6082,

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Authors: Sart, Frédéric;

doi: 10.1515/jaa.2010.007

Fair valuation of universal life policies via a replicating portfolio

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Abstract

Summary: In this paper we develop a new method for valuing universal life policies via a zero-coupon bond replicating portfolio. The method combines the idea of replicating portfolio with that of a fixed point. In addition, we accompany the proposed method with an equation relating account value, reserve and present value of future profits.

Keywords

universal life, Fixed-point theorems, life insurance, fixed point, Risk theory, insurance, Actuarial science and mathematical finance, replicating portfolio

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