Fair valuation of universal life policies via a replicating portfolio

Frédéric Sart ()
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Frédéric Sart: Risk Management - Delta Lloyd Life

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Abstract: 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: Life insurance; Universal life; Replicating portfolio; Fixed point (search for similar items in EconPapers)
Date: 2010-08
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Published in Journal of Applied Analysis, 2010, 16 (1), pp.95-105. ⟨10.1515/jaa.2010.007⟩

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Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:hal-04583667

DOI: 10.1515/jaa.2010.007

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