Fair valuation of universal life policies via a replicating portfolio

• Autorzy: Sart F.
• Języki publikacji: EN

Abstrakty

EN

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 equation relating account value, reserve and present value of future profits.

Słowa kluczowe

EN

life insurance; universal life; replicating portfolio; fixed point

PL

ubezpieczenie na życie; uniwersalne życie; replikacja portfolio; punkt stały

• Wydawca: De Gruyter
• Czasopismo: Journal of Applied Analysis
• Rocznik: 2010
• Tom: Vol. 16, nr 1
• Strony: 95--105
• Opis fizyczny: Bibliogr. 4 poz.

Twórcy

autor

Sart F.

• Marvijlestraat 27, 9690 Kluisbergen, Belgium.,

Bibliografia

• [1] P. Bouwknegt and A. Pelsser, "Market Value of Insurance Contracts with Profit Sharing". Journal of Risk Finance 3 (2002), 60-64.
• [2] M. Guillén, P. L. Jorgensen and J. P. Nielsen, "Return Smoothing Mechanisms in Life and Pension Insurance: Path-dependent Contingent Claims". Insurance: Mathematics and Economics 38 (2006), 229-252.
• [3] IASB (2007), Preliminary Views on Insurance Contracts. Discussion paper, from www.iasb.org/Current+Projects/IASB+Projects/Insurance+Contracts/Discussion+paper+and+comment+letters.htm.
• [4] F. Sart, "A Fixed Point Theorem for Triangular Mappings". Journal of Applied Analysis 13 (2007), 77-81.