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Fair valuation of universal life policies via a replicating portfolio
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Frédéric Sart
Published/Copyright:
August 11, 2010
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.
Received: 2006-10-25
Revised: 2009-06-15
Published Online: 2010-08-11
Published in Print: 2010-August
© de Gruyter 2010
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Articles in the same Issue
- Approximation for fixed points of strict pseudo-contractions and solutions of equilibrium and optimization problems
- Some applications of dominated convergence theorems to a higher-order singular boundary value problem
- Fractional white noise perturbations of parabolic Volterra equations
- Optimality and duality for nonsmooth multiobjective optimization problems with generalized V -r-invexity
- Iterative construction of a common fixed point of finite families of nonlinear mappings
- Some algebraic properties of theWiener–Laplace algebra
- Fair valuation of universal life policies via a replicating portfolio
- Positive solutions for discrete boundary value problems with p-Laplacian
- A composite functional equation and invariant curves
- Collections of Darboux-like, Baire one functions of two variables
- Čech-completeness and related properties of the generalized compact-open topology
