Fair valuation of universal life policies via a replicating portfolio

DOI10.1515/JAA.2010.007zbMath1276.91064OpenAlexW2044847135WikidataQ29540748 ScholiaQ29540748MaRDI QIDQ2865557

Frédéric Sart

Publication date: 2 December 2013

Published in: Journal of Applied Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1515/jaa.2010.007

zbMATH Keywords

fixed pointlife insurancereplicating portfoliouniversal life

Mathematics Subject Classification ID

Fixed-point theorems (47H10) Actuarial science and mathematical finance (91G99)

Related Items (1)

Remarks on the Belitskii-Lyubich and discrete Markus-Yamabe conjectures

Cites Work

• Return smoothing mechanisms in life and pension insurance: path-dependent contingent claims
• A Fixed Point Theorem for Triangular Mappings

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