Sales of the unexpected

In life settlement funds, accurate valuation methodologies are needed to ensure fairness to all shareholders and to maintain sufficient liquidity

As the life settlement market continues to develop, more rigour and thought are being put into how they should be valued, be it on a mark-to-model or a mark-to-market basis. To date, it is still a thinly traded asset and therefore it is impractical to obtain a mark-to-market value on a large portfolio of policies on a regular basis. The majority of participants in this market value their assets on some sort of a mark-to-model basis. The two approaches that are commonly used are deterministic and probabilistic, both of which are model-based valuation methodologies. The deterministic valua...