No life policy & the bank stated they were holding one as security, what now?

Hi Guys,
I was hoping someone might be able to help me out with a problem we have. We have a loan for a property, and one of the individuals who is on the Mortgage Loan documents has passed away. We have a letter from 2009, when we got a top up mortgage, and it stated that they were holding life policies for all mortgagees, as well as the solicitors undertaking for the property. Subsequently one of the mortgagees has passed away, and when we contacted the local branch of this Bank about the Life Policy, they said that there was no life policy for this person. We have written to the Securities department twice, the first time they replied and said they had nothing to that effect on file, and the second time they didn't even acknowledge the letter. So we called them directly and according to them they don't even have a record of the loan!! Could someone advise us how to handle this situation, and if there is anything we can do. The local account manager in our local branch has told us its our tough luck! Any advice would be most gratefully received.

Have you been paying premiums for a life policy?

We are not sure if my dad was paying for a policy or not, we have asked his accountant to look into it to see if he was, and my mum is checking bank statements.