English, Article edition: Fixed income securities with a zero Macaulay duration: senior life settlements Carlos Ortiz; Charles Stone; Anne Zissu

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Bookmark: http://trove.nla.gov.au/version/50696
Physical Description
  • article
Language
  • English

Edition details

Title
  • Fixed income securities with a zero Macaulay duration: senior life settlements
Author
  • Carlos Ortiz
  • Charles Stone
  • Anne Zissu
Physical Description
  • article
Notes
  • Senior life settlements belong to the family of fixed income securities, however, because of the negative stream of cash flows generated by the payment of yearly premia p and the only one positive lump sum received at death of the senior life settler, contrary to the other fixed income securities, senior life settlements, under certain conditions, can achieve a zero Macaulay duration. Investors interested in a hedged portfolio against interest risk could purchase such life settlements. We develop the conditions for which a zero Macaulay duration is obtained.
  • RePEc:taf:apfelt:v:4:y:2008:i:3:p:205-207
Language
  • English
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