Fixed income securities with a zero Macaulay duration: senior life settlements

Carlos E. Ortiz Department of Mathematics and Computer Science, Arcadia University

Charles A. Stone Department of Economics, Brooklyn College, City University of New York

Anne Zissu Department of Finance, Temple UniversityCorrespondence[email protected]

References

Lin , Y and Cox , SH . 2005 . Securitization of mortality risks in life annuities . Journal of Risk and Insurance , 72 : 227 – 52 .
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Modu , E . 2005 . Life settlement securitization . A.M. Best Report September ,
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Stone , CA and Zissu , A . 2006 . Securitization of senior life settlements: managing extension risk . Journal of Derivatives , 13 : 66 – 72 .
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