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


  • Carlos Ortiz
  • Charles Stone
  • Anne Zissu


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.

Suggested Citation

  • Carlos Ortiz & Charles Stone & Anne Zissu, 2008. "Fixed income securities with a zero Macaulay duration: senior life settlements," Applied Financial Economics Letters, Taylor and Francis Journals, vol. 4(3), pages 205-207.
  • Handle: RePEc:taf:apfelt:v:4:y:2008:i:3:p:205-207
    DOI: 10.1080/17446540701604291

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    Cited by:

    1. Pierpaolo Pattitoni & Barbara Petracci & Massimo Spisni, 2012. "REIT modified duration and convexity," Economics and Business Letters, Oviedo University Press, vol. 1(3), pages 1-7.

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