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About a duration index for life insurance contracts |
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| Authors: | Ernesto Salinelli |
| Affiliation: | Istituto di Metodi Quantitativi , Universita “L. Bocconi” , via R. Sarfatti 25, Milan , Italy |
| Abstract: | Abstract In this paper, after having defined the duration for a “generic” life insurance contract, we bring out some of its properties. We also prove that, in some cases, duration is a natural extension of well-known duration indices. |
| Keywords: | life-insurance duration immunization expectation of life |