RT Journal Article SR Electronic T1 Using Life Extension-Duration and Life Extension-Convexity to Value Senior Life Settlement Contracts JF The Journal of Alternative Investments FD Institutional Investor Journals SP 94 OP 108 DO 10.3905/jai.2008.712600 VO 11 IS 2 A1 Charles A. Stone A1 Anne Zissu YR 2008 UL https://pm-research.com/content/11/2/94.abstract AB Investments in senior life settlements are marketed as securities that are uncorrelated with assets traded on other markets such as real estate, commodities, corporate equities and risky debt. In this article the authors develop a metric that can be used to evaluate the sensitivity of the value of a life settlement contract and portfolios of life settlement contracts with respect to longevity risk. Longevity risk in the context of life settlement contracts is the possibility that a person covered by a life insurance policy lives longer than the purchaser of the policy has forecasted. A fund manager can sort policies by using the life expectancy duration and convexity metrics that are developed to select policies that will increase the likelihood that a fund of life settlement contracts attains its target rate of return.TOPICS: Wealth management, risk management, quantitative methods