Lin, Tzuling; Tsai, Cary Chi-Liang - In: Insurance: Mathematics and Economics 53 (2013) 3, pp. 580-596
In this paper, we define the mortality durations and convexities of the prices of life insurance and annuity products with respect to an instantaneously proportional change and an instantaneously parallel shift, respectively, in μs (the forces of mortality), ps (the one-year survival...