This is pretty simple. In fact, I am writing this because most example show you this :

public object this[int index]
{
    get { return collection[index]; }
    set { collection[index] = value; }
}

In fact, you should return the type of your collection. So, if your object contains a collection of Person than you should write :

public Person this[int index]
{
    get { return collection[index]; }
    set { collection[index] = value; }
}

This way, the value returned doesn’t require to be casted.