Immunization of multiple liabilities

DOI10.1016/0167-6687(88)90079-0zbMath0666.62101OpenAlexW2093561464MaRDI QIDQ1116617

Elias S. W. Shiu

Publication date: 1988

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0167-6687(88)90079-0

zbMATH Keywords

linear programmingterm structure of interest ratesdurationsufficient conditionnecessary conditioncash-flow matchingimmunization of multiple liabilitiesimmunized portfolios

Mathematics Subject Classification ID

Related Items (14)

About a duration index for life insurance contracts ⋮ On Redington's theory of immunization ⋮ A note on Shiu's immunization results ⋮ Portfolio immunization under cone restrictions ⋮ On immunization, stop-loss order and the maximum Shiu measure. ⋮ Actuarial applications of the linear hazard transform in mortality immunization ⋮ Interest and mortality randomness in some annuities ⋮ Constrained smoothing \(B\)-splines for the term structure of interest rates ⋮ A note on Shiu-Fisher-Weil immunization theorem ⋮ Interest Rate Risk Management ⋮ On the mortality/longevity risk hedging with mortality immunization ⋮ A minimax risk strategy for portfolio immunization ⋮ Optimal management of immunized portfolios ⋮ Cash Flow Matching

Cites Work

• Asymptotic methods in statistical decision theory
• On the Fisher-Weil immunization theorem
• Ordering of risks: a review
• The Existence of Probability Measures with Given Marginals
• On a Theorem of Hardy, Littlewood, Polya, and Blackwell
• Inequalities: theory of majorization and its applications
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