A note on Shiu-Fisher-Weil immunization theorem

DOI10.1016/0167-6687(91)90005-IzbMath0754.90002OpenAlexW2086336394MaRDI QIDQ1182771

Luigi Montrucchio, Lorenzo A. Peccati

Publication date: 28 June 1992

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

Full work available at URL: https://doi.org/10.1016/0167-6687(91)90005-i

zbMATH Keywords

interest rate shocksimmunization\(\alpha\)- convex functionsvalue of the cash-flows

Mathematics Subject Classification ID

Related Items (10)

Term Structure Models with Parallel and Proportional Shifts ⋮ Immunization and max-min optimal control ⋮ A note on Shiu's immunization results ⋮ Axiom of solvency and portfolio immunization under random interest rates ⋮ On immunization, stop-loss order and the maximum Shiu measure. ⋮ Minimax strategies and duality with applications in financial mathematics ⋮ A minimax risk strategy for portfolio immunization ⋮ Bond management and max-min optimal control. ⋮ Optimal management of immunized portfolios ⋮ A maxmin policy for bond management

Cites Work

• On the Fisher-Weil immunization theorem
• Lipschitz continuous policy functions for strongly concave optimization problems
• Immunization of multiple liabilities
• On Redington's theory of immunization
• Unnamed Item

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