A note on Shiu's immunization results

DOI10.1016/S0167-6687(97)00019-XzbMath0894.90027MaRDI QIDQ1381451

Mariacristina Uberti

Publication date: 17 March 1998

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

zbMATH Keywords

\(\alpha\)-convexityimmunization problemportfolio with multiple liabilities

Mathematics Subject Classification ID

Related Items (2)

On immunization, stop-loss order and the maximum Shiu measure. ⋮ A minimax risk strategy for portfolio immunization

Cites Work

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

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