On immunization, stop-loss order and the maximum Shiu measure.

DOI10.1016/S0167-6687(02)00158-0zbMath1074.91016MaRDI QIDQ1413362

Werner Hürlimann

Publication date: 16 November 2003

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

zbMATH Keywords

DurationStop-loss orderConvex order\(\alpha\)-Convex\(M\)-square indexFinancial immunizationFong--Vasicek conditionMAD indexMaximal boundsPartial cash flow matchingShiu decompositionShiu measure

Mathematics Subject Classification ID

Related Items (5)

Term Structure Models with Parallel and Proportional Shifts ⋮ Axiom of solvency and portfolio immunization under random interest rates ⋮ Optimal strategies under omega ratio ⋮ A new immunization inequality for random streams of assets, liabilities and interest rates ⋮ Cash Flow Matching

Cites Work

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• Immunization of multiple liabilities
• A note on Shiu-Fisher-Weil immunization theorem
• A note on Shiu's immunization results
• Optimal reinsurance in relation to ordering of risks
• On Redington's theory of immunization
• Gefahren von Duration-Matching-Strategien

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