A new immunization inequality for random streams of assets, liabilities and interest rates

DOI10.1016/j.insmatheco.2013.08.012zbMath1290.91171OpenAlexW2023519006MaRDI QIDQ2015628

Elżbieta Krajewska, Lestaw Gajek

Publication date: 23 June 2014

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

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2013.08.012

zbMATH Keywords

asset-liability managementinterest rate riskimmunizationMerton's modelVasicek's model

Mathematics Subject Classification ID

Interest rates, asset pricing, etc. (stochastic models) (91G30) Portfolio theory (91G10)

Related Items

Portfolio immunization under cone restrictions ⋮ Approximating sums of products of dependent random variables

Cites Work

• Axiom of solvency and portfolio immunization under random interest rates
• On immunization, stop-loss order and the maximum Shiu measure.
• On Redington's theory of immunization
• Stochastic differential equations. An introduction with applications.
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