On the efficient utilisation of duration

DOI10.1016/J.INSMATHECO.2014.11.002zbMath1308.91160OpenAlexW2067697576MaRDI QIDQ2260943

Thomas Dierkes, Karl Michael Ortmann

Publication date: 13 March 2015

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

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2014.11.002

zbMATH Keywords

durationsolvencystress testbond price elasticityinterest rate shock

Mathematics Subject Classification ID

Interest rates, asset pricing, etc. (stochastic models) (91G30) Derivative securities (option pricing, hedging, etc.) (91G20)

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