On Redington's theory of immunization

DOI10.1016/0167-6687(90)90030-HzbMath0721.62104OpenAlexW2058132038MaRDI QIDQ2641055

Elias S. W. Shiu

Publication date: 1990

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

Full work available at URL: https://doi.org/10.1016/0167-6687(90)90030-h

zbMATH Keywords

term structure of interest ratesinterest rate shocksyield curvesduration-matching strategyRedington's model of immunizationsingle premium immediate annuity

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05)

Related Items (14)

Term Structure Models with Parallel and Proportional Shifts ⋮ A note on Shiu's immunization results ⋮ On immunization, stop-loss order and the maximum Shiu measure. ⋮ Applications of Mortality Durations and Convexities in Natural Hedges ⋮ Actuarial applications of the linear hazard transform in mortality immunization ⋮ Constrained smoothing \(B\)-splines for the term structure of interest rates ⋮ A note on Shiu-Fisher-Weil immunization theorem ⋮ Interest Rate Risk Management ⋮ A short note on immunization ⋮ Gefahren von Duration-Matching-Strategien ⋮ On the mortality/longevity risk hedging with mortality immunization ⋮ A new immunization inequality for random streams of assets, liabilities and interest rates ⋮ NATURAL HEDGES WITH IMMUNIZATION STRATEGIES OF MORTALITY AND INTEREST RATES ⋮ Optimal management of immunized portfolios

Cites Work

• Immunization of multiple liabilities
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