Foreign-currency interest-rate swaps in asset-liability management for insurers

DOI10.1007/S13385-013-0069-5zbMath1270.91089OpenAlexW2169694820MaRDI QIDQ362043

Jonas Alm, Filip Lindskog

Publication date: 20 August 2013

Published in: European Actuarial Journal (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s13385-013-0069-5

zbMATH Keywords

asset-liability managementextreme-value statisticsextreme scenariosinterest-rate swapssolvency capital requirements

Mathematics Subject Classification ID

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

Uses Software

• ismev

Cites Work

• Unnamed Item
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• Statistics for near independence in multivariate extreme values
• The Large-Sample Distribution of the Likelihood Ratio for Testing Composite Hypotheses
• An introduction to statistical modeling of extreme values

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