Axiom of solvency and portfolio immunization under random interest rates

DOI10.1016/J.INSMATHECO.2005.02.009zbMath1242.91093OpenAlexW2015993176WikidataQ114014159 ScholiaQ114014159MaRDI QIDQ882857

Lestaw Gajek

Publication date: 24 May 2007

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

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2005.02.009

zbMATH Keywords

Asset-liability managementAxiom of solvencyImmunizationInterest rate risk

Mathematics Subject Classification ID

Related Items (2)

Portfolio immunization under cone restrictions ⋮ A new immunization inequality for random streams of assets, liabilities and interest rates

Cites Work

• A note on Shiu-Fisher-Weil immunization theorem
• On immunization, stop-loss order and the maximum Shiu measure.
• Gefahren von Duration-Matching-Strategien

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