Immunization of multiple liabilities
type: Item
instance of: scholarly article
title: Immunization of multiple liabilities
zbMATH Open document ID: 0666.62101
DOI: 10.1016/0167-6687(88)90079-0
published in: Insurance Mathematics \& Economics
publication date: 1988-01-01T00:00:00Z
review text: It is well known that a sufficient condition for the immunization of multiple liabilities is the separate immunization of each liability outflow. This paper proves that this is also a necessary condition. It also discusses how one constructs immunized portfolios by means of linear programming.
Mathematics Subject Classification ID: 62P05
Mathematics Subject Classification ID: 91B28
Mathematics Subject Classification ID: 90C90
zbMATH DE Number: 4090650
zbMATH Keywords: duration
zbMATH Keywords: term structure of interest rates
zbMATH Keywords: cash-flow matching
zbMATH Keywords: sufficient condition
zbMATH Keywords: immunization of multiple liabilities
zbMATH Keywords: necessary condition
zbMATH Keywords: immunized portfolios
zbMATH Keywords: linear programming
author: E. S. W. Shiu
MaRDI profile type: Publication
full work available at URL: 0167-6687(88)90079-0
OpenAlex ID: W2093561464
cites work: Q5807222
cites work: Q3854185
cites work: Q3419212
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cites work: On a Theorem of Hardy, Littlewood, Polya, and Blackwell
cites work: On the Fisher-Weil immunization theorem
cites work: The Existence of Probability Measures with Given Marginals
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description: scientific article; zbMATH DE number 4090650