On immunization, stop-loss order and the maximum Shiu measure.
type: Item
instance of: scholarly article
title: On immunization, stop-loss order and the maximum Shiu measure.
zbMATH Open document ID: 1074.91016
DOI: 10.1016/S0167-6687(02)00158-0
author: Werner Hürlimann
published in: Insurance Mathematics \& Economics
publication date: 2003-11-16T00:00:00Z
Mathematics Subject Classification ID: 91B28
zbMATH DE Number: 2004056
zbMATH Keywords: Financial immunization
zbMATH Keywords: Partial cash flow matching
zbMATH Keywords: Duration
zbMATH Keywords: \(M\)-square index
zbMATH Keywords: MAD index
zbMATH Keywords: Fong--Vasicek condition
zbMATH Keywords: Shiu decomposition
zbMATH Keywords: Shiu measure
zbMATH Keywords: Stop-loss order
zbMATH Keywords: Convex order
zbMATH Keywords: \(\alpha\)-Convex
zbMATH Keywords: Maximal bounds
MaRDI profile type: Publication
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description: scientific article; zbMATH DE number 2004056