A new immunization inequality for random streams of assets, liabilities and interest rates
type: Item
instance of: scholarly article
title: A new immunization inequality for random streams of assets, liabilities and interest rates
zbMATH Open document ID: 1290.91171
author: Elżbieta Krajewska
author: L. Gajek
published in: Insurance Mathematics \& Economics
publication date: 2014-06-23T00:00:00Z
Mathematics Subject Classification ID: 91G30
Mathematics Subject Classification ID: 91B30
Mathematics Subject Classification ID: 91G10
zbMATH DE Number: 6306906
zbMATH Keywords: immunization
zbMATH Keywords: asset-liability management
zbMATH Keywords: interest rate risk
zbMATH Keywords: Vasicek's model
zbMATH Keywords: Merton's model
MaRDI profile type: Publication
full work available at URL: j.insmatheco.2013.08.012
OpenAlex ID: W2023519006
cites work: Axiom of solvency and portfolio immunization under random interest rates
cites work: Q3566018
cites work: On immunization, stop-loss order and the maximum Shiu measure.
cites work: Q4905685
cites work: Stochastic differential equations. An introduction with applications.
cites work: On Redington's theory of immunization
DOI: 10.1016/J.INSMATHECO.2013.08.012
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description: scientific article; zbMATH DE number 6306906