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ArticleImmunization of multiple liabilities

Elias S. W. Shiu1988

Article1988

Immunization of multiple liabilities

Elias S. W. Shiu

36 citations·0/0 files stored·Insurance Mathematics and Economics

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Probability and Risk Models Stochastic processes and financial applications Risk and Portfolio Optimization

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References

1952Review of the Principles of Life-office Valuations 2017Coping with the Risk of Interest-Rate Fluctuations: Returns to Bondholders From Naïve and Optimal Strategies*1971Coping with the Risk of Interest-Rate Fluctuations: Returns to Bondholders from Naive and Optimal Strategies 1984A Risk Minimizing Strategy for Portfolio Immunization 1988Duration Analysis: Managing Interest Rate Risk.1977Some Inequalities for Stop-Loss Premiums 1978Immunization under stochastic models of the term structure 1975A Unified Approach to Stochastic Dominance

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2009Constrained smoothing -splines for the term structure of interest rates

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1987On the Fisher-Weil immunization theoremarticle · 5 shared references 1997Interest Rate Risk Managementarticle · 4 shared references 2005Immunization using a stochastic-process independent multi-factor model: The Portuguese experiencearticle · 4 shared references 1998When can you immunize a bond portfolio?article · 4 shared references 1992Bond portfolio immunization: Canadian testsarticle · 4 shared references 1991A note on Shiu—Fisher—Weil immunization theoremarticle · 4 shared references

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Year1988

Typearticle

Published1988-12-01

VenueInsurance Mathematics and Economics

ISSN-L0167-6687

Languageen

Citations36

Files0 public / 0

ShelfProbability and Risk Models

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doi10.1016/0167-6687(88)90079-0

openalex_workW2093561464

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