Foreign-currency interest-rate swaps in asset-liability management for insurers
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Publication:362043
DOI10.1007/s13385-013-0069-5zbMath1270.91089OpenAlexW2169694820MaRDI QIDQ362043
Publication date: 20 August 2013
Published in: European Actuarial Journal (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s13385-013-0069-5
asset-liability managementextreme-value statisticsextreme scenariosinterest-rate swapssolvency capital requirements
Interest rates, asset pricing, etc. (stochastic models) (91G30) Derivative securities (option pricing, hedging, etc.) (91G20)
Uses Software
Cites Work
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