Immunization of multiple liabilities

DOI10.1016/0167-6687(88)90079-0MaRDI QIDQ1116617zbMATH OpenOpenAlexFDO

Authors E. S. W. Shiu

Publication date 1988

Published in Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/0167-6687(88)90079-0

zbMATH Keywords

linear programmingdurationnecessary conditionsufficient conditionterm structure of interest ratescash-flow matchingimmunization of multiple liabilitiesimmunized portfolios

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Applications of mathematical programming (90C90)

Recommendations

• scientific article; zbMATH DE number 762930
• Assets/liabilities portfolio immunization as an optimization problem
• scientific article; zbMATH DE number 802755
• Diversification, protection of liability holders and regulatory arbitrage
• scientific article; zbMATH DE number 1996476
• Risk avoidance under limited liability
• Risk-minimization for life insurance liabilities
• Risk-minimization for life insurance liabilities
• Risk sharing with multiple indemnity environments
• Immunization of investments with partially negative cash-flows

Cites work

• scientific article; zbMATH DE number 3844885 (Why is no real title available?)
• scientific article; zbMATH DE number 5122486 (Why is no real title available?)
• scientific article; zbMATH DE number 3654818 (Why is no real title available?)
• scientific article; zbMATH DE number 3592852 (Why is no real title available?)
• scientific article; zbMATH DE number 3219970 (Why is no real title available?)
• scientific article; zbMATH DE number 3246461 (Why is no real title available?)
• scientific article; zbMATH DE number 3068103 (Why is no real title available?)
• Asymptotic methods in statistical decision theory
• Inequalities: theory of majorization and its applications
• On a Theorem of Hardy, Littlewood, Polya, and Blackwell
• On the Fisher-Weil immunization theorem
• Ordering of risks: a review
• The Existence of Probability Measures with Given Marginals

Cited in

(19)

• Optimal management of immunized portfolios
• scientific article; zbMATH DE number 1996476 (Why is no real title available?)
• A note on Shiu-Fisher-Weil immunization theorem
• Immunization of investments with partially negative cash-flows
• A minimax risk strategy for portfolio immunization
• A note on Shiu's immunization results
• On Redington's theory of immunization
• About a duration index for life insurance contracts
• Assets/liabilities portfolio immunization as an optimization problem
• Risk avoidance under limited liability
• Actuarial applications of the linear hazard transform in mortality immunization
• On immunization, stop-loss order and the maximum Shiu measure.
• Constrained smoothing \(B\)-splines for the term structure of interest rates
• Duration gap with multiple liabilities for nonparallel shifts
• Portfolio immunization under cone restrictions
• Cash flow matching: a risk management approach
• Interest and mortality randomness in some annuities
• On the mortality/longevity risk hedging with mortality immunization
• Interest Rate Risk Management

This page was built for publication: Immunization of multiple liabilities

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1116617)