A new immunization inequality for random streams of assets, liabilities and interest rates (Q2015628)
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scientific article; zbMATH DE number 6306906
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| English | A new immunization inequality for random streams of assets, liabilities and interest rates |
scientific article; zbMATH DE number 6306906 |
Statements
A new immunization inequality for random streams of assets, liabilities and interest rates (English)
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23 June 2014
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immunization
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asset-liability management
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interest rate risk
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Vasicek's model
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Merton's model
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0.87781894
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0.85047823
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0.84127486
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0.8282653
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