On the efficient utilisation of duration

DOI10.1016/J.INSMATHECO.2014.11.002MaRDI QIDQ2260943zbMATH OpenOpenAlexFDO

Authors Thomas Dierkes, Karl Michael Ortmann

Publication date 13 March 2015

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

Full work available at URL https://doi.org/10.1016/j.insmatheco.2014.11.002

zbMATH Keywords

durationsolvencystress testbond price elasticityinterest rate shock

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Interest rates, asset pricing, etc. (stochastic models) (91G30)

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Cited in

(9)

• Efficient uses of the past
• Duration and the impact of interest changes in life insurance
• Some improvements in calculation and use of bond duration
• An accurate measure of callable bond price sensitivity to interest rates and passage of time
• Gefahren von Duration-Matching-Strategien
• Macaulay durations for nonparallel shifts
• Issues with the Smith-Wilson method
• Analysis of duration and convexity of coupon obligation
• scientific article; zbMATH DE number 67283 (Why is no real title available?)

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