On the Fisher-Weil immunization theorem

DOI10.1016/0167-6687(87)90030-8zbMath0633.62109OpenAlexW2019192588MaRDI QIDQ1096303

Elias S. W. Shiu

Publication date: 1987

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

Full work available at URL: https://doi.org/10.1016/0167-6687(87)90030-8

zbMATH Keywords

interest rate shocksportfolio rebalancingimmunization theoremduration driftinterest rate fluctuations

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05)

Related Items (14)

Immunization of multiple liabilities ⋮ Actuarial applications of the linear hazard transform in mortality immunization ⋮ Constrained smoothing \(B\)-splines for the term structure of interest rates ⋮ A note on Shiu-Fisher-Weil immunization theorem ⋮ Interest Rate Risk Management ⋮ A short note on immunization ⋮ On the mortality/longevity risk hedging with mortality immunization ⋮ NATURAL HEDGES WITH IMMUNIZATION STRATEGIES OF MORTALITY AND INTEREST RATES ⋮ Stochastic models for bond prices, function space integrals and immunization theory ⋮ A minimax risk strategy for portfolio immunization ⋮ Bond management and max-min optimal control. ⋮ Optimal management of immunized portfolios ⋮ A maxmin policy for bond management ⋮ Cash Flow Matching

Cites Work

• A note on immunization under a general stochastic equilibrium model of the term structure
• A Theory of the Term Structure of Interest Rates
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