Immunization of multiple liabilities
DOI10.1016/0167-6687(88)90079-0zbMATH Open0666.62101OpenAlexW2093561464MaRDI QIDQ1116617FDOQ1116617
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
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- 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
linear programmingdurationnecessary conditionsufficient conditionterm structure of interest ratescash-flow matchingimmunization of multiple liabilitiesimmunized portfolios
Applications of statistics to actuarial sciences and financial mathematics (62P05) Applications of mathematical programming (90C90)
Cites Work
- Asymptotic methods in statistical decision theory
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- Inequalities: theory of majorization and its applications
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- The Existence of Probability Measures with Given Marginals
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- On a Theorem of Hardy, Littlewood, Polya, and Blackwell
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- Ordering of risks: a review
- On the Fisher-Weil immunization theorem
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Cited In (19)
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- Optimal management of immunized portfolios
- 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
- Interest Rate Risk Management
- On the mortality/longevity risk hedging with mortality immunization
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