A new immunization inequality for random streams of assets, liabilities and interest rates

DOI10.1016/J.INSMATHECO.2013.08.012MaRDI QIDQ2015628zbMATH OpenOpenAlexFDO

Authors Elżbieta Krajewska, L. Gajek

Publication date 23 June 2014

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

Full work available at URL https://doi.org/10.1016/j.insmatheco.2013.08.012

zbMATH Keywords

immunizationinterest rate riskasset-liability managementMerton's modelVasicek's model

Mathematics Subject Classification ID

Portfolio theory (91G10) Interest rates, asset pricing, etc. (stochastic models) (91G30)

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Cites work

• scientific article; zbMATH DE number 6137478 (Why is no real title available?)
• A primer on duration, convexity, and immunization
• Axiom of solvency and portfolio immunization under random interest rates
• On Redington's theory of immunization
• On immunization, stop-loss order and the maximum Shiu measure.
• Stochastic differential equations. An introduction with applications.

Cited in

(4)

• Approximating sums of products of dependent random variables
• Axiom of solvency and portfolio immunization under random interest rates
• A note on immunization under a general stochastic equilibrium model of the term structure
• Portfolio immunization under cone restrictions

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