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

DOI10.1016/J.INSMATHECO.2013.08.012zbMATH Open1290.91171OpenAlexW2023519006MaRDI QIDQ2015628FDOQ2015628

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

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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)

Cites Work

• Stochastic differential equations. An introduction with applications.
• Title not available (Why is that?)
• On Redington's theory of immunization
• On immunization, stop-loss order and the maximum Shiu measure.
• Axiom of solvency and portfolio immunization under random interest rates
• A primer on duration, convexity, and immunization

Cited In (4)

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

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