scientific article; zbMATH DE number 762930

MaRDI QIDQ4834784zbMATH OpenFDO

Authors Massimo de Felice

Publication date 24 August 1998

zbMATH Keywords

interest ratesimmunizationbond pricing

Mathematics Subject Classification ID

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

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• Axiom of solvency and portfolio immunization under random interest rates
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• A primer on duration, convexity, and immunization
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• Immunization of multiple liabilities
• Extension of Khang's immunization formula
• Portfolio selection strategy for fixed income markets with immunization on average
• On immunization, stop-loss order and the maximum Shiu measure.

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