Gefahren von Duration-Matching-Strategien

DOI10.1007/BF02808468zbMath1354.91176OpenAlexW2328352128MaRDI QIDQ5422799

Hans-Joachim Zwiesler, Krzysztof Ostaszweski

Publication date: 30 October 2007

Published in: Blätter der DGVFM (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/bf02808468

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70)

Related Items (2)

Axiom of solvency and portfolio immunization under random interest rates ⋮ On immunization, stop-loss order and the maximum Shiu measure.

Cites Work

• On Redington's theory of immunization

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