Duration gap with multiple liabilities for nonparallel shifts

DOI10.1007/s13385-022-00329-xMaRDI QIDQ6201520

Joel R. Barber

Publication date: 21 February 2024

Published in: European Actuarial Journal (Search for Journal in Brave)

zbMATH Keywords

durationimmunizationnon-parallel shiftsmultiple liabilities

Mathematics Subject Classification ID

Actuarial mathematics (91G05)

Cites Work

• Optimal management of immunized portfolios
• Macaulay durations for nonparallel shifts

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