Duration gap with multiple liabilities for nonparallel shifts

DOI10.1007/S13385-022-00329-XMaRDI QIDQ6201520zbMATH OpenFDO

Authors Joel R. Barber

Publication date 21 February 2024

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

Full work available at URL https://doi.org/10.1007/S13385-022-00329-X

zbMATH Keywords

durationimmunizationmultiple liabilitiesnon-parallel shifts

Mathematics Subject Classification ID

Actuarial mathematics (91G05)

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Cites work

• Macaulay durations for nonparallel shifts
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