Abstract
A major problem facing the insurance industry today is the matching of the asset and liability cashflows so as to minimize the risks arising from interest rate fluctuations. Immunization is a technique used by actuaries and investment professionals to tackle this problem. This paper gives a brief review of Redington’s theory of immunization and discusses its extensions by the theory of inequalities of convex functions.
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© 1987 D. Reidel Publishing Company, Dordrecht, Holland
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Shiu, E.S.W. (1987). Immunization—The Matching of Assets and Liabilities. In: MacNeill, I.B., Umphrey, G.J., Chan, B.S.C., Provost, S.B. (eds) Actuarial Science. The University of Western Ontario Series in Philosophy of Science, vol 39. Springer, Dordrecht. https://doi.org/10.1007/978-94-009-4796-2_10
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DOI: https://doi.org/10.1007/978-94-009-4796-2_10
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