Journal article
Immunization of multiple liabilities
Insurance, mathematics & economics, Vol.7(4), pp.219-224
1988
DOI: 10.1016/0167-6687(88)90079-0
Abstract
It is well known that a sufficient condition for the immunization of multiple liabilities is the separate immunization of each liability outflow. This paper proves that this is also a necessary condition. It also discusses how one constructs immunized portfolios by means of linear programming.
Details
- Title: Subtitle
- Immunization of multiple liabilities
- Creators
- Elias S.W Shiu - University of Manitoba
- Resource Type
- Journal article
- Publication Details
- Insurance, mathematics & economics, Vol.7(4), pp.219-224
- Publisher
- Elsevier B.V
- DOI
- 10.1016/0167-6687(88)90079-0
- ISSN
- 0167-6687
- eISSN
- 1873-5959
- Language
- English
- Date published
- 1988
- Academic Unit
- Statistics and Actuarial Science
- Record Identifier
- 9984257745402771
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