Journal article
On the Fisher-Weil immunization theorem
Insurance, mathematics & economics, Vol.6(4), pp.259-266
1987
DOI: 10.1016/0167-6687(87)90030-8
Abstract
This paper extends the classical immunization theorem of Fisher and Weil to the general case where the interest rate shocks are functions of time. It also examines some related results derived recently by Fong and Vasicek and discusses duration drift and portfolio rebalancing.
Details
- Title: Subtitle
- On the Fisher-Weil immunization theorem
- Creators
- Elias S.W Shiu - University of Manitoba
- Resource Type
- Journal article
- Publication Details
- Insurance, mathematics & economics, Vol.6(4), pp.259-266
- Publisher
- Elsevier B.V
- DOI
- 10.1016/0167-6687(87)90030-8
- ISSN
- 0167-6687
- eISSN
- 1873-5959
- Language
- English
- Date published
- 1987
- Academic Unit
- Statistics and Actuarial Science
- Record Identifier
- 9984257624502771
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