Utilize este identificador para referenciar este registo: http://hdl.handle.net/10400.21/1398
Título: Some bounds of loss in classical semideterministic immunization
Autor: Amato, Pancrazio
Palavras-chave: Immunization
Duration
Term structure
Dispersion
Data: Jul-2011
Resumo: Since Samuelson, Redington and Fisher and Weil, duration and immunization are very important topics in bond portfolio analysis from both a theoretical and a practical point of view. Many results have been established, especially in semi-deterministic framework. As regards, however, the loss may be sustained, we do not think that the subject has been investigated enough, except for the results found in the wake of the theorem of Fong and Vasicek. In this paper we present some results relating to the limitation of the loss in the case of local immunization for multiple liabilities.
Peer review: yes
URI: http://hdl.handle.net/10400.21/1398
Aparece nas colecções:ISCAL - Comunicações

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