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Insurance Liability Duration in a Low-Interest-Rate Environment
use the three-year yield curve shown in Table 1. The table gives the yields converted to spot rates ... will shock the yield up and down by 10 bp, so Table 2 shows these yields and the resulting spot and ...- Authors: Paul Heffernan
- Date: Jul 2004
- Competency: External Forces & Industry Knowledge>Actuarial theory in business context
- Publication Name: Risks & Rewards
- Topics: Finance & Investments>Asset liability management