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Realized Return Optimization. A New Approach to Liability Funding
optimal return on bonds and presents the advantages of liability driven investing. From the Actuarial ... Research Clearing House ARCH 1990 Vol. 1. Investment risk;Liability driven investments=LDI; 346 1/1/1990 ...- Authors: Prakash A Shimpi
- Date: Jan 1990
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Actuarial Research Clearing House
- Topics: Finance & Investments>Asset liability management; Modeling & Statistical Methods>Asset modeling
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Immunizing Stochastic Cash Flows
Redington's theory of immunization and sketches how it may be extended to the general case of stochastic flows ... flows by means of modern option-pricing theory. From the Actuarial Research Clearing House 1992 ...- Authors: Elias Shiu
- Date: Jan 1992
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Actuarial Research Clearing House
- Topics: Finance & Investments>Asset liability management
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A Multivariate Approach to Immunization Theory
Approach to Immunization Theory The author previously wrote about extending the general nonparallel shlft approach ... duration analysis. This paper explores the immunization properties of that model. In addition, applications ...- Authors: Robert Reitano
- Date: Aug 1990
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Actuarial Research Clearing House
- Topics: Finance & Investments>Asset liability management; Modeling & Statistical Methods