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Insurance Liability Duration in a Low-Interest-Rate Environment
Environment This article discusses the recent low interest rate environment and the asset-liability management ... introduces the more robust duration measure called effective duration, which is the product of option-adjusted ...- 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