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  • Multivariate Immunization Theory
    Letting r(s, t) denote the rate used to discount cash flows from time t to time s, or the implied (t-s)-period ... at time s, where 0<s<t, we have that: [1 + r(0,t)] -t = [1 + r(0,s)] -s [1 + r(s,t)] -<t-s). Hence ...

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    • Authors: Robert Reitano, Elias Shiu
    • Date: Oct 1991
    • Competency: Technical Skills & Analytical Problem Solving
    • Publication Name: Transactions of the SOA
    • Topics: Finance & Investments>Asset liability management; Modeling & Statistical Methods>Asset modeling
  • Immunizing Stochastic Cash Flows
    Immunizing Stochastic Cash Flows This paper reviews Redington&#39;s theory of immunization ... Stochastic Cash Flows This paper reviews Redington&#39;s theory of immunization and sketches how it may be ...

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    • Authors: Elias Shiu
    • Date: Jan 1992
    • Competency: Technical Skills & Analytical Problem Solving
    • Publication Name: Actuarial Research Clearing House
    • Topics: Finance & Investments>Asset liability management
  • Cash-Flow Matching and Linear Programming Duality
    equality r=s is equivalent to the pair of simultaneous inequalities: r<_s and - r< -s . Each real ... (See also Section II of [20].) Since the vector u= [(1 +il) -1, (1 +i2) -2 . . . . ]r satisfies the ...

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    • Authors: Elias Shiu, Rama Kocherlakota, E S Rosenbloom
    • Date: Oct 1990
    • Competency: Technical Skills & Analytical Problem Solving>Process and technique refinement
    • Publication Name: Transactions of the SOA
    • Topics: Finance & Investments>Asset liability management
  • Multivariate Duration Analysis
    the upper limit of integration with s, say, then substituting s = 1 into the second-order Taylor expansion ... 0 0--N DN(io) = D~(io) - C~io), (4.6) 0 O-~s Dk(io) = Os(io) Dk(io) - Csk(io), (4.7) a O(io) ...

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    • Authors: Robert Reitano, Elias Shiu, Anthony J Zeppetella
    • Date: Oct 1991
    • Competency: Technical Skills & Analytical Problem Solving
    • Publication Name: Transactions of the SOA
    • Topics: Finance & Investments>Asset liability management; Modeling & Statistical Methods>Asset modeling
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