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  • Immunization Theory: A Simplified Example
    L( 6) = r; vt FO(t)dt. S( 6): Surplus valued at force of interest 6, S(6) = A(6) - L(6). TO minimize ... minimize the effect of interest rate change on S(6), an investment portfolio is sought such that at the ...

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    • Authors: James C Hickman, LORI LYNN SCHUMACHER, DAVID C WU
    • Date: Jan 1983
    • Competency: Technical Skills & Analytical Problem Solving
    • Publication Name: Actuarial Research Clearing House
    • Topics: Modeling & Statistical Methods>Asset modeling