n South African Actuarial Journal - An empirical approach to immunization in South Africa

Volume 1, Issue 1
  • ISSN : 1680-2179


This paper presents an empirical approach to immunizing South African nominal liabilities in the presence of non-parallel yield-curve shifts. The results are compared with immunization strategies based on Fisher-Weil duration and illustrate the value in immunizing against non-parallel shifts.

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