1887

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

Volume 1, Issue 1
  • ISSN : 1680-2179

Abstract

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.

Loading full text...

Full text loading...

Loading

Article metrics loading...

/content/actu/1/1/EJC17048
2001-01-01
2020-11-30

This is a required field
Please enter a valid email address
Approval was a Success
Invalid data
An Error Occurred
Approval was partially successful, following selected items could not be processed due to error