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On immunization and s-convex extremal distributions

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Courtois, Cindy Denuit, Michel [UCL]

The paper concerns the interest risk management of insurance companies or banks. Classes of stochastic order relations for arbitrary discrete random variables are used to find extremal strategies of immunisation in the context of deterministic immunisation theory. In a special case, the results obtained by Hürlimann (2002) are extended to conditions for immunisation under arbitrary S-convex or S-concave shift factors of the term structure of interest rates. The notion of the Shiu measure is generalised to an immunisation risk measure, accounting for more moments of the asset and liability risks.

Document type Article de périodique (Journal article) – Article de recherche
Publication date 2007
Language Anglais
Journal information "Annals of Actuarial Science" - Vol. 2, no. 1, p. 67-90 (2007)
Peer reviewed yes
Publisher Faculty of Actuaries in Scotland ((United Kingdom) [S.l.])
issn 1748-4995
e-issn 1748-5002
Publication status Publié
Affiliations Louvain School of Management - CESAM - Center for Studies in Asset Management
UCL - Autre
Keywords Immunisation ; Extremal Strategies ; S-Convex Order ; Interest Rate Risk
Links
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Bibliographic reference Courtois, Cindy ; Denuit, Michel. On immunization and s-convex extremal distributions. In: Annals of Actuarial Science, Vol. 2, no. 1, p. 67-90 (2007)
Permanent URL http://hdl.handle.net/2078/16912