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On immunization, stop-loss order and the maximum Shiu measure

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  • Hurlimann, Werner

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  • Hurlimann, Werner, 2002. "On immunization, stop-loss order and the maximum Shiu measure," Insurance: Mathematics and Economics, Elsevier, vol. 31(3), pages 315-325, December.
    • Handle: RePEc:eee:insuma:v:31:y:2002:i:3:p:315-325
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    References listed on IDEAS

    as
    1. Shiu, Elias S. W., 1988. "Immunization of multiple liabilities," Insurance: Mathematics and Economics, Elsevier, vol. 7(4), pages 219-224, December.
    2. Fong, H Gifford & Vasicek, Oldrich A, 1984. "A Risk Minimizing Strategy for Portfolio Immunization," Journal of Finance, American Finance Association, vol. 39(5), pages 1541-1546, December.
    3. Rothschild, Michael & Stiglitz, Joseph E., 1971. "Increasing risk II: Its economic consequences," Journal of Economic Theory, Elsevier, vol. 3(1), pages 66-84, March.
    4. Rothschild, Michael & Stiglitz, Joseph E., 1972. "Addendum to "increasing risk: I. A definition"," Journal of Economic Theory, Elsevier, vol. 5(2), pages 306-306, October.
    5. Montrucchio, Luigi & Peccati, Lorenzo, 1991. "A note on Shiu--Fisher--Weil immunization theorem," Insurance: Mathematics and Economics, Elsevier, vol. 10(2), pages 125-131, July.
    6. Rothschild, Michael & Stiglitz, Joseph E., 1970. "Increasing risk: I. A definition," Journal of Economic Theory, Elsevier, vol. 2(3), pages 225-243, September.
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    Cited by:

    1. Montagut, Esperanza H., 2004. "Hedging bond portfolios versus infinitely many ranked factors of risk," DEE - Working Papers. Business Economics. WB wb043312, Universidad Carlos III de Madrid. Departamento de Economía de la Empresa.

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