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Axiom of solvency and portfolio immunization under random interest rates

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  • Gajek, Leslaw

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  • Gajek, Leslaw, 2005. "Axiom of solvency and portfolio immunization under random interest rates," Insurance: Mathematics and Economics, Elsevier, vol. 36(3), pages 317-328, June.
    • Handle: RePEc:eee:insuma:v:36:y:2005:i:3:p:317-328
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    References listed on IDEAS

    as
    1. Leslaw Gajek & Krzysztof Ostaszewski, 2001. "Optimal Funding of a Liability," Journal of Insurance Issues, Western Risk and Insurance Association, vol. 24(1/2), pages 17-29.
    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. 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.
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    Cited by:

    1. Joseba Iñaki De La Peña & Iván Iturricastillo & Rafael Moreno & Francisco Román & Eduardo Trigo, 2021. "Towards an immunization perfect model?," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 26(1), pages 1181-1196, January.
    2. Gajek, Lesław & Krajewska, Elżbieta, 2013. "A new immunization inequality for random streams of assets, liabilities and interest rates," Insurance: Mathematics and Economics, Elsevier, vol. 53(3), pages 624-631.
    3. Michał Boczek & Marek Kałuszka, 2018. "On the Fong-Vašíček type inequalities for the assets/ liabilities portfolio immunization problem," Collegium of Economic Analysis Annals, Warsaw School of Economics, Collegium of Economic Analysis, issue 51, pages 209-228.

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