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On Immunisation and S-Convex Extremal Distributions

Published online by Cambridge University Press:  10 May 2011

C. Courtois  and
M. Denuit
C. Courtois
Affiliation:
Commission Bancaire, Financière et des Assurances, Rue du Congrès 12/14, B-1000 Bruxelles, Belgium., Email: Cindy.Courtois@cbfa.be
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Abstract

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.

Keywords

ImmunisationExtremal StrategiesS-Convex OrderInterest Rate Risk
Type
Papers
Information
Annals of Actuarial Science , Volume 2 , Issue 1 , March 2007 , pp. 67 - 90
Copyright
Copyright © Institute and Faculty of Actuaries 2007

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References

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