On Immunisation and S-Convex Extremal Distributions

C. Courtois and M. Denuit

Annals of Actuarial Science, 2007, vol. 2, issue 1, 67-90

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.

Date: 2007
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Persistent link: https://EconPapers.repec.org/RePEc:cup:anacsi:v:2:y:2007:i:01:p:67-90_00

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