Interest rate risk immunisation for life insurers

Elżbieta Krajewska
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Elżbieta Krajewska: Politechnika Łódzka

Collegium of Economic Analysis Annals, 2015, issue 37, 39-56

Abstract: This paper investigates some applications of immunisation inequality introduced by Gajek, Krajewska (2013) for life insurers’ portfolios. When net insurance premiums are considered, a lower bound given by this inequality is a product of two terms. One of them, L2(s), might be treated as a measure of interest rate risk. In the paper, formulas for L2(s) are given for life insurance products, such as term life insurance, pure endowment, temporary life annuity.

Keywords: immunisation; interest rate risk; life insurance (search for similar items in EconPapers)
Date: 2015
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