The Algebra of Cash Flows: Theory and Application

W. Hürlimann
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W. Hürlimann: Winterthur Life & Pensions, General Guisan-Strasse 40, Postfach 300, 8401 Winterthur, Switzerland

Chapter 18 in Intelligent and Other Computational Techniques in Insurance:Theory and Applications, 2003, pp 625-652 from World Scientific Publishing Co. Pte. Ltd.

Abstract: AbstractThe following sections are included:IntroductionTerm Structure of Interest RatesThe Cash Flow Polynomial RingThe Economic Multiplication and Division of Cash FlowsThe Probabilistic Notions of Duration and ConvexityConvex Order and Immunization TheoryImmunization of Liability Cash Flow ProductsExamplesConclusionsAcknowledgmentReferencesAppendix 1Appendix 2

Keywords: Insurance; Actuarial Science; Neural Networks; Fuzzy Systems; Computational Intelligence; Computational Techniques; Life and Health Insurance; Property and Casualty Insurance (search for similar items in EconPapers)
Date: 2003
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