An Empirical Approach to Immunization in South Africa

IF 0.1 Q4 BUSINESS, FINANCE

South African Actuarial Journal Pub Date : 2001-01-01 DOI:10.4314/SAAJ.V1I1.24493

A. Maitland

引用次数: 6

Abstract

This paper presents an empirical approach to immunizing South African nominal liabilities in the presence of non-parallel yield-curve shifts. The results are compared with immunization strategies based on Fisher-Weil duration and illustrate the value in immunizing against non-parallel shifts. KEYWORDS: Immunization; South Africa; principal components; nominal liabilities; arbitrage South African Actuarial Journal: 2001 1: 119-138

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南非免疫接种的经验方法

本文提出了一种经验方法来免疫南非名义负债在非平行收益率曲线移动的存在。结果与基于Fisher-Weil持续时间的免疫策略进行了比较，并说明了免疫对抗非平行位移的价值。关键词:免疫;南非;主成分;名义上的责任;南非精算学报，2001,1:119-138

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South African Actuarial Journal BUSINESS, FINANCE-

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