Asset and liability management for life insurers: effective duration and effective convexity analysis and simulation optimization
博士 === 國立政治大學 === 風險管理與保險研究所 === 98 === In the first part of this doctoral dissertation, we focus on a proper measurement on interest rate risk of life insurer’s liabilities, policy reserves, by incorporating the general effective duration and effective convexity measures. Tsai (2009) identified a...
| Main Authors: | , |
|---|---|
| Other Authors: | |
| Format: | Others |
| Language: | en_US |
| Published: |
2010
|
| Online Access: | http://ndltd.ncl.edu.tw/handle/57408441543674402127 |