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- W114584403 abstract "It was nearly forty years ago when the eminent British actuary F.M. Redington published the paper “Review of the Principles of Life-Office Valuations,” in which he suggested the principle that there should be equal and parallel treatment in the valuation of assets and liabilities. His theory of immunization for insulating a portfolio against interest rate fluctuations follows as an immediate consequence of this principle. A deficiency in Redington’s model is the assumption that the asset and liability cash flows are fixed and certain. In this paper we show that his theory can be extended to the general case of interest-sensitive cash flows (SPDA, UL, MBS, etc.) by means of modern option-pricing theory." @default.
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- W114584403 date "1993-01-01" @default.
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- W114584403 title "Asset/Liability Management: From Immunization to Option-Pricing Theory" @default.
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- W114584403 doi "https://doi.org/10.1007/978-94-011-2208-5_8" @default.
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