The Term Structure of Reserve Durations and the Duration of Aggregate Reserves
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DOI: 10.1111/j.1539-6975.2009.01305.x
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References listed on IDEAS
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Cited by:
- Chenghsien Tsai, 2012. "The Impacts of Surrender Options on Reserve Durations," Risk Management and Insurance Review, American Risk and Insurance Association, vol. 15(2), pages 165-184, September.
- Lin, Tzuling & Tsai, Cary Chi-Liang, 2013. "On the mortality/longevity risk hedging with mortality immunization," Insurance: Mathematics and Economics, Elsevier, vol. 53(3), pages 580-596.
- Axel Möhlmann, 2021.
"Interest rate risk of life insurers: Evidence from accounting data,"
Financial Management, Financial Management Association International, vol. 50(2), pages 587-612, June.
- Möhlmann, Axel, 2017. "Interest rate risk of life insurers: Evidence from accounting data," Discussion Papers 10/2017, Deutsche Bundesbank.
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