Managing the Interest Rate Risk Exposure of Insurance Companies
Duration is an important tool of managing interest rate risk at financial institutions, such as commercial banks and savings and loan association, that engage in interest rate intermediation. Insurance companies also face the problem of their assets differs from that of their liabilities. This paper presents the derivation of duration gap measures for several accounts of a non-life insurance company.
Volume (Year): 13 (1990)
Issue (Month): 1 ()
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