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The Algebra of Cash Flows: Theory and Application

In: Intelligent And Other Computational Techniques In Insurance Theory and Applications

Author

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  • W. Hürlimann

    (Winterthur Life & Pensions, General Guisan-Strasse 40, Postfach 300, 8401 Winterthur, Switzerland)

Abstract

The following sections are included:IntroductionTerm Structure of Interest RatesThe Cash Flow Polynomial RingThe Economic Multiplication and Division of Cash FlowsThe Probabilistic Notions of Duration and ConvexityConvex Order and Immunization TheoryImmunization of Liability Cash Flow ProductsExamplesConclusionsAcknowledgmentReferencesAppendix 1Appendix 2

Suggested Citation

  • W. Hürlimann, 2003. "The Algebra of Cash Flows: Theory and Application," World Scientific Book Chapters, in: A F Shapiro & L C Jain (ed.), Intelligent And Other Computational Techniques In Insurance Theory and Applications, chapter 18, pages 625-652, World Scientific Publishing Co. Pte. Ltd..
    • Handle: RePEc:wsi:wschap:9789812794246_0018
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