Gajek, Lesław; Krajewska, Elżbieta - In: Insurance: Mathematics and Economics 53 (2013) 3, pp. 624-631
In this paper, we investigate the problem of immunization of insurers’ surplus when liabilities are financed by a stream of assets. The term structure of interest rates is assumed to be random, as are the streams of assets and liabilities. A new inequality for changes in the portfolio surplus...