Purpose The purpose of this research is to propose a framework for research on Macaulay
duration and establish future research directions. Design/methodology/approach Thematic …

SPRINLI I99 'common goal for asset,'liability managers is to maintain the modified duration
of assets equal to a multiple of the modified duration of liabilities, where this multiple equals …

In der Vergangenheit wurde die Versicherungsproduktion gedanklich immer in zwei
scheinbar unabhängige Teile zerlegt, in das" eigentliche" versicherungstechnische Geschäft …

This article develops an attribution framework for evaluating the investment performance of
institutional investors such as insurance companies. The model is useful in identifying the …

We generalize the contribution of Fong and Vasicek (Financ Anal J 39: 73–78, 1983a; Innov
Bond Portf Manag Durat Analy Immun 1983: 227–238, 1983b; J Financ 39: 1541–1546 …

Since Redington (1952) it has been recognized that classical immunization theory fails
when shifts in the term structure are not parallel. Using partial durations and convexities to …

One of the most basic tenets of modern financial theory is that managers should act in a
manner consistent with maximizing the value of owners' equity. While there are theoretical …

A variety of approaches have been proposed to extend classical fixed income portfolio
immunization theory to cases where shifts in the term structure are not parallel. Following …

In this article, we develop an attribution framework for the evaluation of investment
performance of institutional investors, such as insurance companies. The model is very …

The scope of this paper is to analyse duration as a risk measure of life insurance liabilities
from traditional life insurance products using a simple model to assess the problem. First, the …