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 …

This paper presents surrender rate models with explanatory variables such as the difference
between reference and crediting rates, policy age since issue, financial crises …

The development of duration analysis has proceeded at a very rapid pace over the last
quarter century years. Its usefulness as a measure of interest rate risk and in the construction …

Page 1 Page 2 Lehr- und Handbücher zu Geld, Börse, Bank und Versicherung
Herausgegeben von Universitätsprofessor Dr. Guido Eilenberger Bisher erschienene Werke …

Purpose–Interest rate risk immunization is one of the key concerns for fixed income portfolio
management. In recent years, the affluence of new risk measures has emphasized the …

This paper considers the duration of property and equity. A general formula for duration of
asset classes is derived. It is shown that calculations which assume, usually implicitly, that …

Frank Spellmann analysiert die in jüngster Zeit vorgeschlagenen Ansätze zur
Quantifizierung von Markt-und Kreditrisiken, stellt sie einander gegenüber und zeigt sowohl …

This paper develops the duration of a portfolio of bonds that trade on different term structures
because of, say, differences in credit quality. Such portfolios are widely held by investors. In …

Macaulay duration matched strategy is a key tool in bond portfolio immunization. It is well
known that if term structures are not flat or changes are not parallel, then Macaulay duration …

Estimating the duration gap of a life insurer demands the knowledge on the durations of
liabilities and assets. The literature analyzed the durations of assets extensively but …