{"title":"南非免疫接种的经验方法","authors":"A. Maitland","doi":"10.4314/SAAJ.V1I1.24493","DOIUrl":null,"url":null,"abstract":"This paper presents an empirical approach to immunizing South African nominal liabilities in the presence of non-parallel yield-curve shifts. The results are compared with immunization strategies based on Fisher-Weil duration and illustrate the value in immunizing against non-parallel shifts. KEYWORDS: Immunization; South Africa; principal components; nominal liabilities; arbitrage South African Actuarial Journal: 2001 1: 119-138","PeriodicalId":40732,"journal":{"name":"South African Actuarial Journal","volume":null,"pages":null},"PeriodicalIF":0.1000,"publicationDate":"2001-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"6","resultStr":"{\"title\":\"An Empirical Approach to Immunization in South Africa\",\"authors\":\"A. Maitland\",\"doi\":\"10.4314/SAAJ.V1I1.24493\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"This paper presents an empirical approach to immunizing South African nominal liabilities in the presence of non-parallel yield-curve shifts. The results are compared with immunization strategies based on Fisher-Weil duration and illustrate the value in immunizing against non-parallel shifts. KEYWORDS: Immunization; South Africa; principal components; nominal liabilities; arbitrage South African Actuarial Journal: 2001 1: 119-138\",\"PeriodicalId\":40732,\"journal\":{\"name\":\"South African Actuarial Journal\",\"volume\":null,\"pages\":null},\"PeriodicalIF\":0.1000,\"publicationDate\":\"2001-01-01\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"6\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"South African Actuarial Journal\",\"FirstCategoryId\":\"1085\",\"ListUrlMain\":\"https://doi.org/10.4314/SAAJ.V1I1.24493\",\"RegionNum\":0,\"RegionCategory\":null,\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"Q4\",\"JCRName\":\"BUSINESS, FINANCE\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"South African Actuarial Journal","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.4314/SAAJ.V1I1.24493","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q4","JCRName":"BUSINESS, FINANCE","Score":null,"Total":0}
An Empirical Approach to Immunization in South Africa
This paper presents an empirical approach to immunizing South African nominal liabilities in the presence of non-parallel yield-curve shifts. The results are compared with immunization strategies based on Fisher-Weil duration and illustrate the value in immunizing against non-parallel shifts. KEYWORDS: Immunization; South Africa; principal components; nominal liabilities; arbitrage South African Actuarial Journal: 2001 1: 119-138
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