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A Clarification of the Definition of “duration”, or “length”, in Traditional Immunisation Theory

Published online by Cambridge University Press:  03 October 2014

A. D. Shedden
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Type
Actuarial Note
Information
Transactions of the Faculty of Actuaries , Volume 40 , 1985 , pp. 247 - 248
Copyright
Copyright © Institute and Faculty of Actuaries 1985

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References

1. Fen, A. M. “Interest Rate Futures: An Alternative to Traditional Immunisation in the Financial Management of Guaranteed Investment Contracts”. T.S.A., 37, 65.Google Scholar
2. Macaulay, F. R. “Some Theoretical Problems Suggested by the Movements of Interest Rates, Bond Yields, and Stock prices in the United States since 1856.” New York: National Bureau of Economic Research, 1938.Google Scholar
3. Redington, F. M. “Review of the Principles of Life Office Valuation.” J.I.A., 78, 296.Google Scholar
4. Shedden, A. D. “A Practical Approach to Applying Immunisation Theory.” T.F.A., 35, 313.Google Scholar