Duration of Life Insurance Liabilities and Asset Liability Management
نویسندگان
چکیده
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 liabilities are defined. Then the concept of Macauley duration as a measure for interest rate risk with respect to life insurance liabilities is derived. This concept is discussed with respect to its usefulness for asset liability management of life insurance companies.
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