Construct · 1 fields · 1 citations

Redington immunization: a standalone construct

One name. One construct. A landmark on the map.

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Redingtonimmunization1 CONSTRUCTRedington immunizationREDINGTON · ACTUARIAL SCIENCE

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Actuarial science

matching the present value and duration of assets to liabilities, with greater asset convexity, so small interest rate shifts do not reduce surplus.

In actuarial science, Redington immunization refers to matching the present value and duration of assets to liabilities, with greater asset convexity, so small interest rate shifts do not reduce surplus. This meaning comes from Redington (1952) in Journal of the Institute of Actuaries.[1]

Unit
Recovery means
Measured by

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Nearby constructs

asset2 fields · 2 citationsjingle · one word, two constructsconvexity4 fields · 4 citationsjingle · one word, four constructs (two share a mathematical root)discount3 fields · 4 citationsjingle · one word, three constructs

References

  1. Redington, F. M. (1952). Review of the Principles of Life-office Valuations. Journal of the Institute of Actuaries, 78(3), 286-340. https://doi.org/10.1017/s0020268100052811

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