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The Matching of Bond Portfolios and Life Insurance Liabilities: A Scenario Analysis Approach
Stockholm University, Faculty of Social Sciences, School of Business.
2001 (English)Independent thesis Advanced level (degree of Master (One Year)), 10 credits / 15 HE creditsStudent thesis
Abstract [en]

The aim of this paper is a comparative study of the immunization properties of different bond investment strategies for life insurance liabilities using a scenario analysis approach. The life insurance liabilities consist of a portfolio of life annuity contracts during the benefit payment period.

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Business Administration
URN: urn:nbn:se:su:diva-2933OAI: diva2:192062
Available from: 2007-01-05 Created: 2007-01-05

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