An Empirical Approach to Immunization in South Africa

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