An Empirical Approach to Immunization in South Africa

  • AJ Maitland

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
Published
2004-03-02
Section
Articles

Journal Identifiers


eISSN: 1680-2179
print ISSN: 977-1680-2170-02