Immunization of Yield-Curve Shift Risks for Insurance Companies

摘要

This paper first demonstrates that the immunization strategy proposed by Tzeng, Wang , and Soo [2000] fails to protect the surplus of an insurance company against yield curve shift risks. Using goal programming, we propose a new method of immunization. The results of our simulation show that, compared to Tzeng, Wang , and Soo [2000], the goal programming proposed in this paper can significantly reduce the risks of yield curve shifts against an insurance company’s surplus.