The efficiency of traditional and stochastic interest rate risk measures is compared under one-, two-, and three-factor Gauss-Markov HJM term structure models, and for different immunization periods. The empirical analysis, run on the German Treasury bond market from January 2000 to December...

Protecting against unexpected yield curve, inflation, and longevity shifts are some of the most critical issues institutional and private investors must solve when managing post-retirement income benefits. This paper empirically investigates the performance of alternative immunization strategies...