Ahlgrim, Kevin C.; D'Arcy, Stephen P.; Gorvett, Richard W. - In: The Geneva Papers on Risk and Insurance Theory 29 (2004) 1, pp. 75-108
Managing interest rate risk for property-liability insurers requires appropriate measurement of the sensitivity of liabilities to movements in interest rates. Most prior studies have assumed that interest rates shift in a parallel fashion and that the cash flows from liabilities are unaffected...
