Title: Anwendung der Duration im Asset-Liability-Management eines Lebensversicherungsunternehmens
Other Titles: Application of the Duration in the Asset-Liability-Management of a life insurance agency
Language: Deutsch
Authors: Schallhart, Susanne 
Qualification level: Diploma
Advisor: Gerhold, Stefan
Assisting Advisor: Krischanitz, Christoph
Issue Date: 2012
Number of Pages: 74
Qualification level: Diploma
Abstract: 
Definition und Herleitung der Duration. Duration in Abhängigkeit der Faktoren. Zinsimmunisierung mittels Duration. Definition und Herleitung der Convexity. Zwei Berechnungsmethoden des Durationmismatch und ein Vergleich dieser Methoden.

Definition and derivation of the Duration. Duration according to its factors. Interestimmunisation with Duration. Definition and derivation of the Convexity. Two calculationmethods of the Durationmismatch and a comparison of these two methods.
Keywords: Duration; Lebensversicherung; Convexity; Durationmismatch; Asset-Liability-Management
Duration; life insurance; Convexity; Durationmismatch; Asset-Liability-Management
URI: https://resolver.obvsg.at/urn:nbn:at:at-ubtuw:1-60441
http://hdl.handle.net/20.500.12708/11390
Library ID: AC07812918
Organisation: E105 - Institut für Wirtschaftsmathematik 
Publication Type: Thesis
Hochschulschrift
Appears in Collections:Thesis

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