Open Access Open Access  Restricted Access Subscription or Fee Access

Asset Liability Management for Perpetual Payments

Luigi Romano, Donato Scolozzi


The Financial Immunization Classic Theory studies the interest rate risk and the necessary conditions to asset liability management. Redington, in 1952, introduced a model of asset liability management. His model considers the initial financial struture, the shifts of the interest rate function represented by z, for z 2 R, which is added to the initial financial structure, determining the new financial structure. Fisher and Weil, in 1971, studied the case in which the liability is given by a single payment L. The present work considers the value function v(t; s) as known, and includes the case of discontinuous interest rates function. The theorems of Redington and Fisher-Weil are extended to a sequence of asset and liability cash flows for constant shifts.


Financial Immunization, Interest rate risk, Immunization strategies, additive

Full Text:


Disclaimer/Regarding indexing issue:

We have provided the online access of all issues and papers to the indexing agencies (as given on journal web site). It’s depend on indexing agencies when, how and what manner they can index or not. Hence, we like to inform that on the basis of earlier indexing, we can’t predict the today or future indexing policy of third party (i.e. indexing agencies) as they have right to discontinue any journal at any time without prior information to the journal. So, please neither sends any question nor expects any answer from us on the behalf of third party i.e. indexing agencies.Hence, we will not issue any certificate or letter for indexing issue. Our role is just to provide the online access to them. So we do properly this and one can visit indexing agencies website to get the authentic information. Also: DOI is paid service which provided by a third party. We never mentioned that we go for this for our any journal. However, journal have no objection if author go directly for this paid DOI service.