1 |
Cox, J. C., Ingersoll. Jr., J. E. and Ross, S. A. (1985). A theory of the term structure of interest rates. Econometrica, 53, 385-407.
DOI
ScienceOn
|
2 |
Brigo. D and Mercurio. F. (2001). Interest rate models: Theory and practice, Springer, New York.
|
3 |
Choi, J. (2010). A study on ALM tools suitable for life insurance liabilities. Journal of Actuarial Science, 2, 51-79.
|
4 |
Chung, S. (2003). Sensitivity of the stock returns distribution to changes in the level and volatility of interest rates. Korean Journal of Money and Finance, 8, 95-134.
|
5 |
Financial Supervisory Service. (2012). Manual for risk-based capital, available from www.fss.or.kr.
|
6 |
Kwon, O. and Lee, H. (2013). Interest sensitivity of floating rate product. Korean Insurance Journal, 95, 61-85.
|
7 |
Lee, B. and Park, D. (1999). A study on interest rate risk and firm value of property and liability insurers. The Journal of Risk Management, 12, 43-74.
|
8 |
Lee, H. (2013). Profit analysis of life insurance products with interest rate options. Journal of the Korean Data & Information Science Society, 24, 737-753.
과학기술학회마을
DOI
ScienceOn
|
9 |
Lee, W., Noh, B. and Jang, K. (1997). Analysis in the risk of interest rate volatility to insurers, Working paper, Korea Insurance Development Institute, Seoul.
|
10 |
Whang, I. (1998). Asset allocation and ALM of life insurance companies. Korean Journal of Business Administration, 19, 189-207.
|
11 |
Rhee, B. and Kim, J. (2013). Bank stock returns, interest rates and volatilities. Journal of Korean National Economy, 31, 63-84.
|
12 |
Shreve, S. (2004). Stochastic calculus for finance II: Continuous-time models, Springer, New York.
|
13 |
Vasicek, O. (1977). An equilibrium characterization of the term structure. Journal of Financial Economics, 5, 177-188.
DOI
ScienceOn
|
14 |
Zeytun S. and Gupta, A. (2007). A comparative study of the Vasicek and the CIR model of the short rate, Working paper, Fraunhofer-Institut fur Techno- und Wirtschaftsmathematik, Germany.
|