Immunization strategy in a fuzzy environment

摘要: Within the framework of ALM, we understand that immunization is main method to assure a certain yield in future date departing from an initial portfolio. As crisp case, fuzzy environment, one goals determination duration bond and portfolio, when interest rate number. After that, will be able design strategy. One problems strategies derives fact process allows variation TSIR parallel way initial, this assumes hypothesis follows additive spot rate. Therefore, if not guaranteed, it cannot guaranteed profitability expected at beginning investment. This called risk identification stochastic process.