In the actuarial area, the immunization was born over fifty years ago. It has overcome several theoretical problems which initially remained pending, as the supposed need for the interest rate curve to be flat and the need of a continuously rebalance, supposedly because the conditions for immunization were only maintained at the concrete time the portfolio was immunized. On its latest developments, it has been found that immunization is a valid, agile and dynamic strategy to manage interest rate risk of a bond portfolio. On the other hand, emerged the option of replicating portfolios as a way to avoid the risk of investment through continuous reallocation of assets. They eliminate the risks arising from the change in the value of the underlying, by the passing of time and so forth.

Since both methods allow, in theory, the generation of portfolios without risk, it is essential to try to compare them to understand what is the best strategy for the management of risk –the risk always remains- using RIA (absolute immunization risk measure developed by Iturricastillo and De La Peña). The aim of this paper is this comparison from an actuarial point of view, taking into account the extent to which risks are eliminated in each of them, the expected returns offer by them, and how can be tried to manage them as intelligently as possible.

The need for this study in the actuarial field is evident as these techniques are a crucial part of the offer of risk management tools, and every actuary needs to have a well founded opinion on the pros and con of each strategy.