SOA Exam FM Sample Question 268
Study guide: Exam FM-2
An insurance company aims to structure a portfolio of assets and liabilities so that:
i) Its assets and liabilities have equal present values and equal modified durations. ii) The convexity of its assets exceeds the convexity of its liabilities.
Determine which term precisely describes the company's position.
- A) Diversified
- B) Fully immunized
- C) Fully leveraged
- D) Exactly matched
- E) Redington immunized
Answer this question and see the worked solution
Concepts tested
- Immunization
- Duration
- Portfolio
- Asset-Liability Portfolio
- Duration Matching
- Redington Immunization
- Convexity