SOA Exam FM Sample Question 275
Study guide: Exam FM-2
An insurance company has a single liability due in three years. The company fully immunizes its position by purchasing one-year and four-year zero-coupon bonds. The face value of the one-year bond is 20,000 and the face value of the four-year bond is 50,000.
Assume that the yield curve is flat.
Calculate the amount of the liability.
- A) 40,000
- B) 55,699
- C) 69,624
- D) 73,333
- E) 97,500
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