SOA Exam FM Sample Question 299
Study guide: Exam FM-2
An insurance company has a liability of 2662 that is due at the end of three years. The present value of this liability is 2000. There are two investments available: a one-year zero-coupon bond and a four-year zero-coupon bond.
The company wants to find an investment plan that satisfies Redington immunization.
Calculate the amount the company invests in the one-year zero-coupon bond.
- A) 400
- B) 667
- C) 858
- D) 1,000
- E) There is no investment plan that satisfies Redington immunization
Answer this question and see the worked solution
Concepts tested
- Immunization
- Duration
- Bonds
- Portfolio
- Asset-Liability Portfolio
- Duration Matching
- Redington Immunization
- Convexity