SOA Exam FM Sample Question 425
Study guide: Exam FM-2
A company has liabilities of 1000 and 750 due at the end of years two and four, respectively. The company creates an investment portfolio that produces asset cash flows of X immediately and Y at the end of year three. The portfolio is constructed to match the present value and duration of the company's payment obligations, using an annual effective interest rate of 6%.
Calculate Y.
- A) 1000
- B) 1385
- C) 1650
- D) 1667
- E) 1768
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