SOA FMFinancial Mathematics
Associateship (ASA)
2.5 hours·30 multiple-choice·≈250 study hoursScore 0/0 · 10 MC
- FM · Q1Written answerImmunization
An insurer must pay 10,000 in 3 years. It can buy 1-year and 5-year zero-coupon bonds at a flat 5% yield. Determine the amounts to invest in each bond to Redington-immunize the liability and verify the convexity condition.