You are an actuary for an insurance company that has an obligation to pay $ 10,000...
You are an actuary for an insurance company that has an
obligation to pay
$ 10,000 every year for 5 years. Your company accepts payments of $
37,908, i.e.
the present value of the obligation with an interest rate of 10%
and will use it for investment so
obligations fulfilled. The investment available for your company is
zero-coupon bonds 1, 3, and 5 years
all of which give a 10% yield. Your job is to create an investment
strategy for your company
using classical immunization, only consider adjusting the duration
of assets and liabilities without
consider convexity. It is known that your company is investing in a
1-year zero-coupon bond
in the amount of $ 13,223. Determine the amount of investment in
zero-coupon bonds 3 years and 5 years.
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You are an actuary for an insurance company that has an
obligation to pay
$ 10,000...
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this is a problem from actuary class, please give brief reasoning
and complete steps, thank you
"mathematics of investment and credit"
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