medium · FRM Part 1 Foundations of Risk Management
A life insurance company finds that its Projected Benefit Obligation (PBO) increases from $1.2 billion to $1.35 billion following a 100 basis point drop in the discount rate.
If the company holds $1.4 billion in assets with a duration of 4.0 years, what is the new funding ratio after the rate move?
- 0.929
- 1.111
- 1.037
- 1.078
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