Fall 2016 Q15 a

Tony88pass

Hi Graham,

As you mentioned the calculation for duration for premium liability is outdated, just want to know what you got for the interest rate risk margin with right calculation for duration? I got the modified duration equals to 1.59 and interest rate risk margin equals to 975.

Thanks,
Tony

graham

That is correct! This calculation is actually in the wiki at this link:

• https://battleactsmain.ca/wiki6c/2016.Fall_Q15_Redone

You can also get to that wiki page from this section of the CIA.PrLiabs article:

• https://battleactsmain.ca/wiki6c/CIA.PrLiabs#2016.Fall_.2315_Redone