NO.PZ2016071602000003
问题如下：
The AT&T pension fund reports total assets worth $19.6 billion and liabilities of $17.4 billion. Assume the surplus has a normal distribution and volatility of 10% per annum. The 95% surplus at risk over the next year is
选项：
A.$360 million
B.$513 million
C.$2,860 million
D.$3,220 million
解释：
A is correct. The fund's surplus is the excess of assets over liabilities，which $19.6 — $17.4 = $2.2 billion. The surplus at risk at the 95% level over one year is, assuming a normal distribution, 1.645 x 10% x $2,200 = $360 million. Answer b. is incorrect because it uses a 99% confidence level. Answers c. and d. are incorrect because they apply the risk to the liabilities and assets instead of the surplus.
如题
