INTEREST RATE RISK AND MARKET RISK LR027

The basic risk-based capital developed for annuities and life insurance in the low-risk category was based on an assumed asset/liability duration mismatch of 0.125 (i.e., a well- matched portfolio). This durational gap was combined with a possible 4 percent one -year swing in interest rates (the maximum historical interest rate swing 95 percent ................
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