For September 2011 question I had written that one of the ways the Life Insurance Company can reduce Capital Requirements is by applying for a waiver to be allowed to "Barbell" Credit risk exposure.
For example, Retirico can be allowed to invest in 'extremely-few' very risky Corporate Bonds and the rest in Government Bonds, as long as this keeps "Overall" Credit exposure (note the Jensen's Inequality property) below a threshold to be agreed with the Regulator.
Does anyone think this could have earned me any marks?
P.s I'm already stressing about applied Risk-Management questions ahead of Wednesday.
Last edited by a moderator: Apr 21, 2013
