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Need help with part b. Please show work to help me understand. Thank you! An insurance company must make payments to a customer of $11

image text in transcribedNeed help with part b. Please show work to help me understand. Thank you!

An insurance company must make payments to a customer of $11 million in one year and $6 million in five years. The yield curve is flat at 6%. a. If it wants to fully fund and immunize its obligation to this customer with a single issue of a zero-coupon bond, what maturity bond must it purchase? (Do not round intermediate calculations. Round your answer to 4 decimal places.) Maturity of zero coupon bond 2.2100 years b. What must be the face value and market value of that zero-coupon bond? (Do not round intermediate calculations. Enter your answers in millions rounded to 2 decimal places.) Face value million Market value million

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