An analyst reports the following fund information to the advisor of a pension fund that currently invests ingovernment and corporate bonds and carries a surplus of USD 10 million:Pension Assets...

An analyst reports the following fund information to the advisor of a pension fund that currently invests ingovernment and corporate bonds and carries a surplus of USD 10 million:Pension Assets Pension LiabilitiesAmount (in USD million) 100 90Expected Annual Growth 6% 7%Modified Duration 12 10Annual Volatility of Growth 10% 5%To evaluate the sufficiency of the fund's surplus, the advisor estimates the possible surplus values at the endof one year. The advisor assumes that annual returns on assets and the annual growth of the liabilities arejointly normally distributed and their correlation coefficient is 0.8. The advisor can report that, with aconfidence level of 95%, the surplus value will be greater than or equal to:a. USD -11.4 millionb. USD -8.3 millionc. USD -1.7 milliond. USD 0 million