我们高顿网校小编们集中精力为您整理了真题Course8E（第2部分）——北美精算师考试SOA，这是北美精算师的官方大纲哦。
　　4.(8points)YouaretheChiefActuaryofGlobalInsurance,apubliccompanysellingonly
　　UniversalLife,withdivisionslocatedintheU.S.,CanadaandAustralia.Youractuaries
　　havediscoveredpricinginadequaciesonthein-forceproducts.Global’sCFOisvery
　　interestedinthevolatilityofthecompany’sresultsduetoboththeforeignexchange
　　marketsandthepricingissues.
　　(a)Describetheincome-basedreservemethodologythatGlobalmustfollowineach
　　jurisdictioninwhichitisconductingbusiness.Includeinyourdescriptionthe
　　accountingimplicationsofthepricinginadequaciesandtheirimpactonthe
　　currentyear’scountry-specificincomestatements.
　　(b)OutlineareportfortheCFOthatincludesthefollowing:
　　i.TheforeignexchangerisksthatGlobalhasassumed.
　　ii.ReasonswhyGlobalmightconsiderhedgingthoserisks.
　　iii.Hedgingstrategiesandinstrumentsthatmaybeusedforcurrency
　　hedging.
　　COURSE8:Fall2005-5-GOTONEXTPAGE
　　FinanceandEnterpriseRiskManagement;CoreSegment
　　MorningSession
 
　　5.(5points)YouhavebeenhiredbySalmonInc.toprovideinvestmentstrategyadvicefor
　　Salmon’sDefinedBenefitPlan.
　　Salmon’smanagementisconcernedabouttheaccuracyoftheplansurpluscalculationin
　　lightofvolatilityofthesurplusoverthepasttwoyears.
　　Youhavebeenprovidedthefollowingplaninformation:
　　PlanAssets$240million
　　PlanLiabilities$250million
　　Theplan’scurrentinvestmentstrategy,valuationandreportingare:
　　?Requiredrateofreturnonassetsis7%.Giventhisconstraint,minimizeasset
　　volatility.
　　?LiabilityriskisdeterminedusingMonteCarlotesting.
　　?Discountrateforliabilitiestiedtoexpectedreturnonassets
　　?TheannualreporttoManagementprovidesabestestimate,20-yearfundinglevel
　　forecast,measuredonaGAAPbasis.
　　(a)Describeweaknessesinthecurrentstrategy,valuationandreporting.
　　Recommendimprovementstobettermanagemarket-relatedrisksofthepension
　　plan.
　　(b)Outlinemethodstocontrolpensionplanrisksthatarenotmarketrelated.
　　COURSE8:Fall2005-6-GOTONEXTPAGE
　　FinanceandEnterpriseRiskManagement;CoreSegment
　　MorningSession
 
　　6.(8points)MobyLifeisconsideringsellinganin-forceblockofterminsurance.Youare
　　theappointedactuaryofthecompanyandhavebeenaskedbytheCEOtoestimatethe
　　fairvalueoftheblockasofDecember31,2005.
　　Futuregrosscashflowshavebeenprojectedasfollows:
　　200620072008
　　Premiums500490486
　　Expenses&Commissions757473
　　DeathClaims646666
　　Assumetherearenofurthercashflowsbeyond2008.
　　MobyLifereinsures50%ofthebusinessunderacoinsurancetreatyandreceives10%of
　　cededpremiumasareinsuranceallowance.
　　Youhavebeenprovidedwiththefollowinginformation:
　　Risk-freerate:4%
　　Rateofreturnonassets:8%
　　Costofcapital:15%
　　Benchmarkequitytoliabilityratio:10%
　　Effectivetaxrate:35%
　　(a)(2points)DescribethedifferencebetweenafairvaluemethodologyandU.S.
　　GAAPforvaluationofpolicyliabilities.
　　(b)(4points)Useacost-of-capitalapproachtodeterminethefairvalueofthepolicy
　　liabilitiesforthetermblockofbusinessasofDecember31,2005.Assumeall
　　cashflowsoccuratmid-year.Showyourwork.
　　(c)(2points)TheCEOwouldliketoknowhowmuchthisblockofbusinessisworth
　　ifitiskeptwithMobyLiferatherthanbeingsold.Suggestanalternatemeasure
　　forvaluingthebusinessifitisretainedbyMobyLife.Describethedifferences
　　betweenthismeasureandthefairvaluemethodologyin(b).
　　COURSE8:Fall2004-7-STOP
　　FinanceandEnterpriseRiskManagement;CoreSegment
　　MorningSession
 
　　7.(4points)AllegroAnnuityisaninsurancecompanydomiciledintheU.S.thatissuesa
　　fullrangeoffixedannuityproducts.Startingthisyear,Allegroisrequiredtocomply
　　withthecashflowtestingC-3arisk-basedcapitalrequirement.Thecompanyhashired
　　youtohelpthemunderstandtheimpactofthisrequirement.
　　(a)ComparetheC-3acashflowtestingrequirementwiththefactor-basedC-3a
　　requirement.
　　(b)AllegrocurrentlyholdsstatutoryreservesthatarecalculatedusingtheCARVM
　　methodologyandmeetminimumregulatorystandards.
　　ExplainwhyAllegromaystillberequiredtoholdadditionalcapitalundertheC-
　　3acashflowtestingrequirements.
　　**ENDOFEXAMINATION**
　　MORNINGSESSION
　　COURSE8:Fall2005-8-GOONTONEXTPAGE
　　EnterpriseRiskManagementSegment
　　AfternoonSession
　　**BEGINNINGOFEXAMINATION**
　　ENTERPRISERISKMANAGEMENTSEGMENT
　　AFTERNOONSESSION
　　BeginningWithQuestion8
　　高顿网校之金玉良言：中国留学生学习成绩往往比一起学习的美国学生好得多，然而十年以后，科研成果却比人家少得多，原因就在于美国学生思维活跃，动手能力和创造精神强。 —— 杨振宁