高顿网校美女小编呼唤全球的北门精算师们来拜读北美精算师考试SOA真题November2004Course8E（第三部分），考试心里就有底了。
　　6.(5points)YouaretheValuationActuaryofamajorU.S.LifeInsurancecompany,which
　　offersSPDAsandtermlifeinsurance.
　　(a)DescribetheissuesinvolvedinapplyingCARVMtoregulardeferredannuities.
　　(b)DescribeCARVMvaluationconsiderationsassociatedwiththeproduct
　　provisionsoftenincludedinSPDAs.
　　(c)Explainhowpremiumdeficiencyreservescanarisewithrespecttotermlife
　　insurance.
　　(d)PriortoRegulationXXX,explainhowtheUnitarymethodcouldbeusedtoavoid
　　havingtosetupadeficiencyreservefortermlifeinsurance.
　　COURSE8:Fall2004-8-STOP
　　FinanceandEnterpriseRiskManagement;CoreSegment
　　MorningSession
 
　　7.(4points)AninsurancecompanyhasanS&P500indexedliabilitydueinoneyear.The
　　investmentmanageriswillingtoassumetheriskofpayingtheS&P500indexedliability
　　uptoamaximumincreaseof10%.
　　(a)Describeastrategyusinganoptiontolimittheinsurancecompany’spaymenttoa
　　maximumS&P500increaseof10%.
　　(b)Describeastrategyusinganadditionaloptiontolessenthecostofthehedging
　　strategyin(a).
　　(c)Createseparategraphsthatshow:
　　(i)TheriskprofileoftheS&P500indexedliability
　　(ii)Thepayoffprofileoftheoptioninpart(a)
　　(iii)Thepayoffprofileoftheadditionaloptioninpart(b)
　　(iv)Theresultingnettotalpayoffpatterntotheinsurancecompany
　　Ignoreoptioncostsinthegraphs.Labeleachgraph.
　　**ENDOFEXAMINATION**
　　MORNINGSESSION
　　COURSE8:Fall2004-9-GOONTONEXTPAGE
　　EnterpriseRiskManagementSegment
　　AfternoonSession
　　**BEGINNINGOFEXAMINATION**
　　ENTERPRISERISKMANAGEMENTSEGMENT
　　AFTERNOONSESSION
　　BeginningWithQuestion8
 
　　8.(5points)YouaretheChiefFinancialOfficerforSaltyLife.SaltyLife’scoreliability
　　productsareGICcontracts.SaltyLifeisexploringapossiblepurchaseoftheGIC
　　businessofTugboatLife,andyouhavebeenaskedtoanalyzethepotentialdeal.
　　TugboatLife’sDecember31,2003GICbusinesshasthefollowingmaturityschedule:
　　LiabilityMaturityScheduleAmount
　　12/31/2004400million
　　12/31/2005600million
　　12/31/2006750million
　　TheGICshavenoearlyredemptionfeaturessothematuritycashflowsasshownare
　　fixed.
　　SaltyLife’sbusinessmodelutilizesthecost-of-capitalapproachfor*uatingbusiness
　　opportunities.Thecurrentassumptionsusedinthemodelare:
　　?Risk-freerateis4%.
　　?CorporateTaxRateis35%.
　　?CreditRiskPremiumonAssetsis1.25%.
　　?LiquidityRiskPremiumis0.15%.
　　?TargetRiskBasedCapitalis5%ofAssetsbackingbothLiabilitiesand
　　Surplus.
　　?TargetreturnonequityforGICbusinessis12%.
　　?Flattermstructureofinterestrates.
　　?Expensesarezero.
　　(a)Describeth*uationmethodswhichcanbeusedtodeterminefairvalueof
　　liabilities,andindicatewhichwouldbeappropriateforvaluingTugboat’sGIC
　　business.
　　(b)UsingSaltyLife’svaluationmodel,calculateafairvalueforTugboatLife’sGIC
　　block.
　　COURSE8:Fall2004-10-GOONTONEXTPAGE
　　EnterpriseRiskManagementSegment
　　AfternoonSession
 
　　9.(15points)YouaretheProductActuaryforGet-a-Life(GAL),alifeinsurancecompany
　　domiciledintheUnitedStates.Oneyearagoyoucreatedavariableannuity(VA)
　　producttoreplacetheEquityIndexedAnnuity(EIA)productthatGALwasthenselling.
　　TheVAproducthasafixedincomeoptionwithaguaranteedminimuminterestrateof
　　3%andanoptiontoinvestinasegregatedaccountthatisindexedtotheS&P500.The
　　VAliabilitieshaveaguaranteedminimumdeathbenefitequaltotheinitialdeposit
　　accumulatedattheguaranteedminimuminterestrate.
　　Thetablebelowshowspricingassumptionsandactualexperiencetodate.
　　t
　　Time0
　　PricingAssumption
　　(St)
　　Time1
　　ActualandFutureRe-Estimates
　　()St
　　0100100
　　110580
　　210389
　　3112100
　　4120110
　　5135120
　　Inaddition,youhavethefollowinginformation.
　　Time0AssumptionTime1Assumption
　　1px0.9950.993
　　AnnualManagementExpense1.5%1.5%
　　ReserveValuationRate4%4%
　　Yoursamplepricingcellassumesaninitialdepositof1,000.Nofuturedepositsare
　　allowedandtheproducteitherannuitizesoriswithdrawnattheendoffiveyears.Death
　　isassumedtobetheonlydecrementbeforetheendofyearfiveandisassumedtooccur
　　ateachyear-end.Managementexpensesarewithdrawnatyear-end.
　　(a)(2points)Describehowtheriskmanagementconsiderationsforsegregatedfund
　　contractsdifferfromthoseforEIAs.
　　(b)(4points)Calculatethereserveforyoursamplepricingcellatt=1underthe
　　actualexperienceandcompareittothereservefromtheoriginalpricing
　　assumptions.
　　COURSE8:Fall2004-11-GOONTONEXTPAGE
　　EnterpriseRiskManagementSegment
　　AfternoonSession
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