以下则是北美精算师——SOA真题November2003Course8F（一），全英文内容很多，可几日滚雪球法记忆。
　　COURSE 8: Fall 2003 1 GO TO NEXT PAGE
　　FINANCE
　　Morning Session
　　**BEGINNING OF EXAMINATION**
　　FINANCE
　　MORNING SESSION
　　Questions 1-5 pertain to the Case Study.
　　Each question should be answered independently.
　　1. (8 points) Mr. Newman has just given J. Peterman the unaudited line-of-business and
　　consolidated financials of NADA for 2002 along with projections for 2003-2005. In
　　addition, NADA has supplied Peterman with an extensive business plan detailing the
　　growth potential and opportunity for each of its business units.
　　The business plan contains an emphasis on growing the GIC business. Mr. Newman
　　plans to do this through the addition of Funding Agreements with 12-day put options.
　　The Funding Agreements will be sold to institutional investors other than retirement
　　plans.
　　Peterman is concerned about NADA’s growing reliance on GIC sales. Peterman has
　　questions about the profitability, liquidity, and investment risks of the GICs.
　　Mr. Newman has asked you to address the rating agency’s concerns.
　　(a) Explain why Peterman may have concerns about increased Funding Agreement
　　sales and their effects on profitability, liquidity, and investment risk.
　　(b) Peterman has recently adopted a view of interest rate risk similar to Moody’s
　　Investor Service. Summarize Moody’s view of interest rate risk, and describe the
　　impact that such views could have on Peterman’s *uation of NADA’s current
　　and planned GIC business.
 
　　COURSE 8: Fall 2003 2 GO TO NEXT PAGE
　　FINANCE
　　Morning Session
　　Questions 1-5 pertain to the Case Study.
　　Each question should be answered independently.
　　2. (10 points) In preparation for the upcoming rating agency meeting with J. Peterman,
　　Chief Actuary Kramer has been asked to look into improving the RBC ratio of the term
　　life block. His preference is to change the asset mix backing the product.
　　Manzier Reinsurance has offered to coinsure 35% of NADA’s term life block.
　　(a) (1 point) Calculate the required capital for year-end 2003 for the term life block
　　of business prior to any reinsurance. Show your work.
　　(b) (2 points) Propose terms for the reinsurance transaction with Manzier that would
　　optimize NADA’s RBC ratio for the term life block of business.
　　(c) (3 points) Calculate the required capital for year-end 2003 for the term life block
　　if the reinsurance deal you proposed is consummated. Show your work.
　　(d) (2 points) Calculate the impact of your proposed reinsurance arrangement on
　　NADA’s year-end 2003 RBC ratio. Assume no change to available surplus.
　　Show your work.
　　(e) (2 points) Predict Manzier’s response to the terms of the reinsurance arrangement
　　proposed in part (b).
 
　　COURSE 8: Fall 2003 3 GO TO NEXT PAGE
　　FINANCE
　　Morning Session
　　Questions 1-5 pertain to the Case Study.
　　Each question should be answered independently.
　　3. (12 points) NADA’s business plan projects increased sales of GICs beginning in 2003.
　　To achieve this plan, the Marketing Department has instituted a commission scale for
　　GIC products sold in 2003, as follows:
　　?  a commission payment of 1% of deposits for GICs with 5-year interest rate
　　guarantees
　　?  a commission payment of 0.2% of deposits for GICs with 1-year interest rate
　　guarantees
　　?  commissions are paid at the time of sale to the broker.
　　Von Nostrum has recommended that NADA start deferring acquisition costs with respect
　　to its new business. Elaine Benes has put you in charge of creating a methodology to
　　capitalize and amortize acquisition costs in accordance with U.S. GAAP.
　　You start by focusing on the GIC line. Assume the following:
　　?  NADA’s GICs are FAS 97 investment contracts.
　　?  All GICs are sold at the beginning of the year.
　　?  There are no withdrawals prior to maturity.
　　?  Interest earned is paid to the contract holder on December 31 of each year.
　　?  For assets backing the GIC business sold in 2003, NADA expects to earn an
　　investment return of 4.295%.
　　?  Expenses are 5 basis points per year.
　　(a) Describe the procedure for determining the capitalization of the acquisition
　　expenses and the subsequent amortization of the DAC asset for the GIC line.
　　(b) Calculate the DAC asset for new business planned to be written in 2003 for the
　　GIC line. Show your work.
　　(c) Calculate the amortization schedule for the DAC asset from part (b). Show your
　　work.
 
　　COURSE 8: Fall 2003 4 GO TO NEXT PAGE
　　FINANCE
　　Morning Session
　　高顿网校之名人心得体验：向真理弯腰的人，一旦挺起胸来，将顶天立地。 —— 沈舜福