下面高顿网校展现的是历年真题November2003Course8F（第二部分）——北美精算师考试SOA，大家把知识点用心记在脑子里呀，步步为营最重要。
　　3. Continued
　　(d) Assume through 2004 that no assumptions have changed from 2003. Assume that
　　on January 1, 2005, there are defaults within the investment portfolio which
　　reduce future investment income to NADA by 0.20% per annum. Calculate the
　　impact that this event will have on NADA’s balance sheet and income statement
　　for the GIC business originally written in 2003. Show your work.
　　(e) Following your GIC analysis, you consider the implications of Von Nostrum’s
　　recommendation for NADA’s other business lines.
　　Explain the likely reasons why Von Nostrum has recommended deferring
　　acquisition costs, and describe the considerations impacting the capitalization and
　　amortization of acquisition costs associated with each of NADA’s business lines.
 
　　4. (3 points) Outline a report analyzing the strengths and weaknesses of NADA’s corporate
　　governance system.
 
　　5. (9 points) NADA is currently under review with negative implications by the J.
　　Peterman rating agency.
　　(a) Describe which current operations and corporate attributes of NADA help to
　　maintain or improve its rating and which may hurt the rating.
　　(b) Propose changes to its business strategy that NADA can implement to improve its
　　rating. Include justification for your proposed changes.
　　COURSE 8: Fall 2003 5 GO TO NEXT PAGE
　　FINANCE
　　Morning Session
 
　　6. (4 points) XYZ Company uses the expected policyholder deficit as the relevant risk
　　measure for solvency analysis. XYZ’s total assets are currently $10,000 and have been
　　invested to earn a guaranteed return of 5% over the next year. XYZ has two lines of
　　business with perfectly correlated liability exposures. The total loss for the two lines
　　combined at the end of the year is a random variable that is distributed as follows:
　　x Pr[X=x]
　　$8,000 15%
　　10,000 60
　　12,000 25
　　(a) Calculate the expected policyholder deficit ratio. Show your work.
　　(b) If the regulator requires that capital be held such that the expected policyholder
　　deficit does not exceed 5% of expected losses, determine XYZ’s current position
　　relative to this requirement. Show your work.
　　(c) Describe how the owners of XYZ hold a position similar to a stock option.
 
　　7. (8 points) As the Product Innovator at In the Box Co., you developed an idea for a new
　　product line and pitched it to your boss, Jack, who is the Vice President of Marketing.
　　Thinking this concept is a good strategic fit and recognizing value based on features
　　already traded in the market, Jack requests that you develop the idea further.
　　You use the traditional discounted cash flow (DCF) approach to analyze the idea.
　　Unfortunately, you discover that this project produces a NPV of -50 using the DCF
　　approach.
　　(a) Explain why Jack’s initial assessment of the project does not seem to reconcile
　　with the value calculated under the traditional DCF approach.
　　(b) Describe how you would enhance the DCF approach to consider the additional
　　value that Jack sees.
　　(c) Indicate the complications presented by the approach you proposed in part (b).
　　COURSE 8: Fall 2003 6 STOP
　　FINANCE
　　Morning Session
 
　　8. (6 points) As a financial consultant to Golden Parachute Company, you have been asked
　　to make a recommendation to the Board of Directors regarding the funding of the
　　company’s defined benefit pension plan. The board is split between those that feel the
　　plan is too heavily funded (and would like to take a plan reversion) and those that feel the
　　funding status of the plan is not sufficient due to the level of equity exposure. A law has
　　just been passed that will prevent companies from taking a pension plan reversion, but it
　　does not become effective until the next plan year.
　　You have the following information available:
　　?  Market value of plan assets = $65,400,000
　　?  Present value of liability by accounting standards = $60,000,000
　　?  Present value of liability by actuarial standards = $63,000,000
　　?  Assumed rate of return for plan valuation purposes = 8.5%
　　?  Plan early retirement provis ion(s) = none
　　?  Plan normal retirement age = 65
　　?  Amount of liability by accounting standards attributed to employees age 60 or older =
　　$36,000,000
　　?  Minimum required contribution for the plan year in question = $0
　　?  Maximum tax-deductible contribution for the pla n year in question = $1,000,000
　　?  Asset Allocation: 50% Stocks
　　25% High yield bonds
　　20% Municipal bonds
　　5% Cash
　　Upon a participant’s retirement, the plan liquidates assets to purchase a life annuity to
　　cover the participant’s future benefit payments.
　　(a) Outline the advantages and disadvantages of overfunding a defined benefit
　　pension plan.
　　(b) Recommend the funding related action that Golden Parachute’s Board of
　　Directors should take. Support your recommendation.
　　(c) Recommend whether any changes should be made to the asset allocation or
　　assumptions utilized in the pension plan’s annual valuation. Include support for
　　your recommendation.
　　**END OF EXAMINATION**
　　MORNING SESSION
　　COURSE 8: Fall 2003 - 7 - GO ON TO NEXT PAGE
　　Finance
　　Afternoon Session
　　**BEGINNING OF EXAMINATION**
　　FINANCE
　　AFTERNOON SESSION
　　Beginning With Question 9
　　高顿网校之名人名言亮剑：天才不能使人不必工作，不能代替劳动。要发展天才，必须长时间地学习和高度紧张地工作。人越有天才，他面临的任务也就越复杂，越重要。 —— 阿·斯米尔诺夫