高顿网校小编预祝要考的广大北美精算师同志们都能够顺利的拿到梦寐以求合格证书！把SOA真题Course8V（1）——SOA精算师2014考试要点，看熟。
　　COURSE8:Fall2005-1-GOTONEXTPAGE
　　Investment
　　MorningSession
　　**BEGINNINGOFEXAMINATION**
　　INVESTMENT
　　MORNINGSESSION
　　Questions1-4pertaintotheCaseStudy
 
　　1.(6points)
　　(a)AssesstheconsistencyofthedefinitionofaderivativeinLifeCo’soperational
　　guidelineswiththedefinitionunderUSGAAP.
　　(b)DescribehowLifeCo’sDerivativePolicyaddressesoperationalandlegalrisks.
　　(c)Recommendadditionalcontrolstobetteraddresstheserisks.
　　COURSE8:Fall2005-2-GOTONEXTPAGE
　　Investment
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　　Questions1-4pertaintotheCaseStudy
 
　　2.(5points)AnewactuarialstudentatLifeCoisveryexcitedaboutthe"profit"your
　　portfolioisgeneratingwithMBS.Heviews"profit"onanMBSbondasthedifference
　　betweenOASandtheliabilityrequiredinterestspreadoverTreasuries.
　　(a)Explainwhy"profit"maynotequalthedifferencebetweenOASandtherequired
　　interestspreadwithaJumpZ-bond.
　　(b)Explainwhy"profit"maynotequalthedifferencebetweenOASandtherequired
　　interestspreadformoregeneralsecurities.
　　ThestudentrecommendsthatLifeCocouldbemoreprofitableandbetterdurationmatched
　　byreplacingthecurrentMBSwithintheTraditionalLifeportfoliowithZbonds.
　　Z-bonds,thestudentargues,haveahigherOAS,higherduration,andlower
　　convexitythanthecurrentMBS.
　　(c)Evaluatethisrecommendation.
　　COURSE8:Fall2005-3-GOTONEXTPAGE
　　Investment
　　MorningSession
　　Questions1-4pertaintotheCaseStudy
 
　　3.(13points)LifeCo’smanagementisconcernedbythelossesarisingfromthedynamic
　　hedgingoftheoptionsembeddedinitsvariableannuities.Anexternalreporthighlighted
　　thatthetargetdeltaiscurrentlybasedonalognormaldistributionwiththevolatilityequal
　　tothesamplestandarddeviationofthefundinvestmentreturnoverthepast12months.
　　(a)Describetheoptionsembeddedinthevariableannuityproduct.
　　(b)Describeandcomparethefollowingmodelsusedtoestimatethevolatilityfrom
　　pastdata
　　(i)samplestandarddeviation
　　(ii)exponentiallyweightedmovingaveragemodel
　　(iii)generalizedauto-regressiveconditionalheteroscedasticity
　　(c)Recommendwaystoimprovethedynamichedgingprogram.
　　(d)Describestrategiesthatcanbeusedtominimizethemodelrisk.
　　LifeCoisconsideringwhethertocontinueitscurrentdynamichedgingprogramorpursue
　　anotherriskmanagementstrategy.
　　(e)Reviewalternativestrategiesformanagingtheembeddedoptionexposure.
　　(f)Recommendwhichofthesestrategieswouldbemostappropriateifthedynamic
　　hedgingstrategyisdiscontinued.Justifyyourrecommendation.
　　COURSE8:Fall2005-4-GOTONEXTPAGE
　　Investment
　　MorningSession
　　Questions1-4pertaintotheCaseStudy
 
　　4.(10points)YouhaverecentlybeenpromotedtoChiefALMOfficeratLifeCo.The
　　CEOhascalledameetingwithyouandthepricingactuarytodiscussthelaunchofanew
　　universallifeproduct.
　　(a)(2points)TheCEO,anaccountantbytraining,emphasizestheimportanceof
　　statutoryandGAAPmeasurestodeterminetheeconomicvalueoftheinsurer.
　　Critiquethisstandpoint.
　　(b)(4points)ExplainhowtocoordinateLifeCo’sinvestmentandproduct
　　managementstrategiesforfutureretentionsforthisnewproducttoprotect
　　LifeCo’sshareholdervaluefrominterestraterisk.
　　(c)(1point)Thepricingactuaryexpectstoincreasefuturecreditedratesasinterest
　　ratesrise.ExplainhowLifeCo’sinvestmentstrategyshouldbeadjustedto
　　protectshareholdervaluefrominterestraterisk.
　　(d)(1point)LifeCo’skeycompetitorskeepcreditedratesunchangedregardlessof
　　changesininterestrates.Assesshowtheirapproachcouldaffectyourstrategyin
　　part(c).
　　(e)(2points)ProposeamethodforLifeCotoimplementthechangesinparts(c)and
　　(d)thatwouldminimizetransactioncosts.
　　COURSE8:Fall2005-5-GOTONEXTPAGE
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　　高顿网校之考试箴言：善良和谦虚是永远不应令人厌恶的两种品德。 —— 斯蒂文生