高顿网校的小编在这里给奋斗在北美精算师考场上的你作揖啦。真题系列Course8V（二）：北美精算师考试SOA，请多看看背背，了解。
　　5.(7points)Thetablebelowhasthe10largestcapitalrequirementsatissuefrom100
　　scenariosforavariableannuitywithaGMDBofareturnofpremium.Requirementsare
　　givenfortherealworldandrisk-neutralapproaches.Anegativ*ueindicatesa
　　surplus.
　　Approach
　　Real
　　World-0.35%-0.30%-0.25%-0.10%-0.10%-0.10%-0.10%0.40%1.10%2.70%
　　Risk-
　　Neutral-0.30%-0.28%-0.26%-0.24%-0.21%-0.17%-0.10%0.00%0.20%0.40%
　　Basedonthisdata,theCEOsuggestsallocatingcapitalbasedontherealworldapproach
　　ataquantileof91%butifthemarketperformspoorlytoswitchtotherisk-neutral
　　approachwithaCTEat95%.
　　(a)Definethequantileriskmeasure.
　　(b)Calculatethe91%and95%quantilemeasuresforeachapproach.
　　(c)DefinetheCTEriskmeasure.
　　(d)Calculatethe91%and95%CTEmeasuresforeachapproach.
　　(e)Calculatethestandarderrorfora64%confidenceintervalforthe95%quantile
　　riskmeasureundertheactuarialapproach.
　　(f)AppraisetheCEO’ssuggestedmixstrategy
　　COURSE8:Fall2005-6-GOTONEXTPAGE
　　Investment
　　MorningSession
 
　　6.(4points)YouhavebeengiventhefollowingassumptionsforoneofAnnuityCo’sfixedincome
　　assetportfolios:
　　Obligor(A)LossGiven
　　Default
　　(LGDA)
　　ExpectedLoss
　　OvertheNextYear
　　(ELA)
　　1165,000660
　　2235,000940
　　3700,0001,050
　　4900,0001,800
　　Total2,000,000-
　　UnitofexposureforbandingL=100,000
　　One-yearrisk-freerater=3%
　　(a)UsingtheActuarialApproach(CreditRisk+)tomeasuringcreditrisk,calculate
　　theprobabilitythatthelossoccurringoverthenextyearis300,000orless.
　　(b)AcolleaguehassuggestedthattheCreditRisk+approachavoidsthelimitationsof
　　theCreditMetricsandKMVapproaches.Evaluatethiscomment.
　　COURSE8:Fall2005-7-GOTONEXTPAGE
　　Investment
　　MorningSession
 
　　7.(4points)Youareonassignmentwiththeportfoliomanagementteamthathasbeen
　　investinginequitiesprimarilyintheUSA.Theteamisinterestedinimplementingan
　　expandedinternationalequitystrategy.
　　Identifytheissuesyoushouldconsiderpriortoinvestingincountriesormarketswith
　　whichyouarenotfamiliar.
　　COURSE8:Fall2005-8-GOTONEXTPAGE
　　Investment
　　MorningSession
 
　　8.(6points)Youaregiventhefollowingsecuritiesfora1-yearperiod:
　　SecurityPricePayoffin
　　“Up”State
　　Payoffin
　　“Down”State
　　A11.50.7
　　B15/1121
　　C?1.80.85
　　CalculatethepriceofSecurityC.
　　COURSE8:Fall2005-9-STOP
　　Investment
　　MorningSession
 
　　9.(5points)CMPLife’smarketinggroupisintroducinganewproductthatallowsthe
　　policyholdertoallocatepremiumsbetweenanaccumulationfundandapayoutannuity.
　　Premiuminflow$20millionpermonth
　　Accumulationfund35%investmentgradeconvertiblebonds
　　65%investmentgradecorporatebonds
　　Payoutannuity20yearcertain,levelpayments
　　(a)Listtheassumptionsyouwouldneedfromthepricingactuariestohelpyou
　　constructinvestmentguidelinesfortheinvestmentmanagers.
　　(b)Describetheinformationyouwillprovidetotheinvestmentmanagersonanongoing
　　basis.
　　(c)Explainwhetherabenchmarkoftheuniverseofallconvertiblesecurities
　　(includingbothinvestmentandnon-investmentgrade)wouldbeappropriatefor
　　theaccumulationportionoftheportfolio.
　　(d)Describetheconsiderationsyouwouldhavetomakewheninstructingtheasset
　　managersifCMPLifestopssellingthisproductafter10yearsandthereareno
　　additionalpremiums.
　　**ENDOFEXAMINATION**
　　MORNINGSESSION
　　COURSE8:Fall2005-1-GOTONEXTPAGE
　　Investment
　　AfternoonSession
　　**BEGINNINGOFEXAMINATION**
　　INVESTMENT
　　AFTERNOONSESSION
　　BeginningWithQuestion10
　　高顿网校之考试励志：把友谊限于两人范围之内的人，似乎把明智的友谊的安全感与爱的妒嫉和蠢举相混淆。 —— 亚当·斯密