下面是SOA精算师考试2014——真题精选November2004Course8I（二），请大家记熟各章节要点和难点与分数布局。
　　3. (12 points) ABC Life is selling a deferred variable annuity product that provides for a
　　return of premium death benefit. ABC is considering alternative death benefit designs.
　　(a) (3 points) List the sectors included in an environmental analysis and *uate the
　　sectors as they relate to variable annuity death benefits.
　　(b) (3 points) The marketing area would like to add an annual ratchet design.
　　(i) Compare the risk associated with the annual ratchet design to other possible
　　death benefit designs. Explain your answer.
　　(ii) Describe techniques to manage the risks associated with alternative death
　　benefit designs.
　　(c) (6 points) You are given:
　　Account Value on valuation date $980.00
　　Separate Account Value on the valuation date $980.00
　　Net asset charges 1%
　　Valuation rate 7%
　　Assumed year 1 drop in Account Values -14%
　　Assumed recovery rate 14%
　　Surrender charges None
　　Highest Anniversary Account Value $1,000.00
　　Average Account Value year 1 $1,009.40
　　Average Account Value year 2 $1,069.96
　　Account Value at time 1 $1,038.80
　　Account Value at time 2 $1,101.13
　　Mortality rate for year 1 0.017
　　Mortality rate for year 2 0.019
　　Survival rate from time 0 to end of year 1 0.983
　　Survival rate from time 0 to end of year 2 0.964
　　Calculate the statutory reserve for the annual ratchet death benefit at time 0, 1 and
　　2 using the methodology prescribed in the Valuation of Living and Death Benefit
　　Guarantees for Variable Annuities note. Show all work.
　　COURSE 8I: Fall 2004 -4- GO ON TO NEXT PAGE
　　Individual Insurance – U.S.
　　Morning Session
 
　　4. (5 points)
　　(a) Describe the advantages and disadvantages of:
　　(i) YRT reinsurance, and
　　(ii) Coinsurance.
　　(b) You are given the following information for a level term life insurance product:
　　Total Face Amount $100,000,000
　　First Year Premium $1,000,000
　　Policy Fee None
　　Premium Tax 2%
　　First Year Commission 50% of first year premium
　　Other First Year Expenses $750,000
　　Solvency Reserve at Issue $50,000
　　Assume:
　　? Premium and reinsurance premium are paid annually at the beginning of
　　the year.
　　? Unearned portion of a one-year term insurance benefit equals 50% of the
　　YRT reinsurance premium.
　　? No federal income tax or required capital.
　　? Ceded percentage equals 90%.
　　? YRT reinsurance premium rate equals 0.20 per thousand of face amount.
　　? Coinsurance reinsurance allowance equals 90%.
　　Calculate the estimated first year strain at issue for
　　(i) YRT reinsurance, and
　　(ii) Coinsurance.
　　Show all work.
　　COURSE 8I: Fall 2004 -5- GO ON TO NEXT PAGE
　　Individual Insurance – U.S.
　　Morning Session
　　This question pertains to the Case Study
 
　　5. (6 points) You are Saturn Life’s product management actuary for the term life insurance
　　portfolio. Your responsibilities include:
　　? Monitoring term life new-business sales and in-force experience,
　　? Advising product development, investment and marketing departments of
　　current developments, and
　　? Reporting product profitability and capital requirements to senior
　　management.
　　(a) (1 point) Identify and describe the types of internal product management reports.
　　(b) (5 points) Explain how each would be used to manage Saturn’s term life
　　business.
　　COURSE 8I: Fall 2004 -6- GO ON TO NEXT PAGE
　　Individual Insurance – U.S.
　　Morning Session
 
　　6. (12 points) XYZ Life is developing a dual-life status flexible premium joint and last
　　survivor universal life insurance product (Survivor UL).
　　(a) (3 points) For pricing the Survivor UL product:
　　(i) Describe approaches to reflect the dual-life status including the advantages
　　or disadvantages of each approach.
　　(ii) Explain other factors to be considered in developing a mortality
　　assumption unique to a last survivor product.
　　(b) (3 points) XYZ Life’s current single-life UL products have experienced
　　withdrawal rates of 7% in policy year 1, grading to 5% by policy year 5.
　　(i) Describe considerations in setting persistency assumptions for Survivor
　　UL.
　　(ii) Propose changes to the lapse rate assumption to reflect persistency in a
　　volatile interest rate environment.
　　(c) (6 points) The following steps outline a procedure to determine minimum UL
　　reserves for duration t.
　　Revise or add information to make each step compliant with the NAIC UL Model
　　Regulation.
　　Step Procedure
　　1 Calculate a Guaranteed Maturity Premium (GMP) as the level premium
　　that provides an endowment at the latest maturity date under the contract,
　　calculated from the valuation date using valuation assumptions.
　　2 Calculate a set of Guaranteed Maturity Funds (GMF’s) as of the valuation
　　date using valuation basis assumptions, and assuming that gross premiums
　　are paid.
　　3 Produce a set of “guaranteed death benefits” and a “guaranteed maturity
　　benefit” by projecting forward from the valuation date t, using valuation
　　assumptions, tions, the GMFt and assuming gross premiums are paid. Calculate
　　the present value of these future benefits at time t ( ) PVFBt using
　　valuation assumptions.
　　高顿网校之名人心得：青年时代太放纵就会失去心灵的滋润，太节制就会变成死脑筋。 —— 圣堤布福