下面的北美2014年份精算师——SOA真题November2004CourseV（第二部分），请尽量拿走装入脑中哦。然后抓紧时间看其他章节。
　　COURSE 8: Fall 2004 -4- GO ON TO NEXT PAGE
　　Investment
　　Morning Session
　　Questions 1-4 pertain to the Case Study
 
　　4. (9 points) LifeCo wants to modify the design of its Equity Linked GIC product to reduce
　　the impact of a large decline in the stock market just before maturity. LifeCo believes
　　that these modifications should be done in such a way that the participation rate is as high
　　as possible and the profit margin remains the same.
　　The Company is also concerned about the cost of purchasing call options for the Equity
　　Linked GICs and is considering applying the dynamic hedging program it developed for
　　its Variable Annuities.
　　(a) Compare the options embedded in LifeCo’s Equity Linked GIC and Variable
　　Annuities.
　　(b) Recommend potential changes
　　to the Equity Linked GIC product that would meet
　　LifeCo’s goals for the redesigned product.
　　(c) Describe the process used to *uate the cost and efficiency of dynamic hedging.
　　(d) Evaluate LifeCo’s Variable Annuity dynamic hedging program as an alternative
　　to purchasing call options for its Equity Linked GIC product.
　　(e) Contrast the hedging of Equity Linked GICs as a stand-alone product to that of an
　　investment option of a Variable Universal Life product.
　　COURSE 8: Fall 2004 -5- GO ON TO NEXT PAGE
　　Investment
　　Morning Session
 
　　5. (8 points) You are constructing a model that will be used for dynamically hedging the
　　guaranteed minimum death benefits (GMDB) on a variable annuity portfolio. The
　　following models have been proposed:
　　(i) Lognormal
　　(ii) Regime Switching
　　(iii) Time Series Model with GARCH Volatility
　　(iv) Empirical
　　(v) Wilkie
　　(vi) Stable Distribution
　　(a) (3 points) Evaluate each model for modeling equity returns.
　　(b) (5 points) Assess the suitability of each model for dynamic hedging and
　　recommend a model to be used for dynamically hedging the GMDB.
　　高顿网校之谚语相赠：“母亲那种献身精神、那种专注，灌输给一个男孩的是伟大的 自尊，那些从小拥有这种自尊的人将永远不会放弃，而是发展成 自信的成年人。你有这种信心，如果再勤奋就可以成功。”