可爱可敬的高顿网校北美精算师的赴考者们，大家请别怕学习中遇到的种种困难，力争一次性拿下10月底的合格证哦！北美精算师资料——历年SOA真题November2004Course8RU（1），请一定珍惜好。
　　COURSE 8: Fall 2004 - 1 - GO TO NEXT PAGE
　　Retirement Benefits,
　　Comprehensive Segment – U.S.
　　Morning Session
　　**BEGINNING OF EXAMINATION 8**
　　COMPREHENSIVE SEGMENT – U.S.
　　MORNING SESSION
 
　　1. (9 points) A pension committee member at your U.S. based client believes that the
　　interest rate for the defined benefit plan valuations is too low. He supports his view by
　　stating that a higher interest rate would lower the cost of the plan. A second committee
　　member argued against raising the assumption.
　　The chairman of the pension committee has asked you to lead a discussion at the next
　　pension committee meeting regarding the interest rate assumptions for funding purposes
　　and for accounting purposes, and their effect on the interested parties.
　　Outline your discussion.
　　COURSE 8: Fall 2004 - 2 - GO TO NEXT PAGE
　　Retirement Benefits,
　　Comprehensive Segment – U.S.
　　Morning Session
　　Questions 2 – 6 pertain to the Case Study
 
　　2. (12 points) The CFO of NOC has decided to take a more active role in managing NOC’s
　　pension plan assets. In reviewing the performance of the National Oil Full-Time Hourly
　　Union Pension Plan, he is disturbed by the recent absolute performance. He proposes
　　that the assets should be moved to 100% domestic fixed income because that asset class
　　has outperformed the other asset classes in 2 of the last 3 years.
　　You are given:
　　Calendar Year Rf Rm β
　　2003 4% 21% 0.9
　　2002 5% -5% 0.85
　　2001 4% 1% 0.8
　　Additional Information for 2003
　　Target Portfolio Mix
　　for 2003 Benchmark Return in
　　2003
　　Domestic Large Cap
　　Equities
　　35% 30%
　　Domestic Small Cap
　　Equities
　　25% 47%
　　Domestic Fixed Income 25% 4%
　　International Equities 10% 39%
　　Real Estate 5% 9%
　　Cash 0% 1%
　　(a) Describe the features in a Statement of Investment Policies and Procedures that
　　could help the CFO in his *uation of the Plan’s performance.
　　(b) Calculate the 2001, 2002 & 2003 Risk Adjusted Rate of Return for the fund.
　　(c) Calculate the 2001, 2002 & 2003 Treynor Measure for the fund.
　　(d) Evaluate the investment performance of the fund during 2003.
　　(e) Critique the CFO’s proposal.
　　COURSE 8: Fall 2004 - 3 - GO TO NEXT PAGE
　　Retirement Benefits,
　　Comprehensive Segment – U.S.
　　Morning Session
　　Questions 2 – 6 pertain to the Case Study
 
　　3. (8 points) The government of Vosne is concerned that workers are harmed by switching
　　companies periodically throughout their careers. The government has asked for your
　　assistance in understanding this issue.
　　(a) Describe the implications of switching employers on workers’ retirement benefits.
　　(b) Suggest policies that could be adopted by the government of Vosne to improve
　　the portability of private retirement benefits.
　　(c) Describe how these policies address the issues identified in (a).
　　(d) Describe the impact of these policies on NOC.
 
　　4. (10 points) Auditors in Vosne have criticized its current pension accounting standards as
　　being misleading to readers of financial statements and contrary to the teachings of
　　financial economics.
　　The Department of Accounting Standards is considering changes to the current
　　accounting rules to achieve the following goals:
　　? Increased transparency;
　　? Improved consistency with how financial economics measures “risk”; and
　　? More practical and usable information for financial statement readers.
　　(a) Critique the current accounting rules in light of the Department’s goals.
　　(b) Recommend changes to the accounting rules to meet the Department’s goals.
　　COURSE 8: Fall 2004 - 4 - GO TO NEXT PAGE
　　Retirement Benefits,
　　Comprehensive Segment – U.S.
　　Morning Session
　　Questions 2 – 6 pertain to the Case Study
 
　　5. (9 points) In order to attract and retain employees in senior positions, NOC wants to
　　introduce terminal funding by providing the options of an insured annuity or a
　　lump sum
　　benefit for the National Oil Full-Time Salaried Supplemental Retirement Plan (SRP).
　　The lump sum will be equivalent to the net present value of the after-tax annual SRP
　　benefit. The after-tax payment from the insured annuity will be equal to the after-tax
　　annual SRP benefit. NOC will reimburse the member for any immediate taxes payable
　　under both options.世纪考试网版权所有
　　You are given:
　　? Pat, a senior executive of NOC, will retire with an annual pension under the SRP
　　of $100,000.
　　? The before-tax discount rate used by NOC to calculate lump sum benefits is 10%.
　　? Lump sum annuity factors at Pat’s retirement date are:
　　At a discount rate of 10%: 9.5
　　At a discount rate of 6%: 13.5
　　? The cost of buying Pat’s annuity at retirement is $10 for every $1 of annual
　　benefit purchased.
　　Vosne’s tax rules for single premium annuity contracts are:
　　? The employer obtains a deduction for any premiums it pays;
　　? The executive is immediately taxed on the full purchase price of the annuity;
　　? A proportionate part of each annuity payment would be deemed a tax-free return
　　of the premium (“exclusion ratio”) and the balance is taxable at the individual tax
　　rate. For this purpose, a life expectancy of 20 years is used.
　　(a) Describe the issues that NOC must address in adopting a terminal funding
　　approach.
　　(b) Calculate the cost differential between the two terminal funding options.
　　Show your work.
　　COURSE 8: Fall 2004 - 5 - STOP
　　Retirement Benefits,
　　Comprehensive Segment – U.S.
　　Morning Session
　　Questions 2 – 6 pertain to the Case Study
　　高顿网校之名人话语：母爱是女人心中是简单、自然、丰硕、永不衰竭的东西，就像是生命的一大要素。——巴尔扎克