高顿网校报考的学员们，大家别松懈的去参加精算师考试哦，时间还是有的，拿下明年年初的精算师考试资格证吧！
　　COURSE 8: Fall 2005 - 1 - GO TO NEXT PAGE
　　Investment
　　Morning Session
　　**BEGINNING OF EXAMINATION**
　　INVESTMENT
　　MORNING SESSION
　　Questions 1-4 pertain to the Case Study
　　1. (6 points)
　　(a) Assess the consistency of the definition of a derivative in LifeCo’s operational
　　guidelines with the definition under US GAAP.
　　(b) Describe how LifeCo’s Derivative Policy addresses operational and legal risks.
　　(c) Recommend additional controls to better address these risks.
　　COURSE 8: Fall 2005 - 2 - GO TO NEXT PAGE
　　Investment
　　Morning Session
　　Questions 1-4 pertain to the Case Study
　　2. (5 points) A new actuarial student at LifeCo is very excited about the "profit" your
　　portfolio is generating with MBS. He views "profit" on an MBS bond as the difference
　　between OAS and the liability required interest spread over Treasuries.
　　(a) Explain why "profit" may not equal the difference between OAS and the required
　　interest spread with a Jump Z-bond.
　　(b) Explain why "profit" may not equal the difference between OAS and the required
　　interest spread for more general securities.
　　The student recommends that LifeCo could be more profitable and better durationmatched
　　by replacing the current MBS within the Traditional Life portfolio with Zbonds.
　　Z-bonds, the student argues, have a higher OAS, higher duration, and lower
　　convexity than the current MBS.
　　(c) Evaluate this recommendation.
　　COURSE 8: Fall 2005 - 3 - GO TO NEXT PAGE
　　Investment
　　Morning Session
　　Questions 1-4 pertain to the Case Study
　　3. (13 points) LifeCo’s management is concerned by the losses arising from the dynamic
　　hedging of the options embedded in its variable annuities. An external report highlighted
　　that the target delta is currently based on a lognormal distribution with the volatility equal
　　to the sample standard deviation of the fund investment return over the past 12 months.
　　(a) Describe the options embedded in the variable annuity product.
　　(b) Describe and compare the following models used to estimate the volatility from
　　past data
　　(i) sample standard deviation
　　(ii) exponentially weighted moving average model
　　(iii) generalized auto-regressive conditional heteroscedasticity
　　(c) Recommend ways to improve the dynamic hedging program.
　　(d) Describe strategies that can be used to minimize the model risk.
　　LifeCo is considering whether to continue its current dynamic hedging program or pursue
　　another risk management strategy.
　　(e) Review alternative strategies for managing the embedded option exposure.
　　(f) Recommend which of these strategies would be most appropriate if the dynamic
　　hedging strategy is discontinued. Justify your recommendation.
　　COURSE 8: Fall 2005 - 4 - GO TO NEXT PAGE
　　Investment
　　Morning Session
　　Questions 1-4 pertain to the Case Study
　　4. (10 points) You have recently been promoted to Chief ALM Officer at LifeCo. The
　　CEO has called a meeting with you and the pricing actuary to discuss the launch of a new
　　universal life product.
　　(a) (2 points) The CEO, an accountant by training, emphasizes the importance of
　　statutory and GAAP measures to determine the economic value of the insurer.
　　Critique this standpoint.
　　(b) (4 points) Explain how to coordinate LifeCo’s investment and product
　　management strategies for future retentions for this new product to protect
　　LifeCo’s shareholder value from interest rate risk.
　　(c) (1 point) The pricing actuary expects to increase future credited rates as interest
　　rates rise. Explain how LifeCo’s investment strategy should be adjusted to
　　protect shareholder value from interest rate risk.
　　(d) (1 point) LifeCo’s key competitors keep credited rates unchanged regardless of
　　changes in interest rates. Assess how their approach could affect your strategy in
　　part (c).
　　(e) (2 points) Propose a method for LifeCo to implement the changes in parts (c) and
　　(d) that would minimize transaction costs.
　　COURSE 8: Fall 2005 - 5 - GO TO NEXT PAGE
　　Investment
　　Morning Session
　　5. (7 points) The table below has the 10 largest capital requirements at issue from 100
　　scenarios for a variable annuity with a GMDB of a return of premium. Requirements are
　　given for the real world and risk-neutral approaches. A negative value indicates a
　　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%
　　Based on this data, the CEO suggests allocating capital based on the real world approach
　　at a quantile of 91% but if the market performs poorly to switch to the risk-neutral
　　approach with a CTE at 95%.
　　(a) Define the quantile risk measure.
　　(b) Calculate the 91% and 95% quantile measures for each approach.
　　(c) De
　　高顿网校之名人心得：每一个人都具有特殊能力的电路，但大多数人因为不知道，所以无法充分利用，就好像怀重宝而不知其在；只要能发掘出这项秘藏的能力，人类的能力将会完全大改观，也能展现出超乎常人的能力。——超右脑革命作者、日本科学会顾问 七田真