真题大放送November2004Course8F（*9块）：北美精算师考试SOA乃是高顿网校美女团队的辛勤杰作。
　　6. (5 points) You are the Valuation Actuary of a major U.S. Life Insurance company, which
　　offers SPDAs and term life insurance.
　　(a) Describe the issues involved in applying CARVM to regular deferred annuities.
　　(b) Describe CARVM valuation considerations associated with the product
　　provisions often included in SPDAs.
　　(c) Explain how premium deficiency reserves can arise with respect to term life
　　insurance.
　　(d) Prior to Regulation XXX, explain how the Unitary method could be used to avoid
　　having to set up a deficiency reserve for term life insurance.
　　COURSE 8: Fall 2004 - 8 - STOP
　　Finance and Enterprise Risk Management; Core Segment
　　Morning Session
　　7. (4 points) An insurance company has an S&P 500 indexed liability due in one year. The
　　investment manager is willing to assume the risk of paying the S&P 500 indexed liability
　　up to a maximum increase of 10%.
　　(a) Describe a strategy using an option to limit the insurance company’s payment to a
　　maximum S&P 500 increase of 10%.
　　(b) Describe a strategy using an additional option to lessen the cost of the hedging
　　strategy in (a).
　　(c) Create separate graphs that show:
　　(i) The risk profile of the S&P 500 indexed liability
　　(ii) The payoff profile of the option in part (a)
　　(iii) The payoff profile of the additional option in part (b)
　　(iv) The resulting net total payoff pattern to the insurance company
　　Ignore option costs in the graphs. Label each graph.
　　**END OF EXAMINATION**
　　MORNING SESSION
　　COURSE 8: Fall 2004 - 9 - GO ON TO NEXT PAGE
　　Finance Segment
　　Afternoon Session
　　**BEGINNING OF EXAMINATION**
　　FINANCE SEGMENT
　　AFTERNOON SESSION
　　Beginning With Question 8
　　8. (5 points) You are the Chief Financial Officer for Salty Life. Salty Life’s core liability
　　products are GIC contracts. Salty Life is exploring a possible purchase of the GIC
　　business of Tugboat Life, and you have been asked to analyze the potential deal.
　　Tugboat Life’s December 31, 2003 GIC business has the following maturity schedule:
　　Liability Maturity Schedule Amount
　　12/31/2004 400 million
　　12/31/2005 600 million
　　12/31/2006 750 million
　　The GICs have no early redemption features so the maturity cashflows as shown are
　　fixed.
　　Salty Life’s business model utilizes the cost-of-capital approach for *uating business
　　opportunities. The current assumptions used in the model are:
　　? Risk-free rate is 4%.
　　? Corporate Tax Rate is 35%.
　　? Credit Risk Premium on Assets is 1.25%.
　　? Liquidity Risk Premium is 0.15%.
　　? Target Risk Based Capital is 5% of Assets backing both Liabilities and
　　Surplus.
　　? Target return on equity for GIC business is 12%.
　　? Flat term structure of interest rates.
　　? Expenses are zero.
　　(a) Describe the valuation methods which can be used to determine fair value of
　　liabilities, and indicate which would be appropriate for valuing Tugboat’s GIC
　　business.
　　(b) Using Salty Life’s valuation model, calculate a fair value for Tugboat Life’s GIC
　　block.
　　COURSE 8: Fall 2004 - 10 - GO ON TO NEXT PAGE
　　Finance Segment
　　Afternoon Session
　　9. (15 points) You are the Product Actuary for Get-a-Life (GAL), a life insurance company
　　domiciled in the United States. One year ago you created a variable annuity (VA)
　　product to replace the Equity Indexed Annuity (EIA) product that GAL was then selling.
　　The VA product has a fixed income option with a guaranteed minimum interest rate of
　　3% and an option to invest in a segregated account that is indexed to the S&P 500. The
　　VA liabilities have a guaranteed minimum death benefit equal to the initial deposit
　　accumulated at the guaranteed minimum interest rate.
　　The table below shows pricing assumptions and actual experience to date.
　　t
　　Time 0
　　Pricing Assumption
　　(St )
　　Time 1
　　Actual and Future Re-Estimates
　　( ) St
　　0 100 100
　　1 105 80
　　2 103 89
　　3 112 100
　　4 120 110
　　5 135 120
　　In addition, you have the following information.
　　Time 0 Assumption Time 1 Assumption
　　1 px 0.995 0.993
　　Annual Management Expense 1.5% 1.5%
　　Reserve Valuation Rate 4% 4%
　　Your sample pricing cell assumes an initial deposit of 1,000. No future deposits are
　　allowed and the product either annuitizes or is withdrawn at the end of five years. Death
　　is assumed to be the only decrement before the end of year five and is assumed to occur
　　at each year-end. Management expenses are withdrawn at year-end.
　　(a) (2 points) Describe how the risk management considerations for segregated fund
　　contracts differ from those for EIAs.
　　(b) (4 points) Calculate the reserve for your sample pricing cell at t = 1 under the
　　actual experience and compare it to the reserve from the original pricing
　　assumptions.
　　COURSE 8: Fall 2004 - 11 - GO ON TO NEXT PAGE
　　Finance Segment
　　Afternoon Session
　　高顿网校之名人话语：伟人所达到并保持着的高处，并不是一飞就到的，而是他们在同伴们都睡着的时候，一步步艰辛地向上攀爬的。