Course8F北美精算师2004年11月的第4块内容，高顿网校希望亲们请认真学习，天天向上。
　　9. Continued
　　(c) (4 points) Describe ways to hedge the liabilities of the VA and the practical
　　considerations associated with each.
　　(d) (2 points) Explain the factors GAL should consider in deciding whether to hedge
　　its VA liabilities.
　　(e) (3 points) The Chief Actuary has called a meeting to discuss first year
　　performance of the VA product. You suspect she wants to discontinue future
　　sales.
　　Outline a response which:
　　? supports continued sales and
　　? addresses any product shortcomings.
　　Question 10 pertains to the Case Study.
　　10. (11 points) Frank Labrador, a long-time golfing buddy of Tomas Lyons and CEO of
　　Dog’s Life Insurance Company (Dog’s Life), has expressed interest in purchasing
　　Zoolander Life. Tomas has asked you, as the new CFO of Zoolander, to come up with an
　　actuarial appraisal value of Zoolander.
　　Dog’s Life is an active acquirer in the life insurance market. Their actuary has informed
　　you that their recent acquisitions have been priced using a 10% discount rate.
　　(a) (6 points) Identify the information that you have available for Zoolander that
　　should be considered in setting actuarial and economic assumptions for use in
　　determining an appraisal value.
　　(b) (5 points) You have calculated an appraisal value for Zoolander of 1,100.00,
　　assuming a continuation of current operations. Justify why Dog’s Life might
　　offer a price different than the appraisal value that you calculated.
　　COURSE 8: Fall 2004 - 12 - GO ON TO NEXT PAGE
　　Finance Segment
　　Afternoon Session
　　11. (4 points) Wayne is an *uator. When the stock prices of Coca-Cola, Dairy Queen and
　　Gap were depressed, he invested heavily in these companies. Other investors thought
　　Wayne had passed his investing prime – the internet was where money was to be made.
　　But Wayne would go to shopping malls and watch the spending habits of consumers. He
　　saw the average person consuming the products offered by Coca-Cola, Dairy Queen and
　　Gap, and realized that people would use these products through all economic cycles. So
　　he bought up the stocks with the strong conviction that in the long run these firms would
　　be profitable and their stock prices would rise.
　　(a) From the REMM perspective, describe how Wayne views individuals.
　　(b) Explain the theory behind a contrarian investment strategy, and contrast the
　　contrarian strategy with Wayne’s investment strategy.
　　(c) Describe each of the following behavioral concepts and determine whether each
　　applies to Wayne:
　　? Overconfidence
　　? Non-Bayesian Forecasting
　　? Fashion and Fads
　　Support your answers.
　　COURSE 8: Fall 2004 - 13 - GO ON TO NEXT PAGE
　　Finance Segment
　　Afternoon Session
　　12. (10 points) You are employed by a financial engineering firm. The specialty of this firm
　　is to exploit tax arbitrage opportunities in the marketplace for high net-worth individuals
　　and small firms in the United States.
　　You have been asked by the head of the firm to meet with a new client, Buffy von
　　Bismarck, who has questions about both personal and corporate taxes. Buffy earns
　　$200,000 a year in salary as the managing director of a small manufacturing company.
　　At your meeting Buffy describes the following two situations:
　　? “I am frustrated by paying personal taxes at a marginal tax rate of 36%. My
　　tennis instructor told me that I could arrange it so that my current income would
　　be maintained but my taxable income would be zero. He suggested I do the
　　following: borrow $2,500,000 at 8% interest and invest the borrowed funds in a
　　life insurance policy that allows interest-free policy loans and guarantees an 8%
　　return.”
　　? “I need to determine the correct weighting of stocks and bonds for
　　my company’s defined benefit pension plan. I know the tax code should
　　lead me to invest in bonds, but stocks return more over a long-term
　　holding period. Two friends told me my firm could secure the risk
　　premiums of stock without sacrificing the tax benefits of investing in
　　bonds.”
　　You learn that the pension plan has $100 million in assets to invest in stocks and bonds
　　under the following assumptions:
　　? The after-tax rate of return on stocks will be 10%
　　? The taxable rate of return on bonds will be 5%
　　? The marginal tax rate of the firm is 35%
　　(a) Demonstrate the arbitrage opportunity Buffy’s tennis instructor has suggested.
　　(b) Evaluate the effectiveness of the arbitrage opportunity in (a). Support your
　　answer.
　　(c) Demonstrate the arbitrage opportunity Buffy’s friends have recommended for her
　　pension plan.
　　(d) Evaluate the effectiveness of the arbitrage opportunity in (c). Support your
　　answer.
　　COURSE 8: Fall 2004 - 14 - GO ON TO NEXT PAGE
　　Finance Segment
　　Afternoon Session
　　高顿网校之生活感悟：时间伟大到我连我自己都能忘记，却忘记不了你。