高顿网校小编们每个工作日都高效率更新*7的大纲SOA北美地区的精算师历来考试真题Course8E（2005年Part2）。
　　4. (8 points) You are the Chief Actuary of Global Insurance, a public company selling only
　　Universal Life, with divisions located in the U.S., Canada and Australia. Your actuaries
　　have discovered pricing inadequacies on the in-force products. Global’s CFO is very
　　interested in the volatility of the company’s results due to both the foreign exchange
　　markets and the pricing issues.
　　(a) Describe the income-based reserve methodology that Global must follow in each
　　jurisdiction in which it is conducting business. Include in your description the
　　accounting implications of the pricing inadequacies and their impact on the
　　current year’s country-specific income statements.
　　(b) Outline a report for the CFO that includes the following:
　　i. The foreign exchange risks that Global has assumed.
　　ii. Reasons why Global might consider hedging those risks.
　　iii. Hedging strategies and instruments that may be used for currency
　　hedging.
　　COURSE 8: Fall 2005 - 5 - GO TO NEXT PAGE
　　Finance and Enterprise Risk Management; Core Segment
　　Morning Session
　　5. (5 points) You have been hired by Salmon Inc. to provide investment strategy advice for
　　Salmon’s Defined Benefit Plan.
　　Salmon’s management is concerned about the accuracy of the plan surplus calculation in
　　light of volatility of the surplus over the past two years.
　　You have been provided the following plan information:
　　Plan Assets $240 million
　　Plan Liabilities $250 million
　　The plan’s current investment strategy, valuation and reporting are:
　　? Required rate of return on assets is 7%. Given this constraint, minimize asset
　　volatility.
　　? Liability risk is determined using Monte Carlo testing.
　　? Discount rate for liabilities tied to expected return on assets
　　? The annual report to Management provides a best estimate, 20-year funding level
　　forecast, measured on a GAAP basis.
　　(a) Describe weaknesses in the current strategy, valuation and reporting.
　　Recommend improvements to better manage market-related risks of the pension
　　plan.
　　(b) Outline methods to control pension plan risks that are not market related.
　　COURSE 8: Fall 2005 - 6 - GO TO NEXT PAGE
　　Finance and Enterprise Risk Management; Core Segment
　　Morning Session
　　6. (8 points) Moby Life is considering selling an in-force block of term insurance. You are
　　the appointed actuary of the company and have been asked by the CEO to estimate the
　　fair value of the block as of December 31, 2005.
　　Future gross cash flows have been projected as follows:
　　2006 2007 2008
　　Premiums 500 490 486
　　Expenses & Commissions 75 74 73
　　Death Claims 64 66 66
　　Assume there are no further cash flows beyond 2008.
　　Moby Life reinsures 50% of the business under a coinsurance treaty and receives 10% of
　　ceded premium as a reinsurance allowance.
　　You have been provided with the following information:
　　Risk-free rate: 4%
　　Rate of return on assets: 8%
　　Cost of capital: 15%
　　Benchmark equity to liability ratio: 10%
　　Effective tax rate: 35%
　　(a) (2 points) Describe the difference between a fair value methodology and U.S.
　　GAAP for valuation of policy liabilities.
　　(b) (4 points) Use a cost-of-capital approach to determine the fair value of the policy
　　liabilities for the term block of business as of December 31, 2005. Assume all
　　cash flows occur at mid-year. Show your work.
　　(c) (2 points) The CEO would like to know how much this block of business is worth
　　if it is kept with Moby Life rather than being sold. Suggest an alternate measure
　　for valuing the business if it is retained by Moby Life. Describe the differences
　　between this measure and the fair value methodology in (b).
　　COURSE 8: Fall 2004 - 7 - STOP
　　Finance and Enterprise Risk Management; Core Segment
　　Morning Session
　　7. (4 points) Allegro Annuity is an insurance company domiciled in the U.S. that issues a
　　full range of fixed annuity products. Starting this year, Allegro is required to comply
　　with the cash flow testing C-3a risk-based capital requirement. The company has hired
　　you to help them understand the impact of this requirement.
　　(a) Compare the C-3a cash flow testing requirement with the factor-based C-3a
　　requirement.
　　(b) Allegro currently holds statutory reserves that are calculated using the CARVM
　　methodology and meet minimum regulatory standards.
　　Explain why Allegro may still be required to hold additional capital under the C-
　　3a cash flow testing requirements.
　　**END OF EXAMINATION**
　　MORNING SESSION
　　COURSE 8: Fall 2005 - 8 - GO ON TO NEXT PAGE
　　Enterprise Risk Management Segment
　　Afternoon Session
　　**BEGINNING OF EXAMINATION**
　　ENTERPRISE RISK MANAGEMENT SEGMENT
　　AFTERNOON SESSION
　　Beginning With Question 8
　　高顿网校之名人话语：涓滴之水终可磨损大石，不是由于它力量大，而是由于昼夜不舍的滴坠。只有勤奋不懈的努力才能够获得那些技巧，因此，我们可以确切地说：说：不积跬步，无以致千里。