高顿网校小编寄语给北美精算师的童鞋们：没有平日的失败，就没有最终的成功，重要的是分析失败原因并吸取教训，SOA真题2004Course8ICNovember：北美精算师历年精要大纲（第2章），请收藏啦。
　　3. (12 points) ABC Life is selling a deferred variable annuity product that provides for a
　　return of premium death benefit. ABC is considering alternative death benefit designs.
　　(a) (3 points) List the sectors included in an environmental analysis and *uate the
　　sectors as they relate to variable annuity death benefits.
　　(b) (3 points) The marketing area would like to add an annual ratchet design.
　　(i) Compare the risk associated with the annual ratchet design to other possible
　　death benefit designs. Explain your answer.
　　(ii) Describe techniques to manage the risks associated with alternative death
　　benefit designs.
　　(c) (6 points) You are given:
　　Account Value on valuation date $980.00
　　Separate Account Value on the valuation date $980.00
　　Net asset charges 1%
　　Valuation rate 7%
　　Assumed year 1 drop in Account Value -14%
　　Assumed recovery rate 14%
　　Surrender charges None
　　Highest Anniversary Account Value $1,000.00
　　Average Account Value year 1 $1,009.40
　　Average Account Value year 2 $1,069.96
　　Account Value at time 1 $1,038.80
　　Account Value at time 2 $1,101.13
　　Mortality rate for year 1 0.017
　　Mortality rate for year 2 0.019
　　Survival rate from time 0 to end of year 1 0.983
　　Survival rate from time 0 to end of year 2 0.964
　　Calculate the statutory reserve for the annual ratchet death benefit at time 0, 1 and
　　2 using the methodology prescribed in the Valuation of Living and Death Benefit
　　Guarantees for Variable Annuities note. Show all work.
　　COURSE 8I: Fall 2004 -5- GO ON TO NEXT PAGE
　　Individual Insurance – Canada
　　Morning Session
　　4. (5 points)
　　(a) Describe the advantages and disadvantages of:
　　(i) YRT reinsurance, and
　　(ii) Coinsurance.
　　(b) You are given the following information for a level term life insurance product:
　　Total Face Amount $100,000,000
　　First Year Premium $1,000,000
　　Policy Fee None
　　Premium Tax 2%
　　First Year Commission 50% of first year premium
　　Other First Year Expenses $750,000
　　Solvency Reserve at Issue $50,000
　　Assume:
　　? Premium and reinsurance premium are paid annually at the beginning of
　　the year.
　　? Unearned portion of a one-year term insurance benefit equals 50% of the
　　YRT reinsurance premium.
　　? No federal income tax or required capital.
　　? Ceded percentage equals 90%.
　　? YRT reinsurance premium rate equals 0.20 per thousand of face amount.
　　? Coinsurance reinsurance allowance equals 90%.
　　Calculate the estimated first year strain at issue for:
　　(i) YRT reinsurance, and
　　(ii) Coinsurance.
　　Show all work.
　　COURSE 8I: Fall 2004 -6- GO ON TO NEXT PAGE
　　Individual Insurance – Canada
　　Morning Session
　　This question pertains to the Case Study
　　5. (6 points) You are Saturn Life’s product management actuary for the term life insurance
　　portfolio. Your responsibilities include:
　　? Monitoring term life new-business sales and in-force experience,
　　? Advising product development, investment and marketing departments of
　　current developments, and
　　? Reporting product profitability and capital requirements to senior
　　management.
　　(a) (1 point) Identify and describe the types of internal product management reports.
　　(b) (5 points) Explain how each would be used to manage Saturn’s term life
　　business.
　　COURSE 8I: Fall 2004 -7- GO ON TO NEXT PAGE
　　Individual Insurance – Canada
　　Morning Session
　　6. (12 points) XYZ Life is developing a dual-life status flexible premium joint and last
　　survivor universal life insurance product (Survivor UL).
　　(a) (3 points) For pricing the Survivor UL product:
　　(i) Describe approaches to reflect the dual-life status including the advantages
　　or disadvantages of each approach.
　　(ii) Explain other factors to be considered in developing a mortality
　　assumption unique to a last survivor product.
　　(b) (3 points) XYZ Life’s current single-life UL products have experienced
　　withdrawal rates of 7% in policy year 1, grading to 5% by policy year 5.
　　(i) Describe considerations in setting persistency assumptions for Survivor
　　UL.
　　(ii) Propose changes to the lapse rate assumption to reflect persistency in a
　　volatile interest rate environment.
　　(c) (6 points) The following steps outline a procedure to determine minimum UL
　　reserves for duration t.
　　Revise or add information to make each step consistent with the Canadian Asset
　　Liability Method.
　　Step Procedure
　　1 The amount of policy liabilities for a scenario equals the amount of
　　supporting assets which the actuary deems as a reasonable allocation. In
　　forecasting the cash flow, the actuary should take account all policyholder
　　expectations, and make provision for any adverse deviations that the
　　insurer may experience.
　　2 The policy liabilities in respect of a relevant policy comprise all of that
　　policy’s cash flow after the date of issue of a relevant policy. Policy
　　liabilities consist of claim liabilities including all benefit and expense cash
　　flows.
　　3 If applicable regulation requires policy liabilities to be valued without
　　taking account of the time value of money, then the actuary should report
　　a value for the policy liabilities in accordance with accepted actuarial
　　practice, and report this amount with reservation on account of the
　　regulation.
　　4 The actuary’s best estimate of mortality should include the effect of any
　　anti-selection. The low margin for adverse deviation is an addition of
　　3.75 to the mortality rate per 1000. The high margin for adverse deviation
　　is an addition of 10 to the mortality rate per 1000.
　　5 The margins for adverse deviation for withdrawals are an addition of
　　between 5% and 25% of the best estimate withdrawal rates.
　　COURSE 8I: Fall 2004 -8- STOP
　　Individual Insurance – Canada
　　Morning Session
　　再长的路，一步步也能走完，再短的路，不迈开双脚也无法到达。——高顿网校精品语录