欢迎您驾临高顿网校，高顿网校小编为您精心编制的北美当地精算师考试——04年11月份SOA真题精选Course8IC（四）。
　　11. (9 points) A financial review of the term portfolio reveals a lower level of profitability
　　from the 5-year level term product than originally projected. You have been asked to
　　re-price the 5-year level term product for your brokerage and direct response distribution
　　channels.
　　(a) Compare the effect each of these distribution channels has on the following
　　assumptions.
　　(i) Mortality
　　(ii) Lapse
　　(iii) Interest
　　(iv) Expense
　　(b) Describe elements of compensation used for brokerage distribution.
　　(c) The term portfolio has experienced lower policy persistency than expected.
　　(i) Describe the factors that affect persistency.
　　(ii) Recommend steps to improve persistency for the product.
　　COURSE 8I: Fall 2004 -13- GO ON TO NEXT PAGE
　　Individual Insurance – Canada
　　Afternoon Session
　　12. (6 points) XYZ Life has been experiencing poor sales and a lower than expected return
　　on equity (ROE) on their Fixed Premium Individual Universal Life (UL) product. The
　　following table summarizes the assets in XYZ’s portfolio:
　　Asset Amount
　　Cash $10,000
　　AAA Rated Bonds $0
　　AA Rated Bonds $0
　　A Rated Bonds $1,000,000
　　BB Rated Bonds $5,000,000
　　Common Stock $10,000,000
　　Real Estate $1,000,000
　　Commercial Mortgages $5,000,000
　　Impaired Investments $0
　　Assume:
　　? Current MCCSR ratio is 150%.
　　? XYZ Life guarantees a 4% credited rate.
　　? Over the past four years, the market has shown a significant reduction to both
　　short and long term interest rates.
　　? Long term yields on government bonds are now less than 5% and are expected
　　to remain level.
　　(a) (5 points) XYZ Life is reviewing the surplus position relative to the MCCSR
　　guidelines for Canadian life insurance companies.
　　(i) Define each of the risk components that are applicable to XYZ Life’s UL
　　product according to the MCCSR guidelines.
　　(ii) Propose changes to the asset portfolio and product design to reduce the
　　required surplus of XYZ Life.
　　(iii) Explain how your proposed changes impact the ROE of XYZ Life.
　　(b) (1 point) Describe the impact the decline in interest rates has had on the
　　prescribed interest rate scenarios used by the Appointed Actuary in setting the
　　interest rate assumption.
　　COURSE 8I: Fall 2004 -14- GO ON TO NEXT PAGE
　　Individual Insurance – Canada
　　Afternoon Session
　　Questions 13 and 14 pertain to the Case Study.
　　13. (8 points) The valuation actuary at Saturn Life is concerned about the mortality
　　experience of the term portfolio.
　　(a) Assess the effect of Saturn’s conversion, re-underwriting and termination options
　　on the renewal ART mortality assumption.
　　(b) You are given the following additional information for Saturn’s 5-year level term
　　plan:
　　? Mortality is 90% of the 1975-80 Ultimate Table in the absence of selective
　　lapsation
　　? qx+5, t?5 equals 80% of qx, t
　　? Duration five lapse rate is 20%
　　? 75% of duration five lapses are assumed to be selective
　　Calculate the duration five mortality rate for a female age 40 using the
　　conservation of deaths principle. Show all work.
　　(c) Saturn’s current term valuation mortality assumption is as follows:
　　? Best estimate equals 95% of expected mortality
　　? There are no adjustments for anti-selection at renewal
　　? Margin for adverse deviation equals 3.75 / ex
　　Assess the appropriateness of these assumptions and recommend any changes.
　　COURSE 8I: Fall 2004 -15- GO ON TO NEXT PAGE
　　Individual Insurance – Canada
　　Afternoon Session
　　Questions 13 and 14 pertain to the Case Study.
　　14. (6 points) You have been hired by Mercury Life to *uate their primary markets.
　　(a) (1 point) Describe the criteria involved in *uating potential target markets.
　　(b) (5 points) Evaluate the suitability of each of Mercury Life’s primary markets as
　　target markets.
　　15. (5 points) XYZ Life plans to enter the term insurance market.
　　(a) Describe the five elements that should be included in the comprehensive business
　　analysis, as presented in the LOMA text, to decide whether to enter the term
　　insurance market.
　　(b) Explain why XYZ Life would use reinsurance to manage the financial position of
　　its term portfolio.
　　COURSE 8I: Fall 2004 -16- STOP
　　Individual Insurance – Canada
　　Afternoon Session
　　16. (8 points) You are given the following annuity payments:
　　Payment Date Payment at Payment Date
　　January 1, 2006 $50,000
　　July 1, 2006 $60,000
　　January 1, 2007 $55,000
　　July 1, 2007 $70,000
　　January 1, 2008 $60,000
　　July 1, 2008 $80,000
　　(a) Describe the Modified Duration method of duration matching including any
　　problems associated with it.
　　(b) Calculate the Modified Duration of the annuity payments as of July 1, 2005,
　　based on an interest rate of 4%. Show all work.
　　(c) Describe the Exact Matching method of duration matching including any
　　problems associated with it.
　　(d) Non-callable bonds have been purchased to exactly match the annuity payments
　　as of July 1, 2005 using the Exact Matching Method.
　　Information about the bonds is shown in the following table:
　　Years to Maturity Annual Coupon Rate
　　1.5 4.0%
　　2.0 4.5%
　　2.5 5.0%
　　3.0 5.5%
　　Bonds have a par value of $100.
　　Coupons are paid semi-annually.
　　Determine the number of bonds with a maturity of 2 years that were purchased.
　　Show all work.
　　(e) Describe the Horizon Matching method and its appropriateness for the annuity
　　payments.
　　天才是百分之一的灵感加百分之九十九的汗水。——高顿网校极品语录