下面的北美地区精算师2004年11月真题CourseV（二），装入收藏夹哦。然后抓紧时间看其他往年的大纲。
　　4. (9 points) LifeCo wants to modify the design of its Equity Linked GIC product to reduce
　　the impact of a large decline in the stock market just before maturity. LifeCo believes
　　that these modifications should be done in such a way that the participation rate is as high
　　as possible and the profit margin remains the same.
　　The Company is also concerned about the cost of purchasing call options for the Equity
　　Linked GICs and is considering applying the dynamic hedging program it developed for
　　its Variable Annuities.
　　(a) Compare the options embedded in LifeCo’s Equity Linked GIC and Variable
　　Annuities.
　　(b) Recommend potential changes to the Equity Linked GIC product that would meet
　　LifeCo’s goals for the redesigned product.
　　(c) Describe the process used to *uate the cost and efficiency of dynamic hedging.
　　(d) Evaluate LifeCo’s Variable Annuity dynamic hedging program as an alternative
　　to purchasing call options for its Equity Linked GIC product.
　　(e) Contrast the hedging of Equity Linked GICs as a stand-alone product to that of an
　　investment option of a Variable Universal Life product.
　　COURSE 8: Fall 2004 -5- GO ON TO NEXT PAGE
　　Investment
　　Morning Session
　　5. (8 points) You are constructing a model that will be used for dynamically hedging the
　　guaranteed minimum death benefits (GMDB) on a variable annuity portfolio. The
　　following models have been proposed:
　　(i) Lognormal
　　(ii) Regime Switching
　　(iii) Time Series Model with GARCH Volatility
　　(iv) Empirical
　　(v) Wilkie
　　(vi) Stable Distribution
　　(a) (3 points) Evaluate each model for modeling equity returns.
　　(b) (5 points) Assess the suitability of each model for dynamic hedging and
　　recommend a model to be used for dynamically hedging the GMDB.
　　COURSE 8: Fall 2004 -6- GO ON TO NEXT PAGE
　　Investment
　　Morning Session
　　6. (7 points) ABC Life has issued a 2-year GIC that has no policyholder options and pays
　　interest at maturity.
　　Single Premium 100 million
　　Payout in 2 years 110 million
　　Initial Assets (MV) 100 million of 3-year zero coupon corporate bonds
　　Treasury zero-coupon rates
　　Term, Years
　　Year 1 2 3
　　0 3% 4% 5%
　　1 4% 4% 4%
　　2 3% 4% 5%
　　Bond Spread Curve
　　1 year 2 year Corporate bond 3 year
　　spreads 0.1% 0.3% 0.5%
　　Assume:
　　?  the bond spread curve does not change from issue
　　?  expenses are negligible
　　?  GIC issues occur at the beginning of the year
　　?  payouts occur at the end of the year
　　(a) Compute the Total Returns in year 1 for both assets and liabilities using the Total
　　Return Approach.
　　(b) Disaggregate the Total Returns into their components, e.g. C-risks.
　　(c) Outline the advantages of the Total Return Approach over the book-value
　　approach.
　　COURSE 8: Fall 2004 -7- GO ON TO NEXT PAGE
　　Investment
　　Morning Session
　　Daily return distribution
　　0 1 0 1 0 2 4 5
　　15
　　33
　　52
　　65
　　40
　　19
　　9
　　4 2 1 1 0 0
　　0
　　10
　　20
　　30
　　40
　　50
　　60
　　70
　　-5.00%
　　-4.50%
　　-4.00%
　　-3.50%
　　-3.00%
　　-2.50%
　　-2.00%
　　-1.50%
　　-1.00%
　　-0.50%
　　0.00%
　　0.50%
　　1.00%
　　1.50%
　　2.00%
　　2.50%
　　3.00%
　　3.50%
　　4.00%
　　4.50%
　　5.00%
　　Daily return
　　Number of days
　　人类力求超过野兽，力求理解与美化孤单的人们组成的这个残酷的、四分五裂的世界，这一愿望具有强大的力量，也只有这个力量在唤醒艺术与科学。——高顿网校生活感悟

 

 
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