高顿网校小编寄语：重要的是分析失败原因并吸取教训，没有平日的失败，就没有最终的成功。SOA北美精算师2004年11月真题Course8RU（第1节课），历年大纲依然是最重要的！
　　COURSE 8: Fall 2004 - 1 - GO TO NEXT PAGE
　　Retirement Benefits,
　　Comprehensive Segment – U.S.
　　Morning Session
　　**BEGINNING OF EXAMINATION 8**
　　COMPREHENSIVE SEGMENT – U.S.
　　MORNING SESSION
　　1. (9 points) A pension committee member at your U.S. based client believes that the
　　interest rate for the defined benefit plan valuations is too low. He supports his view by
　　stating that a higher interest rate would lower the cost of the plan. A second committee
　　member argued against raising the assumption.
　　The chairman of the pension committee has asked you to lead a discussion at the next
　　pension committee meeting regarding the interest rate assumptions for funding purposes
　　and for accounting purposes, and their effect on the interested parties.
　　Outline your discussion.
　　COURSE 8: Fall 2004 - 2 - GO TO NEXT PAGE
　　Retirement Benefits,
　　Comprehensive Segment – U.S.
　　Morning Session
　　Questions 2 – 6 pertain to the Case Study
　　2. (12 points) The CFO of NOC has decided to take a more active role in managing NOC’s
　　pension plan assets. In reviewing the performance of the National Oil Full-Time Hourly
　　Union Pension Plan, he is disturbed by the recent absolute performance. He proposes
　　that the assets should be moved to 100% domestic fixed income because that asset class
　　has outperformed the other asset classes in 2 of the last 3 years.
　　You are given:
　　Calendar Year Rf Rm β
　　2003 4% 21% 0.9
　　2002 5% -5% 0.85
　　2001 4% 1% 0.8
　　Additional Information for 2003
　　Target Portfolio Mix
　　for 2003 Benchmark Return in
　　2003
　　Domestic Large Cap
　　Equities
　　35% 30%
　　Domestic Small Cap
　　Equities
　　25% 47%
　　Domestic Fixed Income 25% 4%
　　International Equities 10% 39%
　　Real Estate 5% 9%
　　Cash 0% 1%
　　(a) Describe the features in a Statement of Investment Policies and Procedures that
　　could help the CFO in his *uation of the Plan’s performance.
　　(b) Calculate the 2001, 2002 & 2003 Risk Adjusted Rate of Return for the fund.
　　(c) Calculate the 2001, 2002 & 2003 Treynor Measure for the fund.
　　(d) Evaluate the investment performance of the fund during 2003.
　　(e) Critique the CFO’s proposal.
　　COURSE 8: Fall 2004 - 3 - GO TO NEXT PAGE
　　Retirement Benefits,
　　Comprehensive Segment – U.S.
　　Morning Session
　　Questions 2 – 6 pertain to the Case Study
　　3. (8 points) The government of Vosne is concerned that workers are harmed by switching
　　companies periodically throughout their careers. The government has asked for your
　　assistance in understanding this issue.
　　(a) Describe the implications of switching employers on workers’ retirement benefits.
　　(b) Suggest policies that could be adopted by the government of Vosne to improve
　　the portability of private retirement benefits.
　　(c) Describe how these policies address the issues identified in (a).
　　(d) Describe the impact of these policies on NOC.
　　4. (10 points) Auditors in Vosne have criticized its current pension accounting standards as
　　being misleading to readers of financial statements and contrary to the teachings of
　　financial economics.
　　The Department of Accounting Standards is considering changes to the current
　　accounting rules to achieve the following goals:
　　? Increased transparency;
　　? Improved consistency with how financial economics measures “risk”; and
　　? More practical and usable information for financial statement readers.
　　(a) Critique the current accounting rules in light of the Department’s goals.
　　(b) Recommend changes to the accounting rules to meet the Department’s goals.
　　COURSE 8: Fall 2004 - 4 - GO TO NEXT PAGE
　　Retirement Benefits,
　　Comprehensive Segment – U.S.
　　Morning Session
　　Questions 2 – 6 pertain to the Case Study
　　欲知过去世，今生受者是。欲知来世果，今生做者是。——高顿网校短句汇编

 

 
扫一扫微信，关注精算师*7考试动态