请各位珍惜美好的学习时光，北美精算师往年典藏版考试真题2003NovemberCourse8I（一）是最重要的大纲级文章！
　　Individual Insurance
　　Morning Session
　　Society of Actuaries Course 8I Fall 2003
　　**BEGINNING OF EXAMINATION**
　　MORNING SESSION
 
　　1. (4 points) The Chief Actuary of a small life insurance company expects large
　　fluctuations in future interest rates.
　　(a) Describe measures the Chief Actuary would use to help predict the impact of
　　interest rate fluctuations.
　　(b) Describe asset/liability matching methods that the Chief Actuary can use to
　　minimize the financial effect of interest rate fluctuations on the portfolio.
　　(c) Explain the desired relationship between the asset and liability durations given the
　　relative significance of disintermediation and reinvestment risk.
　　COURSE 8I: Fall 2003 -2- GO ON TO NEXT PAGE
　　Individual Insurance
　　Morning Session
　　Question 2 pertains to the case study.
 
　　2. (12 points) Saturn Life is considering the introduction of variable immediate annuities to
　　help retain assets accumulated within their deferred variable annuities.
　　(a) Assess Saturn’s opportunity for growth with respect to:
　　(i) Historical results,
　　(ii) Strengths and
　　(iii) Weaknesses.
　　(b) Describe pricing considerations for a variable immediate annuity.
　　(c) Describe the steps to implement stochastic modeling for pricing a rider option that
　　provides a floor for the monthly payments.
　　(d) Marketing has suggested that clients be given the choice of Assumed Investment
　　Returns (AIR). You are given:
　　Annuity Payments
　　Year Unit Value AIR 3% AIR 5%
　　1 10.0000 $2,120 $2,200
　　2 9.2500
　　3 9.6200
　　4 10.1972
　　5 11.0130
　　(i) Calculate the missing values in the above table. Show all work.
　　(ii) Re-calculate the missing values in the above table, assuming the
　　attachment of a rider that provides a floor for the monthly payments equal
　　to 90% of the initial payment.
　　(iii) Identify design choices that would manage the cost of the AIR choice
　　granted to the customer.
　　COURSE 8I: Fall 2003 -3- GO ON TO NEXT PAGE
　　Individual Insurance
　　Morning Session
 
　　3. (7 points) Company XYZ currently sells level premium term products with Smoker and
　　Nonsmoker underwriting classes. The products will be re-priced with 3 underwriting
　　classes (Smoker, Standard Nonsmoker, Preferred Nonsmoker). A fourth underwriting
　　class, Super Preferred Nonsmoker, is also being considered.
　　The following underwriting definitions have been proposed:
　　Smoker Standard
　　Nonsmoker
　　Preferred
　　Nonsmoker
　　Super
　　Preferred
　　Nonsmoker
　　Personal History
　　Maximum Total
　　Cholesterol LevelⅡ80mg/dec 280mg/dec 240mg/dec 205 mg/dec
　　Maximum Blood
　　Pressure (untreated) 160/95 160/95 140/90 130/85
　　Diabetes acceptable Yes Yes Yes No
　　Tobacco Use Yes
　　None within
　　past 60
　　months
　　None within
　　past 60
　　months
　　None within
　　past 60
　　months
　　Maximum # of
　　moving violations
　　within a 3 year period
　　3 3 2 2
　　Regular exercise Not Required Not Required Required Required
　　Family History
　　Heart Disease death
　　prior to age 65
　　Allowed Allowed Not Allowed Not Allowed
　　Cancer death prior to
　　age 70 Allowed Allowed Allowed Allowed
　　COURSE 8I: Fall 2003 -4- GO ON TO NEXT PAGE
　　Individual Insurance
　　Morning Session
　　做事不必与俗同，亦不宜与俗异。做事不必令人喜，亦不可令人憎。——高顿网校金玉良言

 

 
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