依然奋斗在一线的高顿网校的北美精算师青年人们，北美精算师SOA精选真题2002年11月Course8F（*9节），双手奉上了。
　　FALL 2002
　　Morning Session
　　**BEGINNING OF EXAMINATION**
　　MORNING SESSION
　　Questions 1-4 pertain to the Case Study. Each question should be answered independently.
 
　　1. (5 points) Zest’s Chief Executive Officer, Mr. Zach, has been approached regarding the possible
　　acquisition of Cling To Life Insurance Company. Cling To Life has been successful in the
　　Group Long Term Disability market (LTD) and had premiums of 350 in the year 2000. Zest
　　feels that the purchase will be a way to rejuvenate its LTD business.
　　Cling To Life could be purchased for 100. If purchased, Cling To Life’s assets and liabilities
　　would be consolidated with those of Zest.
　　Cling To Life’s year-end 2000 balance sheet is as follows:
　　Assets
　　Public Bonds
　　Investment Grade 425
　　Below Investment Grade 225
　　Private Bonds (Investment Grade) 200
　　Commercial Mortgages (Investment Grade) 125
　　Real Estate 20
　　Cash and Other Short Term 5
　　Total Assets 1,000
　　Liabilities 950
　　Equity 50
　　Total Liabilities and Equity 1,000
　　(a) (1 point) Calculate the effect that the purchase of Cling To Life will have on Zest’s yearend
　　2000 required capital. Show your work.
　　(b) (4 points) Describe three options that Zest could use to fund the purchase of Cling To
　　Life. Assess the impact of each option on Zest’s balance sheet and RBC ratio.
　　Course 8F
　　Fall 2002
　　COURSE 8 FINANCE - 2 - GO ON TO NEXT PAGE
　　FALL 2002
　　Morning Session
　　Questions 1-4 pertain to the Case Study. Each question should be answered independently.
 
　　2. (12 points) You are a consulting actuary who has been hired by Mr. Cairns to review Zest’s
　　current Asset/Liability Manage ment (ALM) policy and practice. Mr. Cairns is cognizant of the
　　qualitative aspects of rating agencies’ analyses and feels that perhaps a reformulation of Zest’s
　　ALM policy might lead NARA to adopt a more favorable outlook of Zest.
　　(a) (6 points) Evaluate Zest’s current ALM policy, commenting on both the overall
　　approach and its appropriateness for each of the products in the three main product lines.
　　(b) (4 points) Propose refinements to Zest’s existing ALM strategy that may be viewed
　　favorably by NARA. Provide support for your suggestions.
　　(c) (2 points) Describe how a holistic approach could be used as Zest’s ALM process.
　　COURSE 8 FINANCE - 3 - GO ON TO NEXT PAGE
　　FALL 2002
　　Morning Session
　　Questions 1-4 pertain to the Case Study. Each question should be answered independently.
 
　　3. (12 points) Although NARA is the pre-eminent insurance company rating agency, Zest is
　　concerned that it may be imprudent to rely on the ratings of only one agency. Zest is
　　contemplating approaching Standard & Poor’s for a second rating, but is very concerned as to
　　how Standard & Poor’s might view its liquidity position. Zest’s CFO has asked you to test
　　Zest’s results under the Standard & Poor’s liquidity and earnings models.
　　Additional year-end 2000 information about Zest is as follows:
　　?  The Premium Stabilization Reserve for the Group-LTD line is 1050.2.
　　?  The Unearned Premium Reserve for the Group-LTD line 112.3.
　　?  The Unearned Premium Reserve for the Individual Term Insurance line is 36.1.
　　?  All private placement bonds are 144A bonds.
　　?  All investments are in securities and assets from developed count ries.
　　?  All of the CMOs are VADMs or PACs.
　　?  Investment grade commercial mortgages and non-CMO public bonds are split 25%
　　NAIC ‘1’ and 75% NAIC ‘2’.
　　?  Below investment grade commercial mortgages and non-CMO public bonds are split
　　80% NAIC ‘3’ and 20% NAIC ‘4’.
　　?  Equities are split 10% investment grade preferred stock and 90% common stock.
　　?  All equity securities held are from unaffiliated, publicly-traded companies.
　　You have access to the following information from Standard & Poor’s insurance liquidity model.
　　Insurance Liquidity Tables
　　Table 1 Liability Risk Factors
　　Liability Immediate Scenario (%) Ongoing Scenario (%)
　　Traditional life 30 50
　　Term life 50% of UEPR 50% of UEPR
　　Interest-sensitive life 50 50
　　Deferred annuities 90 100
　　Single -premium immediate annuities 100 100
　　Other individual annuities 100 100
　　Supplementary contracts 30 50
　　Variable life and annuities 0 0
　　Individual accident and health 50% of UEPR 50% of UEPR
　　Individual disability 50% of any cash value 50% of any cash value
　　Structured settlements 100 100
　　GICs and funding agreements 100 100
　　Group annuities and other deposit
　　funds
　　100 100
　　Group accident and health 50% of PSR and UEPR 50% of PSR and UEPR
　　Group life 50% of PSR and UEPR 50% of PSR and UEPR
　　Group long-term disability 50% of PSR and UEPR 50% of PSR and UEPR
　　Health claims reserves 100 100
　　COURSE 8 FINANCE - 4 - GO ON TO NEXT PAGE
　　友谊也像花朵，好好地培养，可以开得心花怒放，可是一旦任性或者不幸从根本上破坏了友谊，这朵心上盛开的花，可以立刻萎颓凋谢。——高顿网校短句汇编

 

 
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