大家一定要坚信自己的实力和能力，November2002真题北美精算师大纲Course8F（五），一定要全部看懂和记熟。
　　Fall 2002
　　Afternoon Session
 
　　11. (8 points) You have been asked to *uate a potential project to bring a new asset-backed
　　insurance product to the marketplace. It is not known whether Bob, the intended project
　　manager, will remain with the company after his current employment contract ends in two years.
　　As Bob’s skill set is considered extremely important to the project, two separate cash flow
　　streams have been projected.
　　You have the following information regarding the project:
　　?  Covariance (annual return on the project, annual return on the market) 14.97
　　?  Variance (annual return on the market) 9.98
　　?  Expected annual return on the market portfolio 11.00%
　　?  Risk- free interest rate 3.00%
　　?  Initial investment $300,000
　　?  Probability of Bob’s contract being renewed 50%
　　Potential cash flow streams from the project (excluding the initial investment):
　　Duration
　　(in years)
　　Cash Flow Stream 1
　　(Bob’s contract renews)
　　Cash Flow Stream 2
　　(Bob’s contract is not renewed)
　　1 70,000 70,000
　　2 80,000 80,000
　　3 100,000 80,000
　　4 125,000 80,000
　　5 175,000 80,000
　　(a) (3 points) Calculate the net present value of the project and assess whether the company
　　should go ahead with the project based on the information available at this time. Show
　　your work.
　　(b) (4 points) The company has the option to defer the project for two years, at which time
　　Bob’s contract status will be known. If Bob continues under contract, the new cash flow
　　stream will be equal to cash flow stream 1 with cash flows decreased by 10%. Without
　　Bob, the new cash flow stream will be equal to cash flow stream 2 with cash flows
　　decreased by 20%. Assess the impact of deferring the project and recommend a course of
　　action. Show your work.
　　(c) (1 point) Calculate the option premium associated with the option to defer discussed in
　　(b). Show your work.
　　COURSE 8 FINANCE - 15 - GO ON TO NEXT PAGE
　　Fall 2002
　　Afternoon Session
 
　　12. (10 points) You are the 100% owner of Dot Life, a US-based life insurance company that sells
　　two product lines: 1 year term and 5 year level-premium term. Given the highly competitive US
　　market, you have started selling your products in a Latin American country, where you expect
　　higher profit margins. Currently, sales are 75% from domestic operations and 25% from the
　　Latin American operations.
　　As a non-public company, you have never calculated GAAP statements. 2001 financial results
　　showed a loss using solvency-based reserves. You feel that solvency-based reserving is too
　　conservative and have asked your actuary to calculate results based upon the fair value of
　　liabilities.
　　(a) (4 points) Describe various calculation methodologies for determining the fair value of
　　liabilities.
　　(b) (1 point) Explain the key considerations for Dot Life in setting appropriate assumptions
　　for a fair value of liabilities methodology.
　　(c) (2 points) Contrast the information Dot Life can expect to obtain from the fair value
　　calculation with the information obtained from a solvency reserve calculation.
　　(d) (3 points) You expect Latin American earnings to increase to 50% of the company’s
　　earnings by 2006. Describe the issues Dot Life should consider when assessing whether
　　to hedge the foreign currency exposure.
　　COURSE 8 FINANCE - 16 - STOP
　　Fall 2002
　　Afternoon Session
 
　　13. (4 points) As the appointed actuary for a newly formed life insurance company, you are
　　responsible for signing the Actuarial Opinion. You have decided to use asset adequacy analysis
　　to support your Opinion.
　　(a) (1 point) Define asset adequacy analysis and comment on its appropriateness in this
　　situation.
　　(b) (3 points) You must develop a process for your asset adequacy analysis.
　　(i) List the considerations and decisions to be made in setting up the process.
　　(ii) Describe the annual modeling and analysis process.
　　友谊的主要效用之一就在于使人心中的愤懑抑郁得以宣泄、弛放。……对一个真正的朋友，你可以传达你的忧愁、欢悦、恐惧、希望、疑忌、谏诤，以及任何压在你身上的事情。——高顿网校为人处世

 

 
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