高顿网校小编正在为找不到讲义或练习题发愁解围了：SOA历年真题系列北美精算师考试November2002Course8V（Part 5）。
　　16. (7 points) You are given the following information for a GIC-type product issued by a
　　life insurance company.
　　?  The corporate tax rate is 35%.
　　?  The current estimate of the company’s credit risk premium is 1.5%.
　　Liability information:
　　Initial deposit $1000
　　Maturity date 3 years
　　Credited rate 4.2%
　　Interest payments paid annually
　　Valuation interest rate equal to credited rate
　　Asset information:
　　Allocated capital 8.0% of statutory reserves
　　Risk- free rate 3.0%
　　Expected asset portfolio yield, before
　　expected defaults 6.3%
　　Assume no expenses and that the tax adjustment is calculated without risk premiums.
　　(a) (2 points) Describe the steps used in determining the company’s credit risk
　　premium to be used with the direct method of performing a fair valuation of
　　liabilities. For each step, indicate the basis for determining appropriate
　　assumptions.
　　(b) (5 points) Determine the fair value of the liability at time 0. Use the direct
　　method.
　　COURSE 8:Fall 2002 -17- GO ON TO NEXT PAGE
　　Investment
　　Afternoon Session
 
　　17. (6 points) Gedda Life’s SPDA product has a surrender charge that starts at 6% and
　　declines 1% per year for 6 years. The minimum guaranteed credited rate is 4%. The
　　SPDA block is currently supported by the following portfolio of assets, with maturities
　　ranging from 2 to 10 years:
　　10% government bonds
　　50% corporate bonds and private placements
　　15% mortgage-backed securities
　　25% commercial mortgages
　　Explain how each of the following derivatives can be used as part of the ALM strategy
　　for this line and describe the risks being hedged.
　　(a) Interest Rate Cap
　　(b) Spread Lock
　　(c) Yield Curve Swap
　　(d) Interest Rate Floor
　　(e) Prepayment Cap
　　COURSE 8: Fall 2002 -18- STOP
　　Investment
　　Afternoon Session
 
　　18. (4 points) Your company’s CFO is considering pricing interest-sensitive insurance
　　liabilities using the required spread on assets (RSA) generated by simulating interest rate
　　paths from an arbitrage- free stochastic interest rate model.
　　(a) Compare the key characteristics of MBS securities and insurance company SPDA
　　contracts that support the use of similar pricing and valuation methodologies.
　　(b) Explain under what circumstances the option adjusted duration (OAD) must equal
　　the mean term of liabilities (MTL) for an SPDA product.
　　(c) Predict the impact of each of the following cha nges taken separately on the RSA,
　　OAD and MTL of a typical SPDA product.
　　(i) Increasing the credited rate at issue and reset by 50 basis points.
　　(ii) Increasing the base level of surrenders that are not related to the level of
　　interest rates.
　　(iii) Increasing the level of surrenders that are related to the level of interest
　　rates.
　　(iv) Increasing the rate credited by all competing insurance companies by 50
　　basis points.
　　记住该记住的，忘记该忘记的。改变能改变的，接受不能改变的。——高顿网校旷世名言

 

 
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