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SOA真题2——北美精算师Course8V

来源：高顿网校 2014-06-27

　　SOA真题2——北美精算师Course8V

　　高顿网校小编提醒您，以下北美精算师的试题是由高顿网校小编为您精心“调配”的。

　　COURSE 8: Fall 2003 -7- GO ON TO NEXT PAGE

　　Investment

　　Morning Session

　　1. (5 points) A large Canadian life insurer, CanCo, is about to purchase a mid-sized U.S.

　　insurer, TargetCo. Assume:

　　(1) TargetCo will continue all of its existing lines of business.

　　(2) TargetCo will reinvest profits in its U.S. operations.

　　(3) TargetCo’s Corporate functions will be performed in CanCo’s Canadian office.

　　(4) TargetCo’s Sales and Marketing and other lines of business functions will

　　continue to operate in the U.S.

　　The post-acquisition strategic plan assumes:

　　CanCo TargetCo

　　Pro forma Cash Flow Summary

　　Operational Expenses – Sales and Marketing CAD 200 USD 50

　　Operational Expenses – Corporate and Other CAD 300 CAD 75

　　Policy Benefits and Other Expenses CAD 100 USD 20

　　Premium and Investment Income CAD 700 USD 150

　　Balance Sheet (at date of acquisition)

　　Assets CAD 11,000 USD 2,500

　　Liabilities CAD 9,000 USD 2,000

　　Surplus CAD 2,000 USD 500

　　Exchange Rate

　　1 USD = 1.5 CAD volatility = 4%

　　Risk-Free Interest Rate

　　Canada: 4%

　　US: 3%

　　(a) Describe the financial and economic impacts that foreign exchange rate risk could

　　have

　　(i) in general, on a multinational company, and

　　(ii) specifically, on CanCo and TargetCo following this acquisition.

　　COURSE 8: Fall 2003 -5- GO ON TO NEXT PAGE

　　Investment

　　Morning Session

　　Questions 1-6 pertain to the Case Study.

　　1. (3 points) LifeCo is concerned about the mismatch of its assets and liabilities at the total

　　company level.

　　(a) Calculate the modified duration of surplus excluding separate accounts.

　　(b) Estimate the change in interest rates that would reduce total company surplus to

　　zero.

　　(c) Calculate the modified duration of liabilities needed to immunize surplus.

　　(d) Criticize the manner in which the interest rate risk exposure is quantified in (b)

　　and (c).

　　2. (5 points) LifeCo’s ALM committee manages the investment needs and risk exposures

　　of several business segments with very different characteristics.

　　(a) Explain how the target asset duration should be changed to address any imbalance

　　between benefit duration and renewal premium duration for each of LifeCo’s

　　product lines.

　　(b) Describe the constraints on asset sales that must be considered when rebalancing

　　asset segments.

　　3. (3 points)

　　(a) Explain the two basic properties of utility functions as described by Gerber and

　　Pafumi.

　　(b) Explain the principle of equivalent utility.

　　COURSE 8: Fall 2003 -6- GO ON TO NEXT PAGE

　　Investment

　　Morning Session

　　4. (4 points) You are given the following information for zero-coupon bonds:

　　Maturity Interest Rate

　　1-year 4%

　　2-year 5%

　　3-year 6%

　　(a) Construct two sample portfolios of equal value, each using zero-coupon bonds at

　　all three maturities, such that the portfolio durations are the same.

　　(b) Approximate the impact on the value of the two portfolios of a 1% increase in

　　zero-coupon interest rates at every maturity using the portfolios’ modified

　　duration.

　　(c) Approximate the impact on the value of the two portfolios of a 1% increase in the

　　1-year zero-coupon rate and no change in the 2 and 3-year zero-coupon rates

　　using the portfolios’ modified duration.

　　(d) Evaluate the validity of the approximations in (b) and (c).

　　5. (4 points) You maintain a model that determines the 1-month 95% confidence value at

　　risk (VAR) of your company’s guaranteed minimum accumulation benefit (GMAB)

　　portfolio.

　　(a) Describe the key limitations of the VAR methodology.

　　(b) Describe methods that can be used to test and address these limitations.

　　名人名言：幸福的生活是一种由爱鼓舞，由知识指导的生活。

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