高顿项目
北美精算师之SOA历年真题Course第8IU
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2014-07-02
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Course8I:Fall2005-1-GOONTONEXTPAGE
IndividualInsurance–U.S.
MorningSession
**BEGINNINGOFEXAMINATION8**
INDIVIDUALINSURANCE–U.S.
MORNINGSESSION
1.(4points)Arecentmortalityexperiencestudyshowsthatthesubstandardportionofthe
company’slifeinsurancepolicieshasworsethanexpectedexperience.
(a)Explainreasonssubstandardmortalityexperiencemaybehigherthanexpected.
(b)Describemethodstoreflectsubstandardrisksinlifeinsuranceproducts.
(c)Determinethebestmethodtoreflecteachofthefollowingsubstandardrisks:
(i)Obesitywithdiabetes
(ii)Recoveringfromatemporaryimpairment
(iii)Hazardousoccupation
(iv)Normalbloodpressurebutfamilyhistoryofcoronaryarterydisease
Course8I:Fall2005-2-GOONTONEXTPAGE
IndividualInsurance–U.S.
MorningSession
2.(5points)AU.S.lifeinsurancecompanyisproposingaflexiblepremiumdeferred
annuitywiththefollowingfeatures:
?Eachdepositreceivesaguaranteedinterestrateforthefirstfiveyearsbased
onnewmoneyrateswithanannuallyrenewableinterestratethereafter.
?Theminimuminterestratecreditedonfundsandusedindetermining
minimumnonforfeitureamountsisguaranteedtobenolessthan3%.
?Thesurrenderchargeis15%ofthecurrentcontractyeardeposit,plus10%
ofthepriorcontractyeardeposit.
?Surrenderchargesarewaiveduponannuitization.
?Returnofprincipalisguaranteedduringthefirstcontractyear.
?Adeathbenefitisnotprovidedduringthedeferralperiod.
?Theannuitizationbonusis2%ofaccountvalue.
?Anannualfeeof$75ischargedatthebeginningofeachcontractyear.
?Anadministrativeloadof6%isappliedtoeachdeposit.
(a)Determinechangesneededtotheproposedproductdesigninordertomeetthe
requirementsoftheStandardNonforfeitureLawforIndividualDeferred
Annuities.
(b)ForacontractpurchasedonJanuary1,2005,youaregiven:
Five-yearconstantmaturitytreasuryrates
January1,20055.85%
January1,20065.50%
January1,20075.25%
January1,20084.75%
January1,20094.00%
CreditedinterestratefromJanuary1,2005toJanuary1,20104.00%
Nonrefundablestatepremiumtaxrate2.00%
InitialdepositpaidonJanuary1,2005$50,000
AdditionaldepositpaidonJanuary1,2008$5,000
PartialwithdrawalonJanuary1,2009$10,000
CalculatetheminimumnonforfeiturevalueallowedasofDecember31,2009
accordingtotheStandardNonforfeitureLaw.Showallwork.
Course8I:Fall2005-3-GOONTONEXTPAGE
IndividualInsurance–U.S.
MorningSession
3.(5points)Youaregiventhefollowingassumptionsforavariableannuityproductwith
aguaranteedminimumdeathbenefit(GMDB):
AccountValueattime0$1,500
DeathBenefitattime0$1,750
DepositPaidtoDate$1,750
NetAssetCharges1.00%
ValuationRate5.50%
AssumedFirstYearDrop-14%
AssumedFundRecovery14%
DeathBenefitGuaranteeTypeRoll-up
Roll-upInterestRate5%
DurationofContract5years
ValuationTime(t)01
SurrenderChargesasapercentageofdepositpaid7%6%
GMDBMortalityRatesperthousand-17.192
SurvivalFunction1.00000.9828
t
ProjectedIntegrated
Reserve
21,409.22
31,419.49
41,425.54
51,416.31
(a)(1point)ExplainthecalculationoftheintegratedreserveaccordingtoActuarial
Guideline34.
(b)(4points)Calculatetheintegratedreserveattime0,accordingtoActuarial
Guideline34.Showallwork.
Course8I:Fall2005-4-GOONTONEXTPAGE
IndividualInsurance–U.S.
MorningSession
4.(9points)SaturnLifeisdevelopinganewvariableannuityproductthatwillprovide:
?50differentinvestmentoptions.
?Avarietyofguaranteeddeath,annuity,incomeandwithdrawalbenefitoptions.
?Asset-basedexpensesthatvarywiththeaccountvalueofthepolicy.
(a)DefineeachstepintheproductdevelopmentprocessaccordingtoLOMA.
(b)Determineanddefineforthisproductdevelopmentprojecttheapplicable:
(i)corporategrowthstrategy,
(ii)marketingstrategyand
(iii)typeofinnovation.
(c)Indevelopingexpectedlapseassumptionsforthenewproduct:
(i)Listthefactorsaffectinglapserates.
(ii)Explainhowtheexpectedlapseassumptionswouldbeimpactedbyeachof
theproposeddesignfeatures,andjustifyyouranswer.
(d)Theentireproductdevelopmentprojectisexpectedtocost$10million.Saturn’s
variableannuityproductsareexpectedtoreturn1%ofpremiumannuallyafter-tax.
Theprojectedincreaseinsalesis:
YearWithoutNewProductWithNewProduct
110%210%
210%60%
310%10%
Calculatetheproject’sbreak-evenyear.Showallwork.
Course8I:Fall2005-5-GOONTONEXTPAGE
IndividualInsurance–U.S.
MorningSession
Question5pertainstotheCaseStudy.
5.(13points)AstheproductactuaryforMercuryLife,youhavebeenaskedtoanalyzethe
feasibilityofaddinganequityindexedannuitytothefixedannuityproductline.
(a)(5points)Youaregiventhefollowingproductdesign:
?Theindexperiodis6years.
?Theinvestmentearningsrateis5.5%.
?Thefirstyearcommissionis4.0%ofpremium.
?Otherexpensesandprofitequal5.0%ofpremium.
?Guaranteedminimumaccountvalueiscalculatedusing90%ofpremiumand
3.00%interest.
?Indexaccountvalueiscalculatedusing100%ofpremiumand100%
participationrateguaranteedfor6years.
(i)Calculatetheaffordableoptionbudget.Showallwork.
(ii)Determinechangesandadditionstotheproductdesignthatwouldreduce
theactualoptioncostsdowntotheaffordableoptionbudget.
(b)(1point)Explaintheimpactofequityvolatilityonequityindexedannuity
pricing.
(c)(5points)Youaregiventheresultsfromtheinitialpricingrun:
TimeProfit
0-25
160
20
30
442
512
6-70
AssumeMercuryLifeiswillingtopay5%forborrowedmoney.
(i)CalculatetheROIforthisproductusingtheGeneralizedROI
CalculationMethod.Showallwork.
(ii)AssessthecalculatedROIcomparedtoMercuryLife’sprofitobjective.
(iii)ExplainpracticalproblemsrelatedtocalculatingROI.
(d)(2points)Evaluatethefeasibilityofaddinganequityindexedannuitywith
respecttoMercuryLife’stargetmarket.
Course8I:Fall2005-6-GOONTONEXTPAGE
IndividualInsurance–U.S.
MorningSession
6.(9points)YouarereviewingablockofflexiblepremiumULpolicies.
(a)Describestepstodeterminetheminimumcashsurrendervalueforthistypeof
productaccordingtotheNAICUniversalLifeModelRegulation.
(b)Youranalysisrevealsawideninggapbetweenvalue-basedreservesandcash
values.Youbelieveanewexperiencestudyisneededtorevisethevalue-based
reservelapseassumptions.
(i)Youaregiven:
?Theexistinglapseassumptionisbasedonaninternalstudyconducted
in1999oflapsesofpermanentlifepoliciesduringtheperiod1996to
1998,whichincludeddatafromanacquisitionin1996.
?Currentportfoliolapsedatacannotdistinguishbetweenfixedand
flexiblepremiumULpolicies.
?Industryexperienceistrendingtowardlowerlapserates.
Explainhowthekeyprinciplesinstudyingexperiencetosetassumptions
provideguidanceforthesespecificissues.
(ii)Describeconsiderationswhenadjustingabestestimateexperience
assumptionwithprovisionforadversedeviation.
(c)Anillustrationforamale,issueage45,flexiblepremiumULpolicyindicatesthe
coverageremainslevelforthelifeofthepolicyassumingthepolicyowner
continuestopaythesameannualpremiumsinceissue.
Youaregiven:
CurrentAnnualPremium$160
GuaranteedMaturityPremium$200
CRVMNetLevelPremium$150
ValuationNetLevelPremium$125
GuaranteedMaturityFundatDuration10$900
ActualFundatDuration10$700
CashValueatDuration10$650
PVofBenefitsatDuration10$2,500
45:50a????13.75
55:40a????11.25
Calculatethe10thyear
(i)CRVMminimumterminalreserve.
(ii)Statutorygainorlossuponsurrender.
Showallwork.
Course8I:Fall2005-7-GOONTONEXTPAGE
IndividualInsurance–U.S.
7.(7points)XYZLifeproducesvalue-basedfinancialstatements.
Youaregiven:
?Thehurdlerateis12%.
?Therisk-freerateofreturnis4.0%.
?Theinflationrateis1.5%.
?Betais2.0.
(a)(1point)DescribetheCAPMformulaandcalculatetheimpliedrateofreturnon
averageequityinvestments.
(b)(2points)Describevalidationtechniquesusedtoevaluatetheaccuracyand
reliabilityofmodelofficeprojectionsusedinvalue-basedfinancialanalysis.
(c)(4points)ABCLifeoffersthesametermlifeinsuranceproductasXYZ.XYZ’s
premiumsare5%higherthanABC’s.Bothcompanieshavethesameinflation,
investmentandhurdlerates.
XYZhaspricedtheproducttoachieveanIRRof13%.
(i)ComparefirstyearearningsforXYZforthefollowingreportingmethods.
?USGAAP,
?Value-basedfinancialreporting,and
?LevelROEfinancialreporting.
(ii)Determinewhichcompanywouldreporthigherfirstyearearningsunder
eachofthereportingmethods.Justifyyouranswer.
Course8I:Fall2005-8-GOONTONEXTPAGE
IndividualInsurance–U.S.
MorningSession
8.(4points)Seniormanagementwouldliketointroduceacommissionschedulethat
eliminatesvestingentirely.Inreturn,agentswillbepaidhighercommissions.Currently,
allcommissionsvesttoagentsatthetimeofasale.
Youaregiven:
Currentrenewalcommissionscale:
t123
rt3%3%3%
Ot000
Pt1.00.900.80
Proposedrenewalcommissionscale:
t123
rt5%5%5%
Ot00.050.10
Pt1.00.950.90
where:
t=policyyear
r=commissionsasapercentofthegrossannualpremium
Ot=probabilitythatpremiumonnewbusinessiswrittenbyagentswholeave
beforebusinessenterspolicyyeart
Pt=probabilitythattheannualpremiumforthepolicyyeartwillbepaid
?Thediscountrateis3%.
?Expectedsalesundercurrentcompensationscaleare$10.0millionofpremium.
?Expectedsalesunderproposedcompensationscaleare$10.5millionofpremium.
?Expectedexpensesexcludingcommissionsare10%ofpremium.
Selectthecommissionschedulethatproducesthehighestnetrevenueforthecompany.
Showallwork.
Course8I:Fall2005-9-STOP
IndividualInsurance–U.S.
MorningSession
9.(4points)ABCLifeisconcernedaboutthetrendofitsfixedannuitysalesrelativetothe
restoftheindustry.
(a)Describeavailablesourcesofdatathatmaybeusedtoevaluatethetrendinfixed
annuitysales.
(b)DescribeissuesforABCtoconsiderindecidingwhethertowithdrawfromthe
fixedannuitymarket.
**ENDOFEXAMINATION**
MORNINGSESSION
Course8I:Fall2005-1-GOONTONEXTPAGE
IndividualInsurance–U.S.
AfternoonSession
**BEGINNINGOFEXAMINATION8**
INDIVIDUALINSURANCE–U.S.
AFTERNOONSESSION
Beginningwithquestion10
Question10pertainstotheCaseStudy
10.(4points)MercuryLifeplanstoentertheindividualtermlifeinsurancemarketusinga
brokeragedistributionsystem.
(a)AssessthisplaninrelationtoMercury’sstrengthsandweaknesses.
(b)AssumingMercury’sgoalistoincreasemarketsharethroughbroker
relationships:
(i)Determinetheappropriatepricingobjective.
(ii)Describetheadvantagesanddisadvantagesofthisobjective.
(c)AssumingMercury’sgoalistoincreasemarketsharethroughconsumer
relationships:
(i)Determinetheappropriatepricingobjective.
(ii)Describetheadvantagesanddisadvantagesofthisobjective.
Course8I:Fall2005-2-GOONTONEXTPAGE
IndividualInsurance–U.S.
AfternoonSession
11.(6points)Yourcompanyisproposingtosellablockoflifeinsurancebusinesstoanother
company.
(a)Describefactorstoconsiderbeforedecidingtoselltheblock.
(b)Explainreinsurancestructuresavailabletofacilitatethesaleofablockoflife
insurancebusiness.
(c)Describegoodwillandexplainitsimpactonthetransaction.
Course8I:Fall2005-3-GOONTONEXTPAGE
IndividualInsurance–U.S.
AfternoonSession
Question12pertainstotheCaseStudy.
12.(8points)YouaregiventhefollowinginformationwithrespecttoSaturnLife’sterm
insurancefinancialstatements:
?SaturnusesthesamedefinitionofGAAPfreecashflowandGAAPsurplusasfound
inTSA38StrategicManagementofLifeInsuranceCompanySurplus.
?Solvency-basedreservesareequaltoGAAPincome-basedreserves.
?After-taxinvestmentincomeonrequiredcapitalfor2003is$2,750,000.
(a)WithrespecttoannualGAAPROE:
(i)Explainpossiblereasonsforanon-levelpattern.
(ii)ExplainpossiblereasonsaparticularyeardiffersfromthepricingROI.
(b)CalculateSaturn’s2003GAAPfreecashflow.Showallwork.
(c)SaturnisconsideringachangetoYRTreinsurancefromtheexistingcoinsurance
arrangement.
Youaregiventhefollowinginformation:
?TheYRTreinsuranceisona90%quotasharebasis.
?TheaverageYRTreinsurancepremiumon2003issuesis$0.55per$1000.
?AveragefirstyearmeanreservecreditonYRTreinsuranceis$0.60per
$1000.
?Averagefirstyearmeanreservecreditoncoinsuranceis$0.71per$1000.
?Therewerenodeathsoncontractsissuedin2003.
Revisethe2003pre-taxshareholderearningsassumingtermpoliciessoldin2003
arereinsuredundertheYRTarrangement,ignoringanyimpactonDACand
investmentincome.Showallwork.
Course8I:Fall2005-4-GOONTONEXTPAGE
IndividualInsurance–U.S.
13.(13points)YourcompanyisproposingtoofferanewflexiblepremiumULproductin
theCanadianmarketwiththefollowingfeatures:
?Theintroductorycreditedinterestrateis12%andisguaranteedforthefirst
12months.
?Thecreditedrateafterthefirst12monthsisbasedononeoftwooptions:
-Thereturnonfixedincomeassets,or
-AnequityindexbasedontheS&P500.
?Commissionof60%onallpremiumspaidinthefirstyear.
?Productionbonusof100%onfirstyearcommissionearned.
?Therearenocommissionchargebacks.
?Surrenderchargesapplyforthefirst10years.
?Everyfiveyears,acontingentbonusof1%ofaccountvalueispaid,provided
theaveragecreditedratehasexceeded4%overthelifeofthepolicy.
(a)(4points)
(i)Describeeachofthefollowingprohibitedsalespractices:
?Misrepresentation
?Twistingandchurning
?Rebating
(ii)Evaluatetheexposureoftheproposedproducttoeachofthesepractices.
(b)(1point)ExplaintheadvantagesanddisadvantagesofflexiblepremiumUL
comparedtofixedpremiumUL.
(c)(4points)Determinetheimpactonlapsationforpolicieswiththefixedincome
creditingoptionunderadecliningreturnscenario,assumingthecreditedrateis:
(i)Theearnedratelessatargetedspread.
(ii)Themarketratelessatargetedspread.
(d)(4points)ExplainthefactorsusedtodeterminetheamountofDACamortization
inthefirstpolicyyearforthisULproductwithrespecttoU.S.GAAP.
Course8I:Fall2005-5-GOONTONEXTPAGE
IndividualInsurance–U.S.
AfternoonSession
14.(12points)ABCLifecurrentlysellsaguaranteed,10-yearlevelpremiumtermproduct
intheU.S.market.Aftertheinitial10-yearperiod,coverageisannuallyrenewable.
Recentsalesresultshavebeendisappointing.ABCisdevelopinganindeterminate
premiumversiontoreplacethecurrentproduct.Underthenewdesign,premiumrates
willbeguaranteedforthefirsttwoyearsofthecontract.
(a)DescribethetypesofproductinnovationsasoutlinedinLOMA.
(b)Withrespecttoindeterminatepremiumtermproducts:
(i)Describetheproductdesign.
(ii)Explaintheadvantagesanddisadvantagescomparedtoaguaranteed
premiumproductdesignfromthecompany’sperspective.
(c)ABChasnomortalityexperienceforanindeterminatepremiumproduct.
DescribefactorsABCneedstoconsiderinusingitsownexistingmortalitydatato
setthemortalityassumptionusedtopricethenewproduct.
(d)Describethefollowingmethodsofcalculatingreservesforrenewableterm
products:
(i)Unitarymethod.
(ii)ContractSegmentationmethod.
Course8I:Fall2005-6-GOONTONEXTPAGE
IndividualInsurance–U.S.
AfternoonSession
15.(8points)
(a)Describethefollowingmethodsofmatchingassetsandliabilities.
(i)Exactmatching,
(ii)Durationmatching,
(iii)Horizonmatching,and
(iv)Productcashflowmatching.
(b)Youaregiven:
TimeLiabilityCashFlow
125
225
3100
4100
50
60
Calculatethemodifieddurationandconvexityoftheliabilitycashflowsusingan
interestrateof7%.Showallwork.
(c)Theinvestmentdepartmentsuggestsanassetportfoliowithmodifiedduration
equaltotheliabilitycashflowmodifiedduration,withthefollowingassetcash
flows:
TimeAssetCashFlow
14.68
20.32
3234.07
40.32
50.00
610.72
(i)Evaluatetheeffectivenessofusingtheproposedassetportfolioto
immunizetheliabilitycashflows.
(ii)Describewaystoimprovetheassetandliabilitymatchingforthis
portfolio.
Showallwork.
Course8I:Fall2005-7-GOONTONEXTPAGE
IndividualInsurance–U.S.
16.(5points)Youaregiven:
CashClaimsPaidbyYearofIncurral
IncurralYear
CalendarYear20002001200220032004
20005
2001106
20024127
200337147
2004122136
EndofYearClaimReserve
IncurralYear
CalendarYear20002001200220032004
200015
20011016
20028517
200354618
2004435617
(a)Describethecommontestsofclaimreserveadequacy.
(b)Evaluatethesufficiencyoftheclaimreserves.Showallwork.
Course8I:Fall2005-8-STOP
IndividualInsurance–U.S.
AfternoonSession
17.(4points)AU.S.insurancecompanyhashistoricallysoldonlywholelifeinsurance.
Saleshavebeendecliningsteadilyoverthelastfewyears.Seniormanagementexpectsto
introduceauniversallifeproductthatprovidesthecustomerwithmoreflexibility.
(a)Describefeaturesofauniversallifeproductthatprovideflexibilitytothe
customer.
(b)Thefollowingproductdesignisproposed:
?Thepremiumloadis15%.
?Theguaranteedinterestrateis5.00%.
?Asurrenderchargeappliesfor5years.
?Thepolicyfeeis$5permonth.
?Unscheduledpremiumpaymentsarenotpermitted.
?Therearenoriders.
?Thepolicyloaninterestrateisequaltothecurrentinterestrate.
?Theguaranteedinterestbonusis1%beginninginyear11.
Evaluatetheproposeddesignandrecommendanychanges.
以上则是请认真审题，珍惜小编的辛勤劳作，珍惜来之不易的学习时间。
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