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【北美精算师】SOA考试真题：May2004Course6⑤

来源：高顿网校 2014-07-16

　　下面的，【北美精算师】SOA考试真题：May2004Course6⑤，请尽快消化掉，记不住的可以做笔记写下来。
　　21.

　　ASSERTION

　　Given the choice, investors prefer

　　a portfolio on a higher

　　indifference curve.

　　BECAUSE

　　REASON

　　Higher indifference curves

　　correspond to higher levels of

　　utility.

　　22.

　　ASSERTION

　　A callable bond is negatively

　　convex.

　　BECAUSE

　　REASON

　　A call option increases a bond’s

　　effective duration when interest

　　rates fall.

　　Course 6: Spring 2004 - 30 - GO ON TO NEXT PAGE

　　Morning Session

　　23.

　　ASSERTION

　　Modified duration is an

　　inappropriate measure for bonds

　　with embedded options.

　　BECAUSE

　　REASON

　　Modified duration assumes a flat

　　yield curve.

　　24.

　　ASSERTION

　　Dividend scale guarantees are put

　　options within a participating life

　　insurance policy.

　　BECAUSE

　　REASON

　　A put option gives the purchaser

　　the right to sell at a fixed price.

　　Course 6: Spring 2004 - 31 - GO ON TO NEXT PAGE

　　Morning Session

　　25-31. Each of questions 25 through 31 consists of two lists. In the list at the left are two items,

　　lettered X and Y. In the list at the right are three items, numbered I, II, and III. ONE of

　　the lettered items is related in some way to EXACTLY TWO of the numbered items.

　　Indicate the related items using the following answer code:

　　Lettered Item

　　Is Related to Numbered Items

　　(A)

　　X

　　I and II only

　　(B)

　　X

　　II and III only

　　(C)

　　Y

　　I and II only

　　(D)

　　Y

　　I and III only

　　(E)

　　The correct answer is not given by (A), (B), (C) or (D).

　　25. X. Refunding Provision I. Will not provide protection against

　　the issuance of common stock to

　　retire debt.

　　Y. Call Provision II. Bonds cannot be redeemed for any

　　reason.

　　III. Provides redemption protection

　　against the issuance of debt ranking

　　equal to or superior to the debt to be

　　redeemed.

　　26. X. Multivariate density estimation

　　(MDE)

　　I. Chooses points which are as

　　uniformly distributed as possible.

　　Y. Low-discrepancy method II. Can only be used for classes of

　　financial instruments for which

　　liquid markets exist.

　　III. Nonparametric, model-free

　　approach.

　　Course 6: Spring 2004 - 32 - GO ON TO NEXT PAGE

　　Morning Session

　　27. X. Amortized cost method I. Assets held to maturity

　　Y. Market value method II. Assets available for sale

　　III. Assets for trading

　　28. X. Return simulation I. Evaluates the current level of yields

　　by producing spot, discount, and

　　forward rate structures.

　　Y. Term-structure analysis II. Predicts bond and portfolio behavior

　　given alternative interest rate

　　scenario projections.

　　III. Values Treasury securities.

　　29. X. Duration bets I. Pure index match

　　Y. No duration bets II. Minor mismatches

　　III. Full-blown active

　　Course 6: Spring 2004 - 33 - GO ON TO NEXT PAGE

　　Morning Session

　　25-31. Each of questions 30 through 31 consists of two lists. In the list at the left are two items,

　　lettered X and Y. In the list at the right are three items, numbered I, II, and III. ONE of

　　the lettered items is related in some way to EXACTLY TWO of the numbered items.

　　Indicate the related items using the following answer code:

　　Lettered Item

　　Is Related to Numbered Items

　　(A)

　　X

　　I and II only

　　(B)

　　X

　　II and III only

　　(C)

　　Y

　　I and II only

　　(D)

　　Y

　　I and III only

　　(E)

　　The correct answer is not given by (A), (B), (C) or (D).
　　高顿网校之名人心得：心是*5的骗子，别人能骗你一时，而它却会骗你一辈子。

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