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北美精算师考试SOA真题放送——November2003Course8F（二）

来源：高顿网校 2014-07-18

　　抱考北美精算师的孩儿们，有木有正在为找不到真题而发愁的？高顿网校来为您解决：北美精算师考试SOA真题放送——November2003Course8F（二）
　　3. Continued

　　(d) Assume through 2004 that no assumptions have changed from 2003. Assume that

　　on January 1, 2005, there are defaults within the investment portfolio which

　　reduce future investment income to NADA by 0.20% per annum. Calculate the

　　impact that this event will have on NADA’s balance sheet and income statement

　　for the GIC business originally written in 2003. Show your work.

　　(e) Following your GIC analysis, you consider the implications of Von Nostrum’s

　　recommendation for NADA’s other business lines.

　　Explain the likely reasons why Von Nostrum has recommended deferring

　　acquisition costs, and describe the considerations impacting the capitalization and

　　amortization of acquisition costs associated with each of NADA’s business lines.

　　4. (3 points) Outline a report analyzing the strengths and weaknesses of NADA’s corporate

　　governance system.

　　5. (9 points) NADA is currently under review with negative implications by the J.

　　Peterman rating agency.

　　(a) Describe which current operations and corporate attributes of NADA help to

　　maintain or improve its rating and which may hurt the rating.

　　(b) Propose changes to its business strategy that NADA can implement to improve its

　　rating. Include justification for your proposed changes.

　　COURSE 8: Fall 2003 5 GO TO NEXT PAGE

　　FINANCE

　　Morning Session

　　6. (4 points) XYZ Company uses the expected policyholder deficit as the relevant risk

　　measure for solvency analysis. XYZ’s total assets are currently $10,000 and have been

　　invested to earn a guaranteed return of 5% over the next year. XYZ has two lines of

　　business with perfectly correlated liability exposures. The total loss for the two lines

　　combined at the end of the year is a random variable that is distributed as follows:

　　x Pr[X=x]

　　$8,000 15%

　　10,000 60

　　12,000 25

　　(a) Calculate the expected policyholder deficit ratio. Show your work.

　　(b) If the regulator requires that capital be held such that the expected policyholder

　　deficit does not exceed 5% of expected losses, determine XYZ’s current position

　　relative to this requirement. Show your work.

　　(c) Describe how the owners of XYZ hold a position similar to a stock option.

　　7. (8 points) As the Product Innovator at In the Box Co., you developed an idea for a new

　　product line and pitched it to your boss, Jack, who is the Vice President of Marketing.

　　Thinking this concept is a good strategic fit and recognizing value based on features

　　already traded in the market, Jack requests that you develop the idea further.

　　You use the traditional discounted cash flow (DCF) approach to analyze the idea.

　　Unfortunately, you discover that this project produces a NPV of -50 using the DCF

　　approach.

　　(a) Explain why Jack’s initial assessment of the project does not seem to reconcile

　　with the value calculated under the traditional DCF approach.

　　(b) Describe how you would enhance the DCF approach to consider the additional

　　value that Jack sees.

　　(c) Indicate the complications presented by the approach you proposed in part (b).

　　COURSE 8: Fall 2003 6 STOP

　　FINANCE

　　Morning Session

　　8. (6 points) As a financial consultant to Golden Parachute Company, you have been asked

　　to make a recommendation to the Board of Directors regarding the funding of the

　　company’s defined benefit pension plan. The board is split between those that feel the

　　plan is too heavily funded (and would like to take a plan reversion) and those that feel the

　　funding status of the plan is not sufficient due to the level of equity exposure. A law has

　　just been passed that will prevent companies from taking a pension plan reversion, but it

　　does not become effective until the next plan year.

　　You have the following information available:

　　? Market value of plan assets = $65,400,000

　　? Present value of liability by accounting standards = $60,000,000

　　? Present value of liability by actuarial standards = $63,000,000

　　? Assumed rate of return for plan valuation purposes = 8.5%

　　? Plan early retirement provis ion(s) = none

　　? Plan normal retirement age = 65

　　? Amount of liability by accounting standards attributed to employees age 60 or older =

　　$36,000,000

　　? Minimum required contribution for the plan year in question = $0

　　? Maximum tax-deductible contribution for the pla n year in question = $1,000,000

　　? Asset Allocation: 50% Stocks

　　25% High yield bonds

　　20% Municipal bonds

　　5% Cash

　　Upon a participant’s retirement, the plan liquidates assets to purchase a life annuity to

　　cover the participant’s future benefit payments.

　　(a) Outline the advantages and disadvantages of overfunding a defined benefit

　　pension plan.

　　(b) Recommend the funding related action that Golden Parachute’s Board of

　　Directors should take. Support your recommendation.

　　(c) Recommend whether any changes should be made to the asset allocation or

　　assumptions utilized in the pension plan’s annual valuation. Include support for

　　your recommendation.

　　**END OF EXAMINATION**

　　MORNING SESSION

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

　　Finance

　　Afternoon Session

　　**BEGINNING OF EXAMINATION**

　　FINANCE

　　AFTERNOON SESSION

　　Beginning With Question 9
　　高顿网校之精品语录：当一个伟大的思想作为一种福音降临这个世界时，它对于受陈规陋习羁绊的大众会成为一种冒犯，而在那些读书不少但学识不深的人看来，却是一桩蠢事。 —— 歌德

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