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SOA精算师考试北美真题November2004Course8IC（Part 4）

来源：高顿网校 2014-07-21

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　　11.(9points)Afinancialreviewofthetermportfoliorevealsalowerlevelofprofitability

　　fromthe5-yearleveltermproductthanoriginallyprojected.Youhavebeenaskedto

　　re-pricethe5-yearleveltermproductforyourbrokerageanddirectresponsedistribution

　　channels.

　　(a)Comparetheeffecteachofthesedistributionchannelshasonthefollowing

　　assumptions.

　　(i)Mortality

　　(ii)Lapse

　　(iii)Interest

　　(iv)Expense

　　(b)Describeelementsofcompensationusedforbrokeragedistribution.

　　(c)Thetermportfoliohasexperiencedlowerpolicypersistencythanexpected.

　　(i)Describethefactorsthataffectpersistency.

　　(ii)Recommendstepstoimprovepersistencyfortheproduct.

　　COURSE8I:Fall2004-13-GOONTONEXTPAGE

　　IndividualInsurance–Canada

　　AfternoonSession

　　12.(6points)XYZLifehasbeenexperiencingpoorsalesandalowerthanexpectedreturn

　　onequity(ROE)ontheirFixedPremiumIndividualUniversalLife(UL)product.The

　　followingtablesummarizestheassetsinXYZ’sportfolio:

　　AssetAmount

　　Cash$10,000

　　AAARatedBonds$0

　　AARatedBonds$0

　　ARatedBonds$1,000,000

　　BBRatedBonds$5,000,000

　　CommonStock$10,000,000

　　RealEstate$1,000,000

　　CommercialMortgages$5,000,000

　　ImpairedInvestments$0

　　Assume:

　　?CurrentMCCSRratiois150%.

　　?XYZLifeguaranteesa4%creditedrate.

　　?Overthepastfouryears,themarkethasshownasignificantreductiontoboth

　　shortandlongterminterestrates.

　　?Longtermyieldsongovernmentbondsarenowlessthan5%andareexpected

　　toremainlevel.

　　(a)(5points)XYZLifeisreviewingthesurpluspositionrelativetotheMCCSR

　　guidelinesforCanadianlifeinsurancecompanies.

　　(i)DefineeachoftheriskcomponentsthatareapplicabletoXYZLife’sUL

　　productaccordingtotheMCCSRguidelines.

　　(ii)Proposechangestotheassetportfolioandproductdesigntoreducethe

　　requiredsurplusofXYZLife.

　　(iii)ExplainhowyourproposedchangesimpacttheROEofXYZLife.

　　(b)(1point)Describetheimpactthedeclineininterestrateshashadonthe

　　prescribedinterestratescenariosusedbytheAppointedActuaryinsettingthe

　　interestrateassumption.

　　COURSE8I:Fall2004-14-GOONTONEXTPAGE

　　IndividualInsurance–Canada

　　AfternoonSession

　　Questions13and14pertaintotheCaseStudy.

　　13.(8points)ThevaluationactuaryatSaturnLifeisconcernedaboutthemortality

　　experienceofthetermportfolio.

　　(a)AssesstheeffectofSaturn’sconversion,re-underwritingandterminationoptions

　　ontherenewalARTmortalityassumption.

　　(b)YouaregiventhefollowingadditionalinformationforSaturn’s5-yearlevelterm

　　plan:

　　?Mortalityis90%ofthe1975-80UltimateTableintheabsenceofselective

　　lapsation

　　?qx+5,t?5equals80%ofqx,t

　　?Durationfivelapserateis20%

　　?75%ofdurationfivelapsesareassumedtobeselective

　　Calculatethedurationfivemortalityrateforafemaleage40usingthe

　　conservationofdeathsprinciple.Showallwork.

　　(c)Saturn’scurrenttermvaluationmortalityassumptionisasfollows:

　　?Bestestimateequals95%ofexpectedmortality

　　?Therearenoadjustmentsforanti-selectionatrenewal

　　?Marginforadversedeviationequals3.75/ex

　　Assesstheappropriatenessoftheseassumptionsandrecommendanychanges.

　　COURSE8I:Fall2004-15-GOONTONEXTPAGE

　　IndividualInsurance–Canada

　　AfternoonSession

　　Questions13and14pertaintotheCaseStudy.

　　14.(6points)YouhavebeenhiredbyMercuryLifetoevaluatetheirprimarymarkets.

　　(a)(1point)Describethecriteriainvolvedinevaluatingpotentialtargetmarkets.

　　(b)(5points)EvaluatethesuitabilityofeachofMercuryLife’sprimarymarketsas

　　targetmarkets.

　　15.(5points)XYZLifeplanstoentertheterminsurancemarket.

　　(a)Describethefiveelementsthatshouldbeincludedinthecomprehensivebusiness

　　analysis,aspresentedintheLOMAtext,todecidewhethertoentertheterm

　　insurancemarket.

　　(b)ExplainwhyXYZLifewouldusereinsurancetomanagethefinancialpositionof

　　itstermportfolio.

　　COURSE8I:Fall2004-16-STOP

　　IndividualInsurance–Canada

　　AfternoonSession

　　16.(8points)Youaregiventhefollowingannuitypayments:

　　PaymentDatePaymentatPaymentDate

　　January1,2006$50,000

　　July1,2006$60,000

　　January1,2007$55,000

　　July1,2007$70,000

　　January1,2008$60,000

　　July1,2008$80,000

　　(a)DescribetheModifiedDurationmethodofdurationmatchingincludingany

　　problemsassociatedwithit.

　　(b)CalculatetheModifiedDurationoftheannuitypaymentsasofJuly1,2005,

　　basedonaninterestrateof4%.Showallwork.

　　(c)DescribetheExactMatchingmethodofdurationmatchingincludingany

　　problemsassociatedwithit.

　　(d)Non-callablebondshavebeenpurchasedtoexactlymatchtheannuitypayments

　　asofJuly1,2005usingtheExactMatchingMethod.

　　Informationaboutthebondsisshowninthefollowingtable:

　　YearstoMaturityAnnualCouponRate

　　1.54.0%

　　2.04.5%

　　2.55.0%

　　3.05.5%

　　Bondshaveaparvalueof$100.

　　Couponsarepaidsemi-annually.

　　Determinethenumberofbondswithamaturityof2yearsthatwerepurchased.

　　Showallwork.

　　(e)DescribetheHorizonMatchingmethodanditsappropriatenessfortheannuity

　　payments.

　　**ENDOFEXAMINATION**

　　AFTERNOONSESSION
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