高顿项目
SOA精算师考试——历年经典真题Course8E（三）
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高顿网校
2014-07-21
备战北美精算师的孩儿们，你们身在何处呢？考试的*7复习资料由高顿网校[*{7}*]发布哦——SOA精算师考试——历年经典真题Course8E（三）
8.(8points)DesperateHousefires(DH)isapropertyandcasualty(P&C)insurance
8.(8points)DesperateHousefires(DH)isapropertyandcasualty(P&C)insurance
companyspecializinginhomeinsurancecoverage.SmashandCash(SC)isaproperty
andcasualtyinsurancecompanyspecializinginautoinsurance.
InOurArms(IOA)isaninsuranceholdingcompanythatwishestopurchaseaP&C
company.IOAwantstoevaluatetheinsolvencyriskofDHandSC.
IOAplanstoimplementthefollowinginitiativesintheacquiredcompany:
?Thetargetfortheexpectedpolicyholderdeficitriskmeasurewillbe2.5%or
below.
?DynamicFinancialAnalysiswillbeinstituted.
Youaregiventhefollowingdata:
DesperateHousefiresSmashandCash
Assets:10075
ScenariopxDesperateHousefires
ExpectedLoss
SmashandCash
ExpectedLoss
10.25050
20.610070
30.2150100
(a)ForDHandSC:
i.Calculatetheexpectedpolicyholderdeficitforeachcompany.
ii.Comparetheriskofinsolvencyofthetwocompanies.
iii.Determinethelevelofadditionalassetswhicheachcompanywould
needtohaveinordertomaintainthetargetexpectedpolicyholder
deficitrequiredbyIOA.
iv.Calculatethecapitalheldbyeachfirm,assumingtheadditionalassets,
ifany,determinedin(iii)arecontributedtoeachcompany.
(b)DescribethepurposesandusesofDynamicFinancialAnalysis.
(c)DescribetheelementsthatshouldbeconsideredindesigningaDynamic
FinancialAnalysissystemforIOA.
COURSE8:Fall2005-9-GOONTONEXTPAGE
EnterpriseRiskManagementSegment
AfternoonSession
9.(6points)WindyCityLifeInsuranceCompanysellsUniversalLifeandTerminsurance
totheaffluentmarket.TheULproductisamarketleader,mainlybecauseitutilizes
state-of-the-artandproprietaryinvestmentmanagementstrategies.Thecompany’ssales
havebeenstrongoverthelastthreeyearsandareonpaceforanotherrecordyear.
However,thelargeamountofnewbusinesshasdepletedthecompany’scapitalbase.
TheseniormanagementteamatWindyCityhasidentifiedgrowthopportunitiesforthe
organization,buttheyneedtofreeupcapitalinordertopursuethoseopportunities.
Managementiscontemplatingseparatefinancialreinsurancetransactionsforeachofthe
twolinesofbusinessasawaytoprovidesurplusrelief.Becausethecompanyhasnever
usedreinsuranceinthepast,WindyCitywouldliketokeepthereinsurancestructureas
simpleaspossible.
WindyCityhashiredyouasaconsultantondevelopmentofafinancialreinsurance
program.
(a)(3points)Describethestructureofthreealternativeformsoffinancial
reinsuranceandtheproductsforwhicheachistypicallyused.Includethe
advantagesanddisadvantagesofeachform.
(b)(2points)TakingintoaccountWindyCity’spreferenceforasimplestructure,
recommendanappropriatefinancialreinsuranceplanfor:
i.TheTermlineofbusiness
ii.TheUniversalLifelineofbusiness
Defendyourrecommendations.
(c)(1point)Explainusesoffinancialreinsuranceotherthansurplusrelief.
COURSE8:Fall2005-10-GOONTONEXTPAGE
EnterpriseRiskManagementSegment
AfternoonSession
10.(6points)NirvanaNoveltiesisatheme-basedorganizationsellingconvenienceitemsat
gasstationsandtruckstopsthroughoutNorthAmerica.Nirvanaisaprivatelyheldfirm
withnodebt.
YouaregiventhefollowingcurrentinformationforNirvana:
Annualearnings:$7.5million
Assets:$225million
Liabilities:$160million
Youaregiventhefollowingassumptions:
MarketCapitalizationRate:10%
EffectiveTaxRate:0%
CostofDebt:9%
AtarecenttradeshowinLasVegas,Nirvanabecameinterestedinexpandingintothemebased
keychains.Assumethatfutureinvestmentinthekeychainmarketgeneratesa
15%returnandthatthenetpresentvalueofthisinvestmentwillbe$50million.
(a)CalculateNirvana’sbookvalue,tangiblevalue,andtheprice-to-earningsratio,
priortoexpansionandleverage.
(b)Calculatetheupdatedprice-to-earningsratioforNirvanawith50%ofthe
expansioncostfinancedbydebt.
(c)Describetheimpactonfranchisevalueofassuminganeffectivetaxrategreater
thanzero.
(d)Oneofyourcolleagueshasassertedthat,“regardlessofafirm’sfinancial
structure,thefundamentalbasisforhighP/Esisaccesstosubstantialfranchise
investment.”
Defendorrefutethatstatement.
COURSE8:Fall2005-11-GOONTONEXTPAGE
EnterpriseRiskManagementSegment
AfternoonSession
Questions11-12pertaintotheCaseStudy.
Eachquestionshouldbeansweredindependently.
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高顿网校之名人感触：人，按通常的定义，人是有血有肉的动物，用两足行走，能感觉、思想和判断，但是，在福音书和让雅·克卢·梭看来，人不应该感觉、思想和判断；甚至应该匍匐而行，好让教士轻快地骑在他身上。 —— 霍尔巴赫
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