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北美精算师考试SOA——真题集合Course8F（3）

来源：高顿网校 2014-07-21

　　我们高顿网校小编们含辛茹苦为您收集全了北美精算师考试SOA——真题集合Course8F（3），距离考试不久了啦，赶紧背起来了哦。
　　8. (8 points) Desperate Housefires (DH) is a property and casualty (P&C) insurance

　　company specializing in home insurance coverage. Smash and Cash (SC) is a property

　　and casualty insurance company specializing in auto insurance.

　　In Our Arms (IOA) is an insurance holding company that wishes to purchase a P&C

　　company. IOA wants to evaluate the insolvency risk of DH and SC.

　　IOA plans to implement the following initiatives in the acquired company:

　　? The target for the expected policyholder deficit risk measure will be 2.5% or

　　below.

　　? Dynamic Financial Analysis will be instituted.

　　You are given the following data:

　　Desperate Housefires Smash and Cash

　　Assets: 100 75

　　Scenario px Desperate Housefires

　　Expected Loss

　　Smash and Cash

　　Expected Loss

　　1 0.2 50 50

　　2 0.6 100 70

　　3 0.2 150 100

　　(a) For DH and SC:

　　i. Calculate the expected policyholder deficit for each company.

　　ii. Compare the risk of insolvency of the two companies.

　　iii. Determine the level of additional assets which each company would

　　need to have in order to maintain the target expected policyholder

　　deficit required by IOA.

　　iv. Calculate the capital held by each firm, assuming the additional assets,

　　if any, determined in (iii) are contributed to each company.

　　(b) Describe the purposes and uses of Dynamic Financial Analysis.

　　(c) Describe the elements that should be considered in designing a Dynamic

　　Financial Analysis system for IOA.

　　COURSE 8: Fall 2005 - 9 - GO ON TO NEXT PAGE

　　Finance Segment

　　Afternoon Session

　　9. (6 points) Windy City Life Insurance Company sells Universal Life and Term insurance

　　to the affluent market. The UL product is a market leader, mainly because it utilizes

　　state-of-the-art and proprietary investment management strategies. The company’s sales

　　have been strong over the last three years and are on pace for another record year.

　　However, the large amount of new business has depleted the company’s capital base.

　　The senior management team at Windy City has identified growth opportunities for the

　　organization, but they need to free up capital in order to pursue those opportunities.

　　Management is contemplating separate financial reinsurance transactions for each of the

　　two lines of business as a way to provide surplus relief. Because the company has never

　　used reinsurance in the past, Windy City would like to keep the reinsurance structure as

　　simple as possible.

　　Windy City has hired you as a consultant on development of a financial reinsurance

　　program.

　　(a) (3 points) Describe the structure of three alternative forms of financial

　　reinsurance and the products for which each is typically used. Include the

　　advantages and disadvantages of each form.

　　(b) (2 points) Taking into account Windy City’s preference for a simple structure,

　　recommend an appropriate financial reinsurance plan for:

　　i. The Term line of business

　　ii. The Universal Life line of business

　　Defend your recommendations.

　　(c) (1 point) Explain uses of financial reinsurance other than surplus relief.

　　COURSE 8: Fall 2005 - 10 - GO ON TO NEXT PAGE

　　Finance Segment

　　Afternoon Session

　　10. (6 points) Nirvana Novelties is a theme-based organization selling convenience items at

　　gas stations and truck stops throughout North America. Nirvana is a privately held firm

　　with no debt.

　　You are given the following current information for Nirvana:

　　Annual earnings: $7.5 million

　　Assets: $225 million

　　Liabilities: $160 million

　　You are given the following assumptions:

　　Market Capitalization Rate: 10%

　　Effective Tax Rate: 0%

　　Cost of Debt: 9%

　　At a recent trade show in Las Vegas, Nirvana became interested in expanding into themebased

　　key chains. Assume that future investment in the key chain market generates a

　　15% return and that the net present value of this investment will be $50 million.

　　(a) Calculate Nirvana’s book value, tangible value, and the price-to-earnings ratio,

　　prior to expansion and leverage.

　　(b) Calculate the updated price-to-earnings ratio for Nirvana with 50% of the

　　expansion cost financed by debt.

　　(c) Describe the impact on franchise value of assuming an effective tax rate greater

　　than zero.

　　(d) One of your colleagues has asserted that, “regardless of a firm’s financial

　　structure, the fundamental basis for high P/Es is access to substantial franchise

　　investment.”

　　Defend or refute that statement.

　　COURSE 8: Fall 2005 - 11 - GO ON TO NEXT PAGE

　　Finance Segment

　　Afternoon Session

　　Questions 11-12 pertain to the Case Study.

　　Each question should be answered independently.
　　高顿网校之做人原则：死生一事付鸿毛，人生到世方英杰。 —— 秋瑾

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