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北美精算师考试SOA：经典真题Course8F（四）

来源：高顿网校 2014-07-21

　　要踏入2014年10月北美精算师考场考友们，高顿网校的小编这厢有礼啦，请看北美精算师考试SOA：经典真题Course8F（四）。
　　11. (17 points) Steve Smith, a trusted insurance company analyst at a large investment bank,

　　makes a public comment that Zoolander Life Insurance Company is an attractive

　　takeover candidate. Tomas Lyon asks you, the CFO, for your thoughts on these

　　comments.

　　(a) (4 points) Outline why Zoolander might be attractive as a takeover candidate.

　　Include details on the following:

　　i. Capital Structure

　　ii. Product mix

　　iii. ROE / Financial Results

　　iv. Corporate Orgainzation and Management

　　(b) (2 points) Describe protections that currently exist as well as further steps that

　　could be taken to prevent a hostile takeover of Zoolander.

　　(c) (2 points) Zoolander’s desired capital structure, as described in the Kelly Ratings

　　memo, is 30% debt. Explain the advantages and disadvantages of altering the

　　mixture of debt and equity in the capital structure.

　　(d) (4 points) Using the financial data in the case study, evaluate the appropriateness

　　of the 30% leverage ratio. Assume the standard deviation of return on assets is

　　10%. Show your work.

　　(e) (2 points) Assume Zoolander moves to its desired capital structure, with a

　　projected total value of outstanding securities of $1.2 billion. Evaluate whether

　　Zoolander’s target pre-tax ROE of 15% is reasonable. Show your work.

　　(f) (3 points) Recommend an appropriate capital structure for Zoolander. Describe

　　three ways that the firm can deploy its excess capital.

　　COURSE 8: Fall 2005 - 12 - GO ON TO NEXT PAGE

　　Finance Segment

　　Afternoon Session

　　Questions 11-12 pertain to the Case Study.

　　Each question should be answered independently.

　　12. (8 points) Zoolander is considering an acquisition of ABC Annuity, a small annuity

　　company. ABC Annuity focuses entirely on selling fixed annuities through independent

　　brokers. The company was founded only five years ago and has grown rapidly.

　　At December 31, 2004, ABC Annuity reported the following numbers in their financial

　　statements:

　　? GAAP reserves = $3,450 million

　　? Statutory reserves = $3,500 million

　　? Required Capital = $157 million

　　Projected financial statement values (in millions) for ABC Annuity are below:

　　Income Statement Data 2005 2006 2007

　　Premium 267 268 270

　　Investment Income 226 243 261

　　Death Benefits 2 7 5

　　Surrender Benefits 100 101 101

　　Operating Expenses 30 32 35

　　Commissions 9 9 9

　　Taxes 8 9 9

　　Balance Sheet Data as of December 31 2005 2006 2007

　　Statutory Reserves 3,763 4,045 4,348

　　GAAP Reserves 3,462 3,721 4,000

　　Tax Reserves 3,650 3,923 4,218

　　Required Capital 169 182 196

　　In preparation for a potential bid, CEO Tomas Lyon asks you to evaluate the acquisition.

　　(a) (1 point) Identify additional data needed to perform an actuarial appraisal on

　　ABC Annuity.

　　(b) (2 points) Calculate the present value of distributable cash flows for the years

　　provided using Zoolander’s desired WACC as the discount rate. Assume cash

　　flows occur at the end of each year. Show your work.

　　(c) (3 points) Outline the key considerations that should be taken into account in

　　deciding to proceed with the acquisition.

　　COURSE 8: Fall 2005 - 13 - GO ON TO NEXT PAGE

　　Finance Segment

　　Afternoon Session

　　12. Continued

　　(d) (2 points) Suggest at least three distinct ways that capital could be raised by

　　Zoolander to acquire ABC Annuity. For each, indicate:

　　i. how appropriate an option this would be for Zoolander in raising capital

　　for this acquisition

　　ii. costs associated with implementing that option

　　iii. the impact on existing Zoolander equity holders.

　　13. (4 points) Leede is a medium-sized Property and Casualty Insurance Company that is

　　publicly owned. Leede’s marginal tax rate is 30%.

　　An investment in one of the following two par bonds is being considered:

　　? Bond #1 – Fully taxable bond yielding 8% per year maturing in 2 years

　　? Bond #2 – Tax-exempt bond yielding 6% per year maturing in 2 years

　　Weather models suggest a 60% chance of extreme hurricane activity over the next two

　　years that would completely eliminate all of Leede’s taxable income.

　　(a) Assuming both bonds have the same risk profile, demonstrate which investment

　　Leede should choose today. Show your work.

　　(b) Assume after one year the bonds are still trading at par. There has been no

　　hurricane damage and there is only a 10% chance of hurricane loss over the next

　　year. Calculate the level of transaction costs that would make Leede indifferent to

　　switching investments at that time.

　　(c) Explain how your answer in (b) would be impacted if the risk profiles of the two

　　bonds were no longer the same.

　　COURSE 8: Fall 2005 - 14 - GO ON TO NEXT PAGE

　　Finance Segment

　　Afternoon Session
　　高顿网校之做人道理：即使自己变成一撮泥土，只要它是铺在通往真理的大道上，让自己的伙伴们大踏步地冲过去，也是*5的幸福。 —— 吴运铎

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