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SOA历年真题北美精算师November2004Course8I（第五部分）

来源：高顿网校 2014-07-25

　　高顿网校小编热心提醒北美精算师考生一员，关注高顿网校题库，因有更多的*7最全的考试信息与您分享。
　　14. (6 points) You have been hired by Mercury Life to evaluate their primary markets.

　　(a) (1 point) Describe the criteria involved in evaluating potential target markets.

　　(b) (5 points) Evaluate the suitability of each of Mercury Life’s primary markets as

　　target markets.

　　15. (5 points) XYZ Life plans to enter the term insurance market.

　　(a) Describe the five elements that should be included in the comprehensive business

　　analysis, as presented in the LOMA text, to decide whether to enter the term

　　insurance market.

　　(b) Explain why XYZ would use reinsurance to manage the financial position of its

　　term portfolio.

　　COURSE 8I: Fall 2004 -15- STOP

　　Individual Insurance – U.S.

　　Afternoon Session

　　16. (8 points) You are given the following annuity payments:

　　Payment Date Payment at Payment Date

　　January 1, 2006 $50,000

　　July 1, 2006 $60,000

　　January 1, 2007 $55,000

　　July 1, 2007 $70,000

　　January 1, 2008 $60,000

　　July 1, 2008 $80,000

　　(a) Describe the Modified Duration method of duration matching including any

　　problems associated with it.

　　(b) Calculate the Modified Duration of the annuity payments as of July 1, 2005,

　　based on an interest rate of 4%. Show all work.

　　(c) Describe the Exact Matching method of duration matching including any

　　problems associated with it.

　　(d) Non-callable bonds have been purchased to exactly match the annuity payments

　　as of July 1, 2005 using the Exact Matching Method.

　　Information about the bonds is shown in the following table:

　　Years to Maturity Annual Coupon Rate

　　1.5 4.0%

　　2.0 4.5%

　　2.5 5.0%

　　3.0 5.5%

　　Bonds have a par value of $100.

　　Coupons are paid semi-annually.

　　Determine the number of bonds with a maturity of 2 years that were purchased.

　　Show all work.

　　(e) Describe the Horizon Matching method and its appropriateness for the annuity

　　payments.

　　**END OF EXAMINATION**

　　AFTERNOON SESSION
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