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北美2014年精算师考试——SOA历年真题Course8F（1）

来源：高顿网校 2014-07-28

　　高顿网校温馨提醒：已经报名2014年的北美精算师考生们可按照——北美2014年精算师考试——SOA历年真题Course8F（1）进行复习，有事找我们高顿网校，一定负责到底！
　　COURSE 8: Fall 2005 - 1 - GO TO NEXT PAGE

　　Finance and Enterprise Risk Management; Core Segment

　　Morning Session

　　**BEGINNING OF EXAMINATION**

　　FINANCE AND ENTERPRISE RISK MANAGEMENT; CORE SEGMENT

　　MORNING SESSION

　　Questions 1-2 pertain to the Case Study.

　　Each question should be answered independently.

　　1. (13 points) Kelly Ratings recently completed their review of Zoolander and sent you the

　　results, which recommend a downgrade in the rating. Tomas Lyon has asked you to

　　provide a report about this situation.

　　You have gathered the following information as of December 31, 2004:

　　Term net amount at risk is $3,000 million.

　　Whole Life net amount at risk is $1,500 million.

　　The general account annuity business is 100% GICs.

　　Prepare a report that addresses the following points.

　　(a) (2 points) Describe the roles of rating agencies and how they serve the securities

　　markets and the public.

　　(b) (1 point) Describe how rating agencies develop and use liquidity ratios in

　　assessing a firm’s financial strength.

　　based on Kelly’s rating methodology.

　　(d) (4 points) Describe aspects of Kelly’s ratings process and models that could be

　　considered inferior to those used by Standard & Poors, Moody’s and Fitch

　　Ratings.

　　(e) (2 points) List the requirements to become a nationally recognized statistical

　　ratings organization, as defined in the SEC’s proposed rule, and determine

　　whether Kelly meets those requirements.

　　COURSE 8: Fall 2005 - 2 - GO TO NEXT PAGE

　　Finance and Enterprise Risk Management; Core Segment

　　Morning Session

　　Questions 1 - 2 pertain to the Case Study.

　　Each question should be answered independently.

　　2. (10 points) Tomas Lyon, Zoolander’s CEO, has asked to speak with you about two

　　concerns: liquidity risk and credit risk.

　　(a) (2 points) Describe the forms of liquidity risk faced by insurance companies and

　　the importance of maintaining adequate liquidity.

　　(b) (1 point) Comment on Zoolander’s current liquidity position.

　　asks you to build a model to quantify the potential exposure over the next year

　　due to credit risk. Lyon wants an expectation as well as a “worst case scenario”

　　based on a confidence interval of 99%.

　　You have recently become familiar with the CreditMetrics approach to modeling

　　credit risk. Outline a plan to develop a model for Zoolander, including the major

　　calculations and assumptions needed.

　　(d) (3 points) Lyon wants to consider securitization as a means of reducing credit and

　　liquidity risks and as a management tool.

　　Explain the advantages to Zoolander of securitizing:

　　i. Private Placement Bonds

　　ii. A Closed Block of Insurance Liabilities

　　COURSE 8: Fall 2005 - 3 - GO TO NEXT PAGE

　　Finance and Enterprise Risk Management; Core Segment

　　Morning Session

　　3. (12 points) Your company, New West Life, has been seeking expansion into the Asian

　　market. New West’s CEO has negotiated a joint venture opportunity with a Chinese

　　firm, Orient Life.

　　The joint venture will sell investment products to the expanding Chinese middle class.

　　Each of the two partners will have 50% ownership of the venture. New West will invest

　　$600 million, and Orient Life will invest $400 million. Neither partner will be able to

　　exit the venture during the first five years.

　　In addition, New West will have the option, at the end of five years, to buy Orient Life’s

　　share of the partnership, for $550 million.

　　You have assessed that the joint venture has a 50% probability of increasing in value to

　　$2,150 million at the end of five years and a 50% probability of decreasing in value to

　　$600 million at the end of five years. There are no interim cash flows exp

　　ected in the

　　five year period.

　　You are given the following data:

　　New West Life weighted average cost of capital (WACC): k = 10%

　　New West Life fe Beta: β NW = 1.2

　　Joint Venture Beta: β JV = 0.8

　　Market Return: rm = 9%

　　Risk-free Rate: rf = 4%

　　The CEO of New West has asked you to review the joint venture opportunity.

　　(a) Determine the appropriate risk-adjusted discount rate to use to assess this

　　opportunity.

　　(b) Assess the opportunity using a net present value (NPV) approach.

　　(d) Explain to the CEO why the NPV and CCA results are different.

　　(e) Recommend to the CEO whether or not New West should pursue this

　　opportunity. Justify your response.

　　COURSE 8: Fall 2005 - 4 - GO TO NEXT PAGE

　　Finance and Enterprise Risk Management; Core Segment

　　Morning Session

　　4. (8 points) You are the Chief Actuary of Global Insurance, a public company selling only

　　Universal Life, with divisions located in the U.S., Canada and Australia. Your actuaries

　　have discovered pricing inadequacies on the in-force products. Global’s CFO is very

　　interested in the volatility of the company’s results due to both the foreign exchange

　　markets and the pricing issues.

　　(a) Describe the income-based reserve methodology that Global must follow in each

　　jurisdiction in which it is conducting business. Include in your description the

　　accounting implications of the pricing inadequacies and their impact on the

　　current year’s country-specific income statements.

　　(b) Outline a report for the CFO that includes the following:

　　i. The foreign exchange risks that Global has assumed.

　　ii. Reasons why Global might consider hedging those risks.

　　iii. Hedging strategies and instruments that may be used for currency

　　hedging.

　　COURSE 8: Fall 2005 - 5 - GO TO NEXT PAGE

　　Finance and Enterprise Risk Management; Core Segment

　　Morning Session

　　5. (5 points) You have been hired by Salmon Inc. to provide investment strategy advice for

　　Salmon’s Defined Benefit Plan.

　　Salmon’s management is concerned about the accuracy of the plan surplus calculation in

　　light of volatility of the surplus over the past two years.

　　You have been provided the following plan information:

　　Plan Assets $240 million

　　Plan Liabilities $250 million

　　The plan’s current investment strategy, valuation and reporting are:

　　? Required rate of return on assets is 7%. Given this constraint, minimize asset

　　volatility.

　　? Liability risk is determined using Monte Carlo testing.

　　? Discount rate for liabilities tied to expected return on assets

　　? The annual report to Management provides a best estimate, 20-year funding level

　　forecast, measured on a GAAP basis.

　　(a) Describe weaknesses in the current strategy, valuation and reporting.

　　Recommend improvements to better manage market-related risks of the pension

　　plan.

　　(b) Outline methods to control pension plan risks that are not market related.

　　COURSE 8: Fall 2005 - 6 - GO TO NEXT PAGE

　　Finance and Enterprise Risk Management; Core Segment

　　Morning Session

　　6. (8 points) Moby Life is considering selling an in-force block of term insurance. You are

　　the appointed actuary of the company and have been asked by the CEO to estimate the

　　fair value of the block as of December 31, 2005.

　　Future gross cash flows have been projected as follows:

　　2006 2007 2008

　　Premiums 500 490 486

　　Expenses & Commissions 75 74 73

　　Death Claims 64 66 66

　　Assume there are no further cash flows beyond 2008.

　　Moby Life reinsures 50% of the business under a coinsurance treaty and receives 10% of

　　ceded premium as a reinsurance allowance.

　　You have been provided with the following information:

　　Risk-free rate: 4%

　　Rate of return on assets: 8%

　　Cost of capital: 15%

　　Benchmark equity to liability ratio: 10%

　　Effective tax rate: 35%

　　(a) (2 points) Describe the difference between a fair value methodology and U.S.

　　GAAP for valuation of policy liabilities.

　　(b) (4 points) Use a cost-of-capital approach to determine the fair value of the policy

　　liabilities for the term block of business as of December 31, 2005. Assume all

　　cash flows occur at mid-year. Show your work.

　　if it is kept with Moby Life rather than being sold. Suggest an alternate measure

　　for valuing the business if it is retained by Moby Life. Describe the differences

　　between this measure and the fair value methodology in (b).

　　COURSE 8: Fall 2004 - 7 - STOP

　　Finance and Enterprise Risk Management; Core Segment

　　Morning Session

　　7. (4 points) Allegro Annuity is an insurance company domiciled in the U.S. that issues a

　　full range of fixed annuity products. Starting this year, Allegro is required to comply

　　with the cash flow testing C-3a risk-based capital requirement. The company has hired

　　you to help them understand the impact of this requirement.

　　(a) Compare the C-3a cash flow testing requirement with the factor-based C-3a

　　requirement.

　　(b) Allegro currently holds statutory reserves that are calculated using the CARVM

　　methodology and meet minimum regulatory standards.

　　Explain why Allegro may still be required to hold additional capital under the C-

　　3a cash flow testing requirements.

　　**END OF EXAMINATION**

　　MORNING SESSION

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

　　Finance Segment

　　Afternoon Session

　　**BEGINNING OF EXAMINATION**

　　FINANCE SEGMENT

　　AFTERNOON SESSION

　　Beginning With Question 8

　　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.

　　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 transacti

　　ons 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.

　　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.

　　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.

　　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.

　　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
　　高顿网校之短句汇编：青年不是生活在过去的人，也不仅是生活在现在的人，而是生活在未来的人。——池田大作

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