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北美SOA真题Course8F（二）——SOA精算师考试

来源：高顿网校 2014-07-28

　　今天高顿网校小编一上午汇总了北美SOA真题Course8F（二）——SOA精算师考试，请逐一进行章节复习。
　　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世纪考试网版权所有

　　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

　　14. (6 points) You are the CFO of a mid-sized, publicly traded U.S. corporation that

　　develops software for the retail industry. The firm has been in existence for twenty years.

　　Initial growth was explosive,

　　but over the last four to six years both your firm’s and the

　　industry’s growth rates have stabilized. Thanks to your efficient management, the firm

　　has shown consistent profits over this period.

　　The CEO has expressed an interest in instituting a dividend for the first time.

　　(a) Compare and contrast the signaling model and agency cost model for corporate

　　dividends. Describe what outcomes would be predicted under each if your firm

　　instituted a dividend.

　　(b) Describe the firm-specific factors to be considered in deciding whether or not to

　　institute a dividend. Relate these factors to your firm’s situation and indicate

　　whether or not they support the CEO’s idea.

　　(c) Recommend a dividend policy for the corporation and support your answer.

　　COURSE 8: Fall 2005 - 15 - STOP

　　Finance Segment

　　Afternoon Session

　　15. (5 points) You are the CFO for TUNA Life Insurance Company. TUNA has three major

　　blocks of business: an annuity line, a life insurance line, and an individual disability line.

　　Below are statistics for the three lines of business:

　　Line of

　　Business Pre-tax Return

　　on Assets (ROA)

　　Allocated

　　Debt

　　Capital

　　Allocated

　　Equity Capital世纪考试网版权所有

　　Annuity 9% $90 million $10 million

　　Life Insurance 10% $70 million $30 million

　　Individual Disability 11% $50 million $50 million

　　TUNA currently pays 7% to service its debt. Equity investors require a 13% return. The

　　marginal tax rate for TUNA is 30%.

　　(a) Calculate the Economic Value Added (EVA) for each business unit. Show your

　　work.

　　(b) TUNA’s chief actuary wants to implement product pricing changes so that all

　　lines of business have a positive EVA. Assuming that the allocated debt and

　　equity capital do not change, establish minimum ROAs for each business line to

　　achieve. Show your work.

　　(c) Explain the advantages and disadvantages of an EVA financial management

　　system for monitoring business line performance.

　　**END OF EXAMINATION**

　　AFTERNOON SESSION
　　高顿网校之心灵鸡汤：青年的朝气倘已消失，前进不已的好奇心已衰退以后，人生就没有意义了。——穆勒

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