高顿项目

国内财会

国际财会

金融证书

公务员

考研

考研

继续教育

继续教育

在职硕博

学历学位

国企求职

军队文职

军队文职

职业提升

语言培训

出国留学

海外留学

SOA精算师考试——北美地区真题系列Course8V（1）

来源：高顿网校 2014-07-31

　　高顿网校报考的学员们，大家别松懈的去参加精算师考试哦，时间还是有的，拿下明年年初的精算师考试资格证吧！
　　COURSE 8: Fall 2005 - 1 - GO TO NEXT PAGE

　　Investment

　　Morning Session

　　**BEGINNING OF EXAMINATION**

　　INVESTMENT

　　MORNING SESSION

　　Questions 1-4 pertain to the Case Study

　　1. (6 points)

　　(a) Assess the consistency of the definition of a derivative in LifeCo’s operational

　　guidelines with the definition under US GAAP.

　　(b) Describe how LifeCo’s Derivative Policy addresses operational and legal risks.

　　(c) Recommend additional controls to better address these risks.

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

　　Investment

　　Morning Session

　　Questions 1-4 pertain to the Case Study

　　2. (5 points) A new actuarial student at LifeCo is very excited about the "profit" your

　　portfolio is generating with MBS. He views "profit" on an MBS bond as the difference

　　between OAS and the liability required interest spread over Treasuries.

　　(a) Explain why "profit" may not equal the difference between OAS and the required

　　interest spread with a Jump Z-bond.

　　(b) Explain why "profit" may not equal the difference between OAS and the required

　　interest spread for more general securities.

　　The student recommends that LifeCo could be more profitable and better durationmatched

　　by replacing the current MBS within the Traditional Life portfolio with Zbonds.

　　Z-bonds, the student argues, have a higher OAS, higher duration, and lower

　　convexity than the current MBS.

　　(c) Evaluate this recommendation.

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

　　Investment

　　Morning Session

　　Questions 1-4 pertain to the Case Study

　　3. (13 points) LifeCo’s management is concerned by the losses arising from the dynamic

　　hedging of the options embedded in its variable annuities. An external report highlighted

　　that the target delta is currently based on a lognormal distribution with the volatility equal

　　to the sample standard deviation of the fund investment return over the past 12 months.

　　(a) Describe the options embedded in the variable annuity product.

　　(b) Describe and compare the following models used to estimate the volatility from

　　past data

　　(i) sample standard deviation

　　(ii) exponentially weighted moving average model

　　(iii) generalized auto-regressive conditional heteroscedasticity

　　(c) Recommend ways to improve the dynamic hedging program.

　　(d) Describe strategies that can be used to minimize the model risk.

　　LifeCo is considering whether to continue its current dynamic hedging program or pursue

　　another risk management strategy.

　　(e) Review alternative strategies for managing the embedded option exposure.

　　(f) Recommend which of these strategies would be most appropriate if the dynamic

　　hedging strategy is discontinued. Justify your recommendation.

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

　　Investment

　　Morning Session

　　Questions 1-4 pertain to the Case Study

　　4. (10 points) You have recently been promoted to Chief ALM Officer at LifeCo. The

　　CEO has called a meeting with you and the pricing actuary to discuss the launch of a new

　　universal life product.

　　(a) (2 points) The CEO, an accountant by training, emphasizes the importance of

　　statutory and GAAP measures to determine the economic value of the insurer.

　　Critique this standpoint.

　　(b) (4 points) Explain how to coordinate LifeCo’s investment and product

　　management strategies for future retentions for this new product to protect

　　LifeCo’s shareholder value from interest rate risk.

　　(c) (1 point) The pricing actuary expects to increase future credited rates as interest

　　rates rise. Explain how LifeCo’s investment strategy should be adjusted to

　　protect shareholder value from interest rate risk.

　　(d) (1 point) LifeCo’s key competitors keep credited rates unchanged regardless of

　　changes in interest rates. Assess how their approach could affect your strategy in

　　part (c).

　　(e) (2 points) Propose a method for LifeCo to implement the changes in parts (c) and

　　(d) that would minimize transaction costs.

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

　　Investment

　　Morning Session

　　5. (7 points) The table below has the 10 largest capital requirements at issue from 100

　　scenarios for a variable annuity with a GMDB of a return of premium. Requirements are

　　given for the real world and risk-neutral approaches. A negative value indicates a

　　surplus.

　　Approach

　　Real

　　World -0.35% -0.30% -0.25% -0.10% -0.10% -0.10% -0.10% 0.40% 1.10% 2.70%

　　Risk-

　　Neutral -0.30% -0.28% -0.26% -0.24% -0.21% -0.17% -0.10% 0.00% 0.20% 0.40%

　　Based on this data, the CEO suggests allocating capital based on the real world approach

　　at a quantile of 91% but if the market performs poorly to switch to the risk-neutral

　　approach with a CTE at 95%.

　　(a) Define the quantile risk measure.

　　(b) Calculate the 91% and 95% quantile measures for each approach.

　　(c) De
　　高顿网校之名人心得：每一个人都具有特殊能力的电路，但大多数人因为不知道，所以无法充分利用，就好像怀重宝而不知其在；只要能发掘出这项秘藏的能力，人类的能力将会完全大改观，也能展现出超乎常人的能力。——超右脑革命作者、日本科学会顾问七田真

版权声明：本条内容自发布之日起，有效期为一个月。凡本网站注明“来源高顿教育”或“来源高顿网校”或“来源高顿”的所有作品，均为本网站合法拥有版权的作品，未经本网站授权，任何媒体、网站、个人不得转载、链接、转帖或以其他方式使用。经本网站合法授权的，应在授权范围内使用，且使用时必须注明“来源高顿教育”或“来源高顿网校”或“来源高顿”，并不得对作品中出现的“高顿”字样进行删减、替换等。违反上述声明者，本网站将依法追究其法律责任。本网站的部分资料转载自互联网，均尽力标明作者和出处。本网站转载的目的在于传递更多信息，并不意味着赞同其观点或证实其描述，本网站不对其真实性负责。如您认为本网站刊载作品涉及版权等问题，请与本网站联系(邮箱fawu@gaodun.com，电话：021-31587497)，本网站核实确认后会尽快予以处理。

展开全文咨询在线

严选名师全流程服务

其他人还搜了热门推荐