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SOA真题北美精算师考试精选2005Course8E（第四块内容）

来源：高顿网校 2014-08-06

　　SOA真题北美精算师考试精选2005Course8E（第四块内容），我们会尽力为您的考试成绩增加一定量的分数。
　　11. (8 points) As the new CFO of Zoolander, you call Peter Fish, the CIO, to discuss his new

　　derivative initiative. You share some of your concerns regarding oversight and risk

　　management with respect to this initiative. Peter assures you that his team would be

　　receptive to audit reviews but does not want to see the team constrained in their day-today

　　operations and in their ability to achieve their profit objectives.

　　(a) Identify the potential operational risk exposures that are contained in the proposed

　　derivative initiative.

　　(b) Reference the Group of Thirty (G-30) recommendations, and for each suggest

　　changes to Zoolander’s derivative initiative that would reduce operational risk

　　concerns.

　　12. (6 points) Zoolander is required to comply with Section 404 of the Sarbanes-Oxley Act

　　by submitting an annual report with respect to internal control over financial reporting.

　　In preparation, the Board of Directors has asked you for the following items.

　　(a) (1 point) Identify the specific assurances that must be made with respect to

　　internal control over financial reporting under the Act.

　　(b) (2 points) Identify other specific areas the Board of Directors should question and

　　discuss with management to determine if internal controls over financial reporting

　　are sound and effective.

　　they apply to Zoolander, citing specific examples to support your answer.

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

　　Enterprise Risk Management Segment

　　Afternoon Session

　　13. (10 points) Your company, Global Dynamic Life & Annuity (GL&A), is currently

　　considering offering an Equity-Indexed Annuity product. There are four proposed

　　designs under consideration, each employing a different index methodology:

　　i. Point-to-Point (PTP)

　　ii. Compound Annual Ratchet (CAR), with a 2% floor

　　iii. Simple Annual Ratchet (SAR), with a 0% floor

　　iv. High Water Mark (HWM).

　　The product being considered is a 5-year single premium $1,000 contract with a

　　guarantee of 2% on 93% of the premium. For each equity-linked option, a participation

　　rate of 65% will be used.

　　You are provided with the following additional data and information for modeling

　　purposes:

　　? Risk-free rate of interest for next five years: 5%

　　? Returns on equity-linked index for next five years:

　　Year 1: 7%

　　Year 2: 1%

　　Year 3: 6%

　　Year 4: 10%

　　Year 5: -18%

　　? Expenses are assumed to be 1.5% of premium.

　　(a) (6 points) Using the data and assumptions provided:

　　i. Calculate the payoff at the end of the fifth year under each of the four

　　contract designs. Show your work.

　　ii. Calculate the percentage of the premium that would be available to pay

　　for the indexation benefit. Show your work.

　　(b) (2 points) For each proposed contract design, describe the approach you would

　　use to determine whether the proposed design allows for sufficient premiums to

　　purchase call options for the index guarantee. You do not need to complete the

　　calculations.

　　option cost under each indexation method and explain your rationale.

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

　　Enterprise Risk Management Segment

　　Afternoon Session

　　14. (10 points) Your company, Jabba and Associates, has a client whose entire holdings are

　　invested in two stocks:

　　Number of Shares Current Price per Share Current Value

　　Stock A (SA) 1 million $10.00 $10,000,000

　　Stock B ( ) SB 2 million $5.00 $10,000,000

　　Total $20,000,000

　　You have been provided the following data:

　　Variance-Covariance: Threshold Limits as a Function

　　(based on daily historical observations) of the Confidence Level:

　　Stock A Stock B 99.97% -3.43

　　Average 0.10% 0.05% 99.87% -3.00

　　Standard Deviation 2.00% 1.00% 99% -2.33

　　Correlation Coefficient ρ A,B = 0.2 95% -1.65

　　Historical Simulation:

　　Monte Carlo Simulation:

　　Rank 10-day Returns Rank 10-day Returns

　　100 -9.6% 1000 -15.7%

　　99 -8.9% 999 -15.3%

　　98 -7.9% : :

　　: : 991 -14.9%

　　90 -7.1% 990 -14.7%

　　89 -6.9% 989 -14.4%

　　: : : :

　　50 1.1% 500 0.8%

　　: : : :

　　11 3.4% 11 3.2%

　　10 3.7% 10 3.5%

　　: : : :

　　2 8.2% 2 9.1%

　　1 9.0% 1 10.4%

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

　　Enterprise Risk Management Segment

　　Afternoon Session
　　高顿网校之名人心得：我们的理想应该是高尚的。我们不能登上顶峰，但可以爬上半山腰，这总比待在平地上要好得多。如果我们的内心为爱的光辉所照亮，我们面前前又有理想，那么就不会有战胜不了的困难。

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