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SOA真题Course8V北美精算师2005那年的*9堂课

来源：高顿网校 2014-08-06

　　SOA真题Course8V北美精算师2005那年的*9堂课，内容不是一般的多，可分开数日滚雪球法记忆。
　　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
　　没有自由的秩序和没有秩序的自由，同样具有破坏性。——高顿网校之名人名言

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