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2005年1月北美精算师SOA考试真题精选Course8V（二）

来源：高顿网校 2014-08-06

　　2005年1月北美精算师SOA考试真题精选Course8V（二）——烦请重视小编的辛勤劳作。也为你自己的北美地区的精算师师成绩着想吧。
　　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.

　　(d) Calculate the 91% and 95% CTE measures for each approach.

　　(e) Calculate the standard error for a 64% confidence interval for the 95% quantile

　　risk measure under the actuarial approach.

　　(f) Appraise the CEO’s suggested mix strategy

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

　　Investment

　　Morning Session

　　6. (4 points) You have been given the following assumptions for one of AnnuityCo’s fixedincome

　　asset portfolios:

　　Obligor (A) Loss Given

　　Default

　　(LGDA)

　　Expected Loss

　　Over the Next Year

　　(ELA)

　　1 165,000 660

　　2 235,000 940

　　3 700,000 1,050

　　4 900,000 1,800

　　Total 2,000,000 -

　　Unit of exposure for banding L = 100,000

　　One-year risk-free rate r = 3%

　　(a) Using the Actuarial Approach (CreditRisk+) to measuring credit risk, calculate

　　the probability that the loss occurring over the next year is 300,000 or less.

　　(b) A colleague has suggested that the CreditRisk+ approach avoids the limitations of

　　the CreditMetrics and KMV approaches. Evaluate this comment.

　　COURSE 8: Fall 2005 - 7 - GO TO NEXT PAGE

　　Investment

　　Morning Session

　　7. (4 points) You are on assignment with the portfolio management team that has been

　　investing in equities primarily in the USA. The team is interested in implementing an

　　expanded international equity strategy.

　　Identify the issues you should consider prior to investing in countries or markets with

　　which you are not familiar.

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

　　Investment

　　Morning Session

　　8. (6 points) You are given the following securities for a 1-year period:

　　Security Price Payoff in

　　“Up” State

　　Payoff in

　　“Down” State

　　A 1 1.5 0.7

　　B 15/11 2 1

　　C ? 1.8 0.85

　　Calculate the price of Security C.

　　COURSE 8: Fall 2005 - 9 - STOP

　　Investment

　　Morning Session

　　9. (5 points) CMP Life’s marketing group is introducing a new product that allows the

　　policyholder to allocate premiums between an accumulation fund and a payout annuity.

　　Premium inflow $20 million per month

　　Accumulation fund 35% investment grade convertible bonds

　　65% investment grade corporate bonds

　　Payout annuity 20 year certain, level payments

　　(a) List the assumptions you would need from the pricing actuaries to help you

　　construct investment guidelines for the investment managers.

　　(b) Describe the information you will provide to the investment managers on an ongoing

　　basis.

　　(including both investment and non-investment grade) would be appropriate for

　　the accumulation portion of the portfolio.

　　(d) Describe the considerations you would have to make when instructing the asset

　　managers if CMP Life stops selling this product after 10 years and there are no

　　additional premiums.

　　**END OF EXAMINATION**

　　MORNING SESSION

　　COURSE 8: Fall 2005 - 1 - GO TO NEXT PAGE

　　Investment

　　Afternoon Session

　　**BEGINNING OF EXAMINATION**

　　INVESTMENT

　　AFTERNOON SESSION

　　Beginning With Question 10
　　高顿网校之生活感悟：我想正是伸手摘星的精神，让我们很多人长时间地工作奋战。不论到哪，让作品充分表现这个精神，并且驱使我们放弃佳作，只求杰作。

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