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【2005北美精算师】SOA考试真题汇编Course8IC（最后一节课）

来源：高顿网校 2014-08-07

　　【2005北美精算师】SOA考试真题汇编Course8IC（最后一节课），双手奉送给全国的精算师（北美）考生们，真心希望能帮助到所有的童鞋！
　　14. (12 points) ABC Life currently sells a guaranteed, 10-year level premium term product

　　in the U.S. market. After the initial 10-year period, coverage is annually renewable.

　　Recent sales results have been disappointing. ABC is developing an indeterminate

　　premium version to replace the current product. Under the new design, premium rates

　　will be guaranteed for the first two years of the contract.

　　(a) Describe the types of product innovations as outlined in LOMA.

　　(b) With respect to indeterminate premium term products:

　　(i) Describe the product design.

　　(ii) Explain the advantages and disadvantages compared to a guaranteed

　　premium product design from the company’s perspective.

　　(c) ABC has no mortality experience for an indeterminate premium product.

　　Describe factors ABC needs to consider in using its own existing mortality data to

　　set the mortality assumption used to price the new product.

　　(d) Describe the following methods of calculating reserves for renewable term

　　products:

　　(i) Unitary method.

　　(ii) Contract Segmentation method.

　　Course 8I: Fall 2005 -14- GO ON TO NEXT PAGE

　　Individual Insurance – Canada

　　Afternoon Session

　　15. (8 points)

　　(a) Describe the following methods of matching assets and liabilities.

　　(i) Exact matching,

　　(ii) Duration matching,

　　(iii) Horizon matching, and

　　(iv) Product cash flow matching.

　　(b) You are given:

　　Time Liability Cash Flow

　　1 25

　　2 25

　　3 100

　　4 100

　　5 0

　　6 0

　　Calculate the modified duration and convexity of the liability cash flows using an

　　interest rate of 7%. Show all work.

　　(c) The investment department suggests an asset portfolio with modified duration

　　equal to the liability cash flow modified duration, with the following asset cash

　　flows:

　　Time Asset Cash Flow

　　1 4.68

　　2 0.32

　　3 234.07

　　4 0.32

　　5 0.00

　　6 10.72

　　(i) Evaluate the effectiveness of using the proposed asset portfolio to

　　immunize the liability cash flows.

　　(ii) Describe ways to improve the asset and liability matching for this

　　portfolio.

　　Show all work.

　　Course 8I: Fall 2005 -15- GO ON TO NEXT PAGE

　　Individual Insurance – Canada

　　Afternoon Session

　　16. (5 points) You are given:

　　Cash Claims Paid by Year of Incurral

　　Incurral Year

　　Calendar Year 2000 2001 2002 2003 2004

　　2000 5

　　2001 10 6

　　2002 4 12 7

　　2003 3 7 14 7

　　2004 1 2 2 13 6

　　End of Year Claim Reserve

　　Incurral Year

　　Calendar Year 2000 2001 2002 2003 2004

　　2000 15

　　2001 10 16

　　2002 8 5 17

　　2003 5 4 6 18

　　2004 4 3 5 6 17

　　(a) Describe the common tests of claim reserve adequacy.

　　(b) Evaluate the sufficiency of the claim reserves. Show all work.

　　Course 8I: Fall 2005 -16- STOP

　　Individual Insurance – Canada

　　Afternoon Session

　　17. (4 points) A U.S. insurance company has historically sold only whole life insurance.

　　Sales have been declining steadily over the last few years. Senior management expects to

　　introduce a universal life product that provides the customer with more flexibility.

　　(a) Describe features of a universal life product that provide flexibility to the

　　customer.

　　(b) The following product design is proposed:

　　? The premium load is 15%.

　　? The guaranteed interest rate is 5.00%.

　　? A surrender charge applies for 5 years.

　　? The policy fee is $5 per month.

　　? Unscheduled premium payments are not permitted.

　　? There are no riders.

　　? The policy loan interest rate is equal to the current interest rate.

　　? The guaranteed interest bonus is 1% beginning in year 11.

　　Evaluate the proposed design and recommend any changes.

　　**END OF EXAMINATION**
　　人生最重要的不是努力，不是奋斗，而是抉择。——高顿网校名人信念

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