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SOA历届2004年11月Course8I真题（精算师第四堂课）

来源：高顿网校 2014-08-08

　　这里有网友是考北美精算师的请举个手啦，SOA历届2004年11月Course8I真题（精算师第四堂课），快来装入脑子里哦。
　　10. Continued

　　(a) (2 points) You are given the following values of the S&P 500 index:

　　Time S&P 500

　　0 1000

　　1 1050

　　2 1250

　　3 1175

　　Calculate the Index Account Value as a percentage of the single premium at the

　　end of the Index Period. Show all work.

　　(b) (5 points) A 100% increase in the present value of index-based interest budget

　　generates a 150% increase in the demand for the product, measured in dollars of

　　single premium sold.

　　(i) Describe factors that affect the price elasticity of demand.

　　(ii) Determine the change in the present value of profits in dollars from

　　offering the proposed campaigns and recommend whether to proceed.

　　Show all work.

　　(c) (5 points) With respect to cash flow testing, assess the selection of a long-term

　　lapse assumption for this product, considering the effects of the proposed

　　campaigns.

　　COURSE 8I: Fall 2004 -11- GO ON TO NEXT PAGE

　　Individual Insurance – U.S.

　　Afternoon Session

　　11. (9 points) A financial review of the term portfolio reveals a lower level of profitability

　　from the 5-year level term product than originally projected. You have been asked to

　　re-price the 5-year level term product for your brokerage and direct response distribution

　　channels.

　　(a) Compare the effect each of these distribution channels has on the following

　　assumptions.

　　(i) Mortality

　　(ii) Lapse

　　(iii) Interest

　　(iv) Expense

　　(b) Describe elements of compensation used for brokerage distribution.

　　(c) The term portfolio has experienced lower policy persistency.

　　(i) Describe the factors that affect persistency.

　　(ii) Recommend steps to improve persistency for the product.

　　COURSE 8I: Fall 2004 -12- GO ON TO NEXT PAGE

　　Individual Insurance – U.S.

　　Afternoon Session

　　12. (6 points) XYZ Mutual is planning to sell a new 5-year term dividend-paying product

　　subject to SFAS120 guidelines.

　　You are given the following projected best estimate values:

　　Acquistion Expenses Maintenance

　　Year

　　Gross

　　Premiums

　　Death

　　Benefits

　　Investment

　　Income

　　On NLP

　　Reserves Deferrable

　　Non-

　　Deferrable Expenses Dividends

　　1 1000 224 45 550 100 250 70

　　2 900 237 63 225 98

　　3 810 263 54 203 124

　　4 770 274 45 193 149

　　5 730 287 39 183 175

　　You are also given the following projected changes to the Net Level Premium (NLP)

　　reserve:

　　Year

　　Change Due to

　　Premiums

　　Change Due to

　　Benefits

　　Change Due to

　　Interest

　　1 600 -337 36

　　2 540 -356 50

　　3 486 -394 43

　　4 462 -412 36

　　5 438 -431 31

　　Assume:

　　? No surrender Benefits

　　? Discount rate equals 6%

　　? No taxes

　　(a) Contrast the SFAS120 and SFAS60 accounting methodologies with respect to the

　　recognition of income statement items.

　　(b) Assess the recoverability of the deferred expenses for this policy and recommend

　　any changes if necessary. Show all work.

　　COURSE 8I: Fall 2004 -13- GO ON TO NEXT PAGE

　　Individual Insurance – U.S.

　　Afternoon Session

　　Questions 13 and 14 pertain to the Case Study.

　　13. (8 points) The valuation actuary at Saturn Life is concerned about the mortality

　　experience of the term portfolio.

　　(a) Assess the effect of Saturn’s conversion, re-underwriting and termination options

　　on the renewal ART mortality assumption.

　　(b) You are given the following additional information for Saturn’s 5-year level term

　　plan:

　　? Mortality is 90% of the 1975-80 Ultimate Table in the absence of selective

　　lapsation

　　? qx+5, t?5 equals 80% of qx, t

　　? Duration five lapse rate is 20%

　　? 75% of duration five lapses are assumed to be selective

　　Calculate the duration five mortality rate for a female age 40 using the

　　conservation of deaths principle. Show all work.

　　(c) Current best estimate assumptions have been updated to reflect higher expected

　　mortality due to increased anti-selection at renewal. Other assumptions remain

　　unchanged. You are given the following as of December 31, 2003, based on

　　current best estimate assumptions:

　　? PV benefits and expenses equals $15,000,000

　　? PV premiums equals $50,000,000

　　(i) Calculate the premium deficiency for the term portfolio. Show all work.

　　(ii) Identify any required adjustments to the December 31, 2003 U.S. GAAP

　　Term Life Insurance balance sheet.

　　COURSE 8I: Fall 2004 -14- GO ON TO NEXT PAGE

　　Individual Insurance – U.S.

　　Afternoon Session

　　Questions 13 and 14 pertain to the Case Study.
　　读书是易事，思索是难事，但两者缺一，便全无用处。——高顿网校旷世名言

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