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2003年11月份北美精算师SOA真题珍藏Course8F（第1节）

来源：高顿网校 2014-08-11

　　高顿网校的小编在这里给奋斗在北美精算师战场上的你作揖啦，2003年11月份北美精算师SOA真题珍藏Course8F（第1节），超经典，要看完哦。
　　FINANCE

　　Morning Session

　　**BEGINNING OF EXAMINATION**

　　FINANCE

　　MORNING SESSION

　　Questions 1-5 pertain to the Case Study.

　　Each question should be answered independently.

　　1. (8 points) Mr. Newman has just given J. Peterman the unaudited line-of-business and

　　consolidated financials of NADA for 2002 along with projections for 2003-2005. In

　　addition, NADA has supplied Peterman with an extensive business plan detailing the

　　growth potential and opportunity for each of its business units.

　　The business plan contains an emphasis on growing the GIC business. Mr. Newman

　　plans to do this through the addition of Funding Agreements with 12-day put options.

　　The Funding Agreements will be sold to institutional investors other than retirement

　　plans.

　　Peterman is concerned about NADA’s growing reliance on GIC sales. Peterman has

　　questions about the profitability, liquidity, and investment risks of the GICs.

　　Mr. Newman has asked you to address the rating agency’s concerns.

　　(a) Explain why Peterman may have concerns about increased Funding Agreement

　　sales and their effects on profitability, liquidity, and investment risk.

　　(b) Peterman has recently adopted a view of interest rate risk similar to Moody’s

　　Investor Service. Summarize Moody’s view of interest rate risk, and describe the

　　impact that such views could have on Peterman’s evaluation of NADA’s current

　　and planned GIC business.

　　COURSE 8: Fall 2003 2 GO TO NEXT PAGE

　　FINANCE

　　Morning Session

　　Questions 1-5 pertain to the Case Study.

　　Each question should be answered independently.

　　2. (10 points) In preparation for the upcoming rating agency meeting with J. Peterman,

　　Chief Actuary Kramer has been asked to look into improving the RBC ratio of the term

　　life block. His preference is to change the asset mix backing the product.

　　Manzier Reinsurance has offered to coinsure 35% of NADA’s term life block.

　　(a) (1 point) Calculate the required capital for year-end 2003 for the term life block

　　of business prior to any reinsurance. Show your work.

　　(b) (2 points) Propose terms for the reinsurance transaction with Manzier that would

　　optimize NADA’s RBC ratio for the term life block of business.

　　(c) (3 points) Calculate the required capital for year-end 2003 for the term life block

　　if the reinsurance deal you proposed is consummated. Show your work.

　　(d) (2 points) Calculate the impact of your proposed reinsurance arrangement on

　　NADA’s year-end 2003 RBC ratio. Assume no change to available surplus.

　　Show your work.

　　(e) (2 points) Predict Manzier’s response to the terms of the reinsurance arrangement

　　proposed in part (b).

　　COURSE 8: Fall 2003 3 GO TO NEXT PAGE

　　FINANCE

　　Morning Session

　　Questions 1-5 pertain to the Case Study.

　　Each question should be answered independently.

　　3. (12 points) NADA’s business plan projects increased sales of GICs beginning in 2003.

　　To achieve this plan, the Marketing Department has instituted a commission scale for

　　GIC products sold in 2003, as follows:

　　? a commission payment of 1% of deposits for GICs with 5-year interest rate

　　guarantees

　　? a commission payment of 0.2% of deposits for GICs with 1-year interest rate

　　guarantees

　　? commissions are paid at the time of sale to the broker.

　　Von Nostrum has recommended that NADA start deferring acquisition costs with respect

　　to its new business. Elaine Benes has put you in charge of creating a methodology to

　　capitalize and amortize acquisition costs in accordance with U.S. GAAP.

　　You start by focusing on the GIC line. Assume the following:

　　? NADA’s GICs are FAS 97 investment contracts.

　　? All GICs are sold at the beginning of the year.

　　? There are no withdrawals prior to maturity.

　　? Interest earned is paid to the contract holder on December 31 of each year.

　　? For assets backing the GIC business sold in 2003, NADA expects to earn an

　　investment return of 4.295%.

　　? Expenses are 5 basis points per year.

　　(a) Describe the procedure for determining the capitalization of the acquisition

　　expenses and the subsequent amortization of the DAC asset for the GIC line.

　　(b) Calculate the DAC asset for new business planned to be written in 2003 for the

　　GIC line. Show your work.

　　(c) Calculate the amortization schedule for the DAC asset from part (b). Show your

　　work.

　　COURSE 8: Fall 2003 4 GO TO NEXT PAGE

　　FINANCE

　　Morning Session
　　生命的用途并不在长短而在我们怎样利用它。许多人活的日子并不多，却活了很长久。——高顿网校极品语录

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