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SOA精算师真题北美专区系列November2004CourseV（*9节内容）

来源：高顿网校 2014-08-13

　　别光顾着死做习题，配合北美精算师大纲讲义更重要！SOA精算师真题北美专区系列November2004CourseV（*9节内容），请多看看。
　　Investment

　　Morning Session

　　**BEGINNING OF EXAMINATION**

　　INVESTMENT

　　MORNING SESSION

　　Questions 1-4 pertain to the Case Study

　　1. (5 points) LifeCo’s ALM Report indicates a need to rebalance the assets supporting the

　　non-traditional life segment.

　　(a) Describe the constraints on asset sales when rebalancing this portfolio.

　　(b) Evaluate LifeCo’s investment strategy for this segment, and recommend any

　　necessary changes.

　　COURSE 8: Fall 2004 -2- GO ON TO NEXT PAGE

　　Investment

　　Morning Session

　　Questions 1-4 pertain to the Case Study

　　2. (9 points) LifeCo is considering selling its closed block of Institutional Pension (GIC).

　　Liability book value (in $ millions) $1,500

　　Maturity (in years) 2

　　Annual liability crediting rate 6.60%

　　1 year risk-free rate 1%

　　You are given the following information:

　　Scenario 1 Scenario 2

　　1 year risk-free rate 1 year forward 3% 2%

　　Withdrawal rate at the end of year 1 4% 2%

　　Withdrawal rate at the end of year 2 100% 100%

　　Probability 30% 70%

　　There are no new deposits.

　　(a) (4 points) Compare the option pricing method and the actuarial appraisal method

　　for estimating the fair value of liabilities.

　　(b) (2 points) Outline practical considerations in applying the option pricing method.

　　(c) (3 points) Calculate the fair value of liabilities using the option pricing method

　　with the risk- free interest rate for discounting.

　　COURSE 8: Fall 2004 -3- GO ON TO NEXT PAGE

　　Investment

　　Morning Session

　　Questions 1-4 pertain to the Case Study

　　3. (9 points) You are LifeCo’s Investment Actuary and a member of the ALM Committee.

　　The Committee is currently reviewing the risk exposures of the Non-Traditional Life

　　portfolio as contained in your December 31 ALM Report.

　　? You have recently switched LifeCo’s ALM reporting to effective duration

　　from modified duration

　　? Your effective duration calculations use a base yield curve and a yield

　　curve shocked by 1 basis point

　　? No explicit hedge has been set up for the minimum credited interest

　　guarantees

　　? LifeCo’s head of Investments has proposed the sale of $50 million (in

　　present value) of 15-year zero-coupon bonds in order to increase cash

　　holdings to partially address the key rate duration mismatch

　　(a) Describe the limitations of LifeCo’s reported effective durations as an interest rate

　　risk measure.

　　(b) Estimate the economic impact of a 100bp drop in interest rates based on your

　　reported effective durations.

　　(c) Compare this estimate with your reported “margin squeeze” impact and briefly

　　explain reasons for any differences to the ALM committee.

　　(d) Describe any interest rate ‘bets’ evident from the reported partial durations.

　　(e) Estimate the revised partial durations following this proposed transaction.

　　(f) Estimate the revised impact of margin squeeze following this proposed

　　transaction.

　　(g) Explain how the potential margin squeeze should be incorporated into any

　　assessment of interest rate bets.

　　COURSE 8: Fall 2004 -4- GO ON TO NEXT PAGE

　　Investment

　　Morning Session

　　Questions 1-4 pertain to the Case Study
　　你是否愿意扬名？面对着那些可歌可泣的壮举，勇敢的人们定会奋起，不管它满城风雨。——高顿网校名人信念

扫一扫微信，关注精算师*7考试动态

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