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北美地区精算师2004年11月真题CourseV（二）

来源：高顿网校 2014-08-13

　　下面的北美地区精算师2004年11月真题CourseV（二），装入收藏夹哦。然后抓紧时间看其他往年的大纲。
　　4. (9 points) LifeCo wants to modify the design of its Equity Linked GIC product to reduce

　　the impact of a large decline in the stock market just before maturity. LifeCo believes

　　that these modifications should be done in such a way that the participation rate is as high

　　as possible and the profit margin remains the same.

　　The Company is also concerned about the cost of purchasing call options for the Equity

　　Linked GICs and is considering applying the dynamic hedging program it developed for

　　its Variable Annuities.

　　(a) Compare the options embedded in LifeCo’s Equity Linked GIC and Variable

　　Annuities.

　　(b) Recommend potential changes to the Equity Linked GIC product that would meet

　　LifeCo’s goals for the redesigned product.

　　(c) Describe the process used to evaluate the cost and efficiency of dynamic hedging.

　　(d) Evaluate LifeCo’s Variable Annuity dynamic hedging program as an alternative

　　to purchasing call options for its Equity Linked GIC product.

　　(e) Contrast the hedging of Equity Linked GICs as a stand-alone product to that of an

　　investment option of a Variable Universal Life product.

　　COURSE 8: Fall 2004 -5- GO ON TO NEXT PAGE

　　Investment

　　Morning Session

　　5. (8 points) You are constructing a model that will be used for dynamically hedging the

　　guaranteed minimum death benefits (GMDB) on a variable annuity portfolio. The

　　following models have been proposed:

　　(i) Lognormal

　　(ii) Regime Switching

　　(iii) Time Series Model with GARCH Volatility

　　(iv) Empirical

　　(v) Wilkie

　　(vi) Stable Distribution

　　(a) (3 points) Evaluate each model for modeling equity returns.

　　(b) (5 points) Assess the suitability of each model for dynamic hedging and

　　recommend a model to be used for dynamically hedging the GMDB.

　　COURSE 8: Fall 2004 -6- GO ON TO NEXT PAGE

　　Investment

　　Morning Session

　　6. (7 points) ABC Life has issued a 2-year GIC that has no policyholder options and pays

　　interest at maturity.

　　Single Premium 100 million

　　Payout in 2 years 110 million

　　Initial Assets (MV) 100 million of 3-year zero coupon corporate bonds

　　Treasury zero-coupon rates

　　Term, Years

　　Year 1 2 3

　　0 3% 4% 5%

　　1 4% 4% 4%

　　2 3% 4% 5%

　　Bond Spread Curve

　　1 year 2 year Corporate bond 3 year

　　spreads 0.1% 0.3% 0.5%

　　Assume:

　　? the bond spread curve does not change from issue

　　? expenses are negligible

　　? GIC issues occur at the beginning of the year

　　? payouts occur at the end of the year

　　(a) Compute the Total Returns in year 1 for both assets and liabilities using the Total

　　Return Approach.

　　(b) Disaggregate the Total Returns into their components, e.g. C-risks.

　　(c) Outline the advantages of the Total Return Approach over the book-value

　　approach.

　　COURSE 8: Fall 2004 -7- GO ON TO NEXT PAGE

　　Investment

　　Morning Session

　　Daily return distribution

　　0 1 0 1 0 2 4 5

　　15

　　33

　　52

　　65

　　40

　　19

　　9

　　4 2 1 1 0 0

　　0

　　10

　　20

　　30

　　40

　　50

　　60

　　70

　　-5.00%

　　-4.50%

　　-4.00%

　　-3.50%

　　-3.00%

　　-2.50%

　　-2.00%

　　-1.50%

　　-1.00%

　　-0.50%

　　0.00%

　　0.50%

　　1.00%

　　1.50%

　　2.00%

　　2.50%

　　3.00%

　　3.50%

　　4.00%

　　4.50%

　　5.00%

　　Daily return

　　Number of days
　　人类力求超过野兽，力求理解与美化孤单的人们组成的这个残酷的、四分五裂的世界，这一愿望具有强大的力量，也只有这个力量在唤醒艺术与科学。——高顿网校生活感悟

扫一扫微信，关注精算师*7考试动态

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