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SOA北美精算师2004年11月真题Course8RU（第1节课）

来源：高顿网校 2014-08-14

　　高顿网校小编寄语：重要的是分析失败原因并吸取教训，没有平日的失败，就没有最终的成功。SOA北美精算师2004年11月真题Course8RU（第1节课），历年大纲依然是最重要的！
　　COURSE 8: Fall 2004 - 1 - GO TO NEXT PAGE

　　Retirement Benefits,

　　Comprehensive Segment – U.S.

　　Morning Session

　　**BEGINNING OF EXAMINATION 8**

　　COMPREHENSIVE SEGMENT – U.S.

　　MORNING SESSION

　　1. (9 points) A pension committee member at your U.S. based client believes that the

　　interest rate for the defined benefit plan valuations is too low. He supports his view by

　　stating that a higher interest rate would lower the cost of the plan. A second committee

　　member argued against raising the assumption.

　　The chairman of the pension committee has asked you to lead a discussion at the next

　　pension committee meeting regarding the interest rate assumptions for funding purposes

　　and for accounting purposes, and their effect on the interested parties.

　　Outline your discussion.

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

　　Retirement Benefits,

　　Comprehensive Segment – U.S.

　　Morning Session

　　Questions 2 – 6 pertain to the Case Study

　　2. (12 points) The CFO of NOC has decided to take a more active role in managing NOC’s

　　pension plan assets. In reviewing the performance of the National Oil Full-Time Hourly

　　Union Pension Plan, he is disturbed by the recent absolute performance. He proposes

　　that the assets should be moved to 100% domestic fixed income because that asset class

　　has outperformed the other asset classes in 2 of the last 3 years.

　　You are given:

　　Calendar Year Rf Rm β

　　2003 4% 21% 0.9

　　2002 5% -5% 0.85

　　2001 4% 1% 0.8

　　Additional Information for 2003

　　Target Portfolio Mix

　　for 2003 Benchmark Return in

　　2003

　　Domestic Large Cap

　　Equities

　　35% 30%

　　Domestic Small Cap

　　Equities

　　25% 47%

　　Domestic Fixed Income 25% 4%

　　International Equities 10% 39%

　　Real Estate 5% 9%

　　Cash 0% 1%

　　(a) Describe the features in a Statement of Investment Policies and Procedures that

　　could help the CFO in his evaluation of the Plan’s performance.

　　(b) Calculate the 2001, 2002 & 2003 Risk Adjusted Rate of Return for the fund.

　　(c) Calculate the 2001, 2002 & 2003 Treynor Measure for the fund.

　　(d) Evaluate the investment performance of the fund during 2003.

　　(e) Critique the CFO’s proposal.

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

　　Retirement Benefits,

　　Comprehensive Segment – U.S.

　　Morning Session

　　Questions 2 – 6 pertain to the Case Study

　　3. (8 points) The government of Vosne is concerned that workers are harmed by switching

　　companies periodically throughout their careers. The government has asked for your

　　assistance in understanding this issue.

　　(a) Describe the implications of switching employers on workers’ retirement benefits.

　　(b) Suggest policies that could be adopted by the government of Vosne to improve

　　the portability of private retirement benefits.

　　(c) Describe how these policies address the issues identified in (a).

　　(d) Describe the impact of these policies on NOC.

　　4. (10 points) Auditors in Vosne have criticized its current pension accounting standards as

　　being misleading to readers of financial statements and contrary to the teachings of

　　financial economics.

　　The Department of Accounting Standards is considering changes to the current

　　accounting rules to achieve the following goals:

　　? Increased transparency;

　　? Improved consistency with how financial economics measures “risk”; and

　　? More practical and usable information for financial statement readers.

　　(a) Critique the current accounting rules in light of the Department’s goals.

　　(b) Recommend changes to the accounting rules to meet the Department’s goals.

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

　　Retirement Benefits,

　　Comprehensive Segment – U.S.

　　Morning Session

　　Questions 2 – 6 pertain to the Case Study
　　欲知过去世，今生受者是。欲知来世果，今生做者是。——高顿网校短句汇编

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