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SOA北美精算师历年真题系列：November2001Course8R（一）

来源：高顿网校 2014-08-15

　　高顿网校小编真诚祝备战北美精算师的您生活愉快，身体安康，事业攀升！未来年薪百万！
　　Retirement Benefits

　　Comprehensive Segment

　　Morning Session

　　November, 2001- Course 8R

　　Society of Actuaries

　　**BEGINNING OF EXAMINATION**

　　MORNING SESSION

　　Questions 1 – 6 pertain to the Case Study

　　1. (7 points) NOC‘s cash requirements have increased considerably in 2001.

　　The CFO proposed to make, on June 30, 2001 a surplus withdrawal from the pension

　　fund of the National Oil Full-Time Salaried Pension Plan equal to the expected growth of

　　the surplus during 2001.

　　The CFO‘s model for determining the surplus withdrawal is:

　　? Surplus withdrawal = [Expected Surplus @ 1/1/2002] minus [Surplus @1/1/2001]

　　? Expected Surplus @1/1/2002 = [Expected Assets @1/1/2002] less [Expected

　　Liability @1/1/2002]

　　? Expected Assets @1/1/2002 = [Assets @1/1/2001] * [1 + expected return on the

　　fund]

　　? Expected Liability @1/1/2002 = [Liability @1/1/2001] * [1 + discount rate used to

　　determine the liability]

　　? The liability to be used is the projected benefit obligation determined under the

　　expense valuation

　　The investment managers provided the CFO with an expected return on the fund of

　　8.83%.

　　(a) Explain and calculate the effect of the CFO‘s proposal on the 2001 pension

　　expense, and year-end balance sheet liability. Treat the surplus withdrawal as a

　　negative contribution. Show all work.

　　(b) Critique the model proposed by the CFO.

　　COURSE 8: November 2001 - 2 - GO ON TO NEXT PAGE

　　Retirement Benefits

　　Comprehensive Segment

　　Morning Session

　　Questions 1 – 6 pertain to the Case Study

　　2. (11 points) NOC wants to introduce post-retirement indexing for participants in the

　　National Oil Full-Time Salaried Pension Plan. NOC is looking for a provision that is

　　relatively easy to administer and allows NOC to control cost in periods of high inflation.

　　You are given:

　　Participants

　　Years of

　　Service

　　Average

　　Years to

　　Vesting

　　Projected Benefit

　　Obligation (PBO)

　　as at 1/1/2001

　　Increase in PBO for 1%

　　per year indexing after

　　retirement

　　Active 0 to 3 4 $1,236,151 $75,000

　　Active 3 to 5 1 8,000,000 550,000

　　Active 5 or more - 446,500,000 31,000,000

　　Deferred vested - - 0 0

　　Pensioners - - 95,541,600 6,100,000

　　Total $551,277,751 $37,725,000

　　The service cost increases by 7% for each 1% per year indexing after retirement.

　　(a) Evaluate alternative approaches for indexing the National Oil Full-Time Salaried

　　Pension Plan.

　　(b) Describe how the plan’s asset allocation should change if NOC adopts automatic

　　indexation.

　　(c) Describe how NOC‘s actuarial assumptions may change if NOC adopts

　　automatic indexation.

　　(d) Explain and calculate the effect on the 2001 pension expense of providing

　　automatic indexation equal to 100% of CPI. Use the current actuarial

　　assumptions.

　　Show all work.

　　COURSE 8: November 2001 - 3 - GO ON TO NEXT PAGE

　　Retirement Benefits

　　Comprehensive Segment

　　Morning Session

　　Questions 1 – 6 pertain to the Case Study
　　跟生活的粗暴打交道，碰钉子，受侮辱，自己也不得不狠下心来斗争，这是好事，使人生气勃勃的好事。——高顿网校精品语录

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