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北美精算师往年典藏版考试真题2003NovemberCourse8I（一）

来源：高顿网校 2014-08-19

　　请各位珍惜美好的学习时光，北美精算师往年典藏版考试真题2003NovemberCourse8I（一）是最重要的大纲级文章！
　　Individual Insurance

　　Morning Session

　　Society of Actuaries Course 8I Fall 2003

　　**BEGINNING OF EXAMINATION**

　　MORNING SESSION

　　1. (4 points) The Chief Actuary of a small life insurance company expects large

　　fluctuations in future interest rates.

　　(a) Describe measures the Chief Actuary would use to help predict the impact of

　　interest rate fluctuations.

　　(b) Describe asset/liability matching methods that the Chief Actuary can use to

　　minimize the financial effect of interest rate fluctuations on the portfolio.

　　(c) Explain the desired relationship between the asset and liability durations given the

　　relative significance of disintermediation and reinvestment risk.

　　COURSE 8I: Fall 2003 -2- GO ON TO NEXT PAGE

　　Individual Insurance

　　Morning Session

　　Question 2 pertains to the case study.

　　2. (12 points) Saturn Life is considering the introduction of variable immediate annuities to

　　help retain assets accumulated within their deferred variable annuities.

　　(a) Assess Saturn’s opportunity for growth with respect to:

　　(i) Historical results,

　　(ii) Strengths and

　　(iii) Weaknesses.

　　(b) Describe pricing considerations for a variable immediate annuity.

　　(c) Describe the steps to implement stochastic modeling for pricing a rider option that

　　provides a floor for the monthly payments.

　　(d) Marketing has suggested that clients be given the choice of Assumed Investment

　　Returns (AIR). You are given:

　　Annuity Payments

　　Year Unit Value AIR 3% AIR 5%

　　1 10.0000 $2,120 $2,200

　　2 9.2500

　　3 9.6200

　　4 10.1972

　　5 11.0130

　　(i) Calculate the missing values in the above table. Show all work.

　　(ii) Re-calculate the missing values in the above table, assuming the

　　attachment of a rider that provides a floor for the monthly payments equal

　　to 90% of the initial payment.

　　(iii) Identify design choices that would manage the cost of the AIR choice

　　granted to the customer.

　　COURSE 8I: Fall 2003 -3- GO ON TO NEXT PAGE

　　Individual Insurance

　　Morning Session

　　3. (7 points) Company XYZ currently sells level premium term products with Smoker and

　　Nonsmoker underwriting classes. The products will be re-priced with 3 underwriting

　　classes (Smoker, Standard Nonsmoker, Preferred Nonsmoker). A fourth underwriting

　　class, Super Preferred Nonsmoker, is also being considered.

　　The following underwriting definitions have been proposed:

　　Smoker Standard

　　Nonsmoker

　　Preferred

　　Nonsmoker

　　Super

　　Preferred

　　Nonsmoker

　　Personal History

　　Maximum Total

　　Cholesterol LevelⅡ80mg/dec 280mg/dec 240mg/dec 205 mg/dec

　　Maximum Blood

　　Pressure (untreated) 160/95 160/95 140/90 130/85

　　Diabetes acceptable Yes Yes Yes No

　　Tobacco Use Yes

　　None within

　　past 60

　　months

　　None within

　　past 60

　　months

　　None within

　　past 60

　　months

　　Maximum # of

　　moving violations

　　within a 3 year period

　　3 3 2 2

　　Regular exercise Not Required Not Required Required Required

　　Family History

　　Heart Disease death

　　prior to age 65

　　Allowed Allowed Not Allowed Not Allowed

　　Cancer death prior to

　　age 70 Allowed Allowed Allowed Allowed

　　COURSE 8I: Fall 2003 -4- GO ON TO NEXT PAGE

　　Individual Insurance

　　Morning Session
　　做事不必与俗同，亦不宜与俗异。做事不必令人喜，亦不可令人憎。——高顿网校金玉良言

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