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精算师北美考区SOA历年真题收藏November2002Course8I（一）

来源：高顿网校 2014-08-20

　　高顿网校小编友情提醒您认真仔细学习精算师北美考区SOA历年真题收藏November2002Course8I（一）。
　　Individual Insurance

　　Morning Session

　　**BEGINNING OF EXAMINATION**

　　1. (4 points) Your company is interested in entering the income annuity market and is

　　considering both fixed and variable payout designs.

　　(a) Describe the types of income annuity payout options.

　　(b) Describe pricing assumptions for income annuities.

　　(c) Explain how you would set the assumed interest rate (AIR) for each of the

　　following objectives:

　　(i) A competitive first year payout;

　　(ii) A payout that has the greatest likelihood of increasing over time; and

　　(iii) Minimize expected variability of payouts over time.

　　Course 8I

　　Fall 2002

　　COURSE 8I: Fall 2002 - 2 - GO ON TO NEXT PAGE

　　Individual Insurance

　　Morning Session

　　Question 2 pertains to the case study.

　　2. (12 points) Saturn Life is interested in acquiring a block of life insurance policies from

　　ABC Life.

　　You are given the following information about ABC:

　　? No new life insurance policies ha ve been sold in the last two years.

　　? There is no reinsurance on the block of life insurance business for sale.

　　? The pre-tax investment earnings rate in the ABC appraisal is a level 15%.

　　? The federal income tax rate is 35%.

　　? ABC will provide a computer model of this business for analysis and due

　　diligence by potential buyers.

　　ABC has furnished the following present values (in millions) as of 12/31/2001:

　　PV@

　　18%

　　PV@

　　15%

　　PV@

　　13%

　　PV@

　　9.75%

　　PV@

　　5.5%

　　Pre-Tax Solvency Earnings $18.9 $21.0 $22.7 $25.8 $30.9

　　Taxes 5.2 5.8 6.2 6.9 8.2

　　Increase in Required Capital (0.8) (0.9) (1.0) (1.3) (1.7)

　　After-Tax Investment Income on the

　　Required Capital

　　0.5 0.6 0.6 0.7 0.8

　　(a) (2 points) Evaluate the possible discount rates that could be used to value the

　　block of business and recommend the most appropriate discount rate.

　　(b) (4 points) Describe the steps you would take to assure the reasonableness of

　　ABC’s computer model of the block of business. Determine any additional

　　information that will be needed from ABC in order to va lidate the results of the

　　model.

　　(c) (4 points) You are given the following:

　　? As of 12/31/2001, life insurance solvency reserves are $40 million for the

　　block;

　　? ABC proposes a transfer of $30 million in cash to the acquiring company;

　　? Saturn would hold the same amount of solvency reserves as ABC;

　　? Initial transaction costs would be $1 million;

　　? Required capital would be $6 million, and

　　? Saturn would incur a tax savings of $2 million if it assumes the business.

　　Using an appropriate discount rate, determine whether Saturn should accept the

　　$40 million in liabilities for the $30 million initial cash transfer. Show all your

　　work.

　　COURSE 8I: Fall 2002 - 3 - GO ON TO NEXT PAGE

　　Individual Insurance

　　Morning Session

　　2. Continued

　　(d) (2 points) The CFO of Saturn Life has some concerns about the persistency of

　　ABC’s block of business.

　　(i) Describe actions that Saturn could take to mitigate replacement activity.

　　(ii) Explain the disadvantages to a policyholder if they were to replace their

　　ABC life insurance policy.

　　3. (6 points) A small Canadian insurance company that primarily sells annuity products

　　would like to increase life insurance sales by developing a Term-to-100 product.

　　The following information is provided about the proposed product design and pricing

　　assumptions:

　　? Product has no cash value

　　? Fully guaranteed premiums

　　? Issued at ages 30 – 60

　　? Target market is the middle class

　　? First year commission only; no renewal commissions

　　? Investment earnings rate is assumed to be 8% per year

　　? Lapse rate assumption 5% per year

　　? Mortality assumption is based on company’s annuity experience

　　? No reinsurance

　　(a) (3 points) Evaluate the appropriateness of the proposed features and assumptions.

　　(b) (2 points) Describe additional considerations to be taken into account in setting

　　lapse rate assumptions for Term-to-100 products.

　　(c) (1 point) Identify the design and pricing assumption cha nges you would make to

　　market this product in the United States.

　　COURSE 8I: Fall 2002 - 4 - GO ON TO NEXT PAGE

　　Individual Insurance

　　Morning Session

　　Question 4 pertains to the case study.
　　忧劳可以兴国，逸豫可以忘身，自然之理也。——高顿网校做人原则

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