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2002年度SOA北美精算师真题NovemberCourse8I（二）

来源：高顿网校 2014-08-20

　　要踏入月10月18日精算师秋季考场朋友们，高顿网校的小编这厢有礼啦，请看历年真题：2002年度SOA北美精算师真题NovemberCourse8I（二）。
　　4. (13 points) You have been asked to assist in the financial evaluation of Mercury Life’s

　　Universal Life (UL) block of business.

　　In addition to the information in the case study, you are given the following for 1999 (in

　　thousands):

　　Mortality (cost of insurance) charges $101,000

　　Other charges 115,000

　　Total mortality and other charges 216,000

　　Premium $530,000

　　Reserves released on death $149,000

　　Terminations and surrenders 0

　　Front end premium loads 0

　　Assume:

　　? Mercury’s financial statements are presented in accordance with US GAAP.

　　? Reserves = Account Balance (Fund Values).

　　(a) Reconcile the change in Mercury’s UL income-based policy reserves from the

　　beginning to the end of 1999.

　　(b) Create a pre-tax Source of Profit analysis for the UL income statement presented

　　in the case study for the year 1999.

　　(c) The US Statutory Association Blank instructions describe the method for

　　analyzing the increase in reserves for life insurance.

　　Apply this method to calculate the tabular cost of mortality for 1999 on Mercury’s

　　UL block of business assuming the reserve rate of interest is 6%.

　　COURSE 8I: Fall 2002 - 5 - GO ON TO NEXT PAGE

　　Individual Insurance

　　Morning Session

　　4. Continued

　　(d) Mercury calculates solvency-based reserves in accordance with the NAIC Model

　　Regulation that specifies the minimum standard for the valuation of UL insurance.

　　Define the “r” factor, explaining how it is used and its purpose.

　　(e) An Australian insurance company is interested in purchasing Mercury’s UL block

　　of business.

　　The following values were estimated under the Australian Margin on Services

　　method (in thousands):

　　Year-end 1998 Year-end 1999

　　Present value of future profits $12,950 $12,800

　　Best estimate liability $11,300 $11,650

　　Calculate the income statement operating gain for 1999 under the Australian

　　Margin on Services method for the UL block.

　　Show all work.

　　COURSE 8I: Fall 2002 - 6 - GO ON TO NEXT PAGE

　　Individual Insurance

　　Morning Session

　　5. (7 points) ABC Life is trying to increase its term life sales by increasing sales through

　　non-traditional distribution channels.

　　You are given the following information for ABC’s 5- year level term product:

　　? ABC’s current term pricing is based on its brokerage distribution compensation

　　structure.

　　? First year brokerage compensation is 75% of first-year premium

　　? Renewal brokerage compensation is 5% of premium in years 2 – 5

　　? Total direct distribution costs (beginning of year 1 only)

　　? Up to 5,000 policies sold: $5,000,000

　　? 5,001 to 8,000 policies sold: $6,000,000

　　? More than 8,000 policies sold: $7,500,000

　　? All other acquisition and maintenance costs are the same for both distribution

　　channels

　　? Average annual premium per policy: $500

　　? Average face amount per policy: $200,000

　　? Pricing horizon: 5 years

　　(a) Describe the various types of non-traditional distribution channels.

　　(b) Determine the number of term policies that must be sold through the direct

　　distribution channel to produce profitability equivalent to that of sales through the

　　brokerage distribution channel. In the calculation,

　　? Use a discount rate of 9.00%;

　　? Assume no deaths or lapses in your calculations; and

　　? Assume premiums are payable at the beginning of the year.

　　Show your work.

　　(c) Describe any changes needed to the annual Dynamic Capital Adequacy Testing

　　report to reflect ABC’s planned strategy to grow its direct distribution channel.

　　COURSE 8I: Fall 2002 - 7 - GO ON TO NEXT PAGE

　　Individual Insurance

　　Morning Session

　　6. (5 points) For a CD annuity you are given:

　　Single premium $10,000

　　Issue date January 1, 2001

　　Term 3 years

　　Commissions 3% of premium

　　Acquisition expense $50 per policy

　　Annual maintenance expense $50 per policy

　　Investment return 7%

　　Credited rate 5%

　　Hurdle rate 12%

　　Assume:

　　? No deaths

　　? No lapses

　　? No taxes

　　? Commissions and expenses occur at the beginning of the year

　　? Statutory reserves are equal to the account value

　　? Distributable Earnings are equal to the statutory gain

　　? Year-end statutory surpluses are equal to zero

　　? Target surplus is zero

　　Calculate the value-based earnings on this policy, for the calendar year 2001, assuming

　　that actual experience is equal to expected.

　　Show all work.

　　COURSE 8I: Fall 2002 - 8 - STOP

　　Individual Insurance

　　Morning Session
　　勇敢地闯过一切艰难险阻，在崎岖的山道上攀行；如果这条道路要通过死亡之谷，那也要把死亡当作欢乐的源泉来欢迎。——高顿网校做人道理

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