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北美地区精算师2002年11月份Course8I（最后一部分）

来源：高顿网校 2014-08-20

　　2014年8月20号下午1点10分高顿网校小编汇总了北美地区精算师2002年11月份Course8I（最后一部分），供大家备战10月份北美精算师考试专用的。
　　15. (5 points) ABC Life wants to enter the highly competitive survivorship insurance

　　market. The initial product specifications proposed by the Marketing Department

　　include:

　　? Whole life dual status base plan design, with face amount paid upon second death

　　? Minimum face amount of $250,000

　　? No cash values

　　? Automatic increases to the death benefit are not part of the design

　　? Policy split and estate preservation riders are each available at no additional cost

　　? Standard insurance rates are offered if both individuals are rated Table E (225%

　　of standard mortality) or less

　　? Policy is issued on a standard basis even if one of the insured’s life expectancy is

　　less than one year

　　Evaluate the appropriateness of this design, and recommend changes you would make

　　before launching this product into the marketplace.

　　16. (3 points) Describe the four separate steps of the Canadian Asset Liability Method.

　　COURSE 8I: Fall 2002 - 15 - STOP

　　Individual Insurance

　　Afternoon Session

　　17. (8 points) You are given the following annuity payments:

　　Payment Date Payment

　　January 1, 2003 $60,000

　　July 1, 2003 $70,000

　　January 1, 2004 $65,000

　　July 1, 2004 $80,000

　　January 1, 2005 $70,000

　　July 1, 2005 $90,000

　　(a) Describe the Modified Duration method of duration matching including any

　　problems associated with it.

　　(b) Calculate the Modified Duration of the annuity payments as of July 1, 2002,

　　based on an interest rate of 5%. Show all work.

　　(c) Describe the Exact Matching method of duration matching including any

　　problems associated with it.

　　(d) Non-callable bonds have been purchased to exactly match the annuity payments

　　as of July 1, 2002 using the Exact Matching Method.

　　Information about the bonds is shown in the following table:

　　Time to Maturity Semi-annual coupon rate

　　0.5 year 4.0%

　　1.0 year 4.5%

　　1.5 years 5.0%

　　2.0 years 5.5%

　　2.5 years 6.0%

　　3.0 years 6.5%

　　Determine the number of bonds with a maturity of 2 years that were purchased.

　　(e) Describe the Horizon Matching method and its appropriateness for the annuity

　　payments.
　　天下之事，虑之贵详，行之贵力，谋在于众，断在于独。——高顿网校名人感触

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