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SOA北美考区精算师真题珍藏：November2002Course8F（第3节）

来源：高顿网校 2014-08-21

　　我们高顿网校给您提供SOA北美考区精算师真题珍藏：November2002Course8F（第3节）。已经分好类咯。
　　6. (5 points) ABC is a large, well- established multi- line insurance company with triple-A ratings

　　from all major rating agencies. XYZ, a small wholly owned subsidiary of ABC, starts operation

　　on the morning of December 31, 2001, with paid- in capital of $10 million. XYZ issues a oneyear

　　Guaranteed Investment Contract (GIC) and invests both the proceeds from the sale of the

　　GIC and the paid- in capital in a diversified portfolio of stocks.

　　You are given the information below and the Standard Normal Table on the next page.

　　Guaranteed Investment Contract:

　　? Maturity Date: December 31, 2002

　　? Face Value: $100,000,000

　　? Net Proceeds from the Issue: $99,125,000

　　? Guaranteed Interest: 3.75%-with semi-annual compounding

　　? Method of Payment: Principal and accumulated interest due on maturity date

　　Diversified Investment Portfolio:

　　? Market value, as of close of market on December 31, 2001: $108,762,500

　　? Purchase price (cost basis) of portfolio (including brokerage commissions): $109,125,000

　　? Expected annualized continuously compounded rate of return: 8.5%

　　? Standard deviation of annualized continuously compounded rate of return: 20.0%

　　? Dividends will be reinvested.

　　One-Year Treasury Rate:

　　? Rate as of December 31, 2001: 2.17%-with semi-annual compounding

　　(a) (1 point) Describe three different, but theoretically correct, methods for estimating the

　　value of the future liability cash flows, in the absence of observable market prices.

　　(b) (4 points) Calculate the fair value of the GIC issued by XYZ as of December 31, 2001:

　　(i) if the payment of principal and interest is guaranteed by ABC and backed with

　　specific assets placed in a trust;

　　(ii) if there are no guarantees from the parent.

　　Show your work.

　　COURSE 8 FINANCE - 9 - STOP

　　FALL 2002

　　Morning Session

　　7. (8 points) You are an analyst at Reliable Ratings Corporation, a company that rates propertyliability

　　companies. Biking Liability Insurance Company (BLIC) has traditionally issued

　　motorcycle insurance and has recently begun to sell airplane insurance, necessitating a review of

　　its rating.

　　Currently BLIC’s reserve amounts are $750 million for the motorcycle insurance line and $100

　　million for the airplane insurance line. Your analysis reveals the following expected claims

　　distribution for the next year:

　　Motorcycle Airplane

　　Claim Amount

　　($ million)

　　Probability Claim Amount

　　($ million)

　　Probability

　　250 70% 10 25%

　　1,000 25% 40 50%

　　2,000 5% 250 25%

　　Given the characteristics of these lines, you assume that there is no correlation in the claims

　　between the two lines.

　　Local regulations require that capital be held such that the expected policyholder deficit does not

　　exceed 10% of expected losses.

　　A quick analysis of the asset portfolio reveals that BLIC is holding $1.5 billion in cash with no

　　other securities in the portfolio.

　　Reliable Ratings assigns ratings based on the following minimum ratios of recorded capital to

　　risk-based capital.

　　Credit

　　Rating

　　Minimum

　　Capital Ratio

　　AAA 2.50

　　AA 2.25

　　A 2.00

　　BBB 1.75

　　BB 1.50

　　B 1.25

　　CCC 1.00

　　(a) (1 point) List criteria that a risk-based capital methodology should satisfy in order to

　　ensure equity to all parties.

　　(b) (4 points) Assign a credit rating to BLIC. Show your work.

　　the motorcycle line and the airplane line.

　　(d) (2 points) Describe how the owners of BLIC hold a position similar to a stock option.

　　COURSE 8 FINANCE - 9 - GO ON TO NEXT PAGE

　　Fall 2002

　　Afternoon Session

　　** BEGINNING OF EXAMINATION **

　　AFTERNOON SESSION

　　Beginning with Question 8

　　8. (20 points) You are the Treasurer of SPE Corp, a life insurance company with a liability profile

　　consisting of 70% deferred annuities and 30% traditional life. Total assets are $1 billion.

　　Six months ago, SPE Corp purchased at par $100 million of senior secured debt issued by Huge

　　Energy Corp, rated Baa. The bond pays a 10% annual coupon and matures in five years.

　　When SPE Corp purchased these bonds, a stand-alone CreditMetrics TM calculation for this bond

　　was performed using a one- year time horizon and the following data.

　　1-Year Average Transition Matrix

　　INITIAL RATING AT YEAR END (%)

　　RATING Aaa Aa A Baa Ba B Caa-C Default

　　Aaa 91.82 7.37 0.81 - - - - -

　　Aa 1.21 90.76 7.67 0.28 0.08 - - -

　　A 0.05 2.49 91.97 4.84 0.51 0.12 0.01 0.01

　　Baa 0.05 0.26 5.45 88.54 4.72 0.72 0.09 0.17

　　Ba 0.02 0.04 0.51 5.57 85.42 6.71 0.45 1.28

　　B 0.01 0.02 0.14 0.41 6.69 83.37 2.57 6.79

　　Caa-C - - - 0.62 1.59 4.12 68.04 25.63

　　Illustrative Recovery Rate by seniority class (% of face value, i.e., par)

　　SENIORITY CLASS MEAN ($) STANDARD DEVIATION (%)

　　Senior Secured 55 30

　　Senior Unsecured 50 25

　　Senior Subordinated 40 25

　　Subordinated 35 20

　　Junior Subordinated 20 10

　　Illustrative one- year forward curves by credit rating category and one-year forward values for a

　　Baa bond plus coupon

　　CATEGORY YEAR 1 (%) YEAR 2 (%) YEAR 3 (%) YEAR 4 (%) BOND VALUE ($)

　　Aaa 3.5 3.75 4.0 4.25 130.97

　　Aa 4.0 4.25 4.5 4.75 128.94

　　A 5.0 5.5 6.0 6.5 122.41

　　Baa 6.5 7.0 7.5 8.0 117.03

　　Ba 8.5 9.5 10.5 11.5 106.14

　　B 11.0 12.0 13.0 14.0 99.04

　　Caa-C 14.0 16.0 18.0 20.0 85.34

　　COURSE 8 FINANCE - 10 - GO ON TO NEXT PAGE
　　友谊是不会有感情的破产和快乐的幻灭的。爱情如果献出的超过本身的能力，最后就会接受多而献出少了。这在男女双方都一样，而友谊则只能增长。——高顿网校名人感触

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