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精算师北美考区2002年5月真题大纲Course6课程（一）

来源：高顿网校 2014-08-26

　　以下则是精算师北美考区2002年5月真题大纲Course6课程（一），大家把知识点用心记在脑子里呀，步步为营才踏实。
　　MORNING SESSION

　　SECTION A – WRITTEN ANSWER

　　COURSE 6: MAY 2002 GO ON TO NEXT PAGE

　　MORNING SESSION

　　**BEGINNING OF COURSE 6**

　　MORNING SESSION

　　1. (5 points) You are given the following information:

　　Stock

　　Price at Beginning

　　of Period

　　Price at End of

　　Period

　　Number of Shares

　　Outstanding

　　I 10 15 100

　　II 9 10 125

　　III 15 15 200

　　(a) Describe and compare:

　　(i) Price-weighted index

　　(ii) Market-value-weighted index

　　(iii) Equally-weighted index

　　(b) Calculate the percentage change over the period for:

　　(i) Price-weighted index

　　(ii) Market-value-weighted index

　　(iii) Equally-weighted index

　　(c) Calculate the end of period price for Stock III that results in an equivalent

　　percentage increase in the price-weighted index and the market-value-weighted

　　index.

　　Show all work.

　　COURSE 6: MAY 2002 GO ON TO NEXT PAGE

　　MORNING SESSION

　　2. (6 points) An investor has the following securities available for investment:

　　Expected Annual Return Standard Deviation of Annual Return

　　Stock I 9% 13%

　　Stock II 12% 20%

　　T-bills 5% 0%

　　The covariance between the two risky assets is 0.93%.

　　Construct the optimal portfolio using the three available assets, assuming:

　　(i) an investor’s degree of risk aversion is 4

　　(ii) an investor’s degree of risk aversion is 2

　　Show all work.

　　3. (10 points) You are given the following information:

　　? all options have nine months to expiry

　　? all options have a strike price of 49

　　? current stock price is 50

　　? volatility is 30%

　　? risk-free rate is 5% per annum

　　Using the binomial option pricing model and a three-month step, calculate the cost of

　　(i) a European put;

　　(ii) an American put;

　　(iii) a European call.

　　Show all work.

　　COURSE 6: MAY 2002 GO ON TO NEXT PAGE

　　MORNING SESSION

　　4. (5 points)

　　(a) Describe the obligations of the trustee of a pension fund.

　　(b) Describe the key considerations in selecting an appropriate pension funding

　　method.

　　COURSE 6: MAY 2002 GO ON TO NEXT PAGE

　　MORNING SESSION

　　5. (6 points) You are given the following financial data for Company ABC:

　　? capital and surplus: 800,000

　　? total company assets:

　　Bond Book Value C1 Factor

　　AAA 2,000,000 0.3%

　　BB 5,000,000 4%

　　B 3,000,000 12%

　　? other required capital components:

　　Risk Base Required Capital Factor

　　C2 150,000,000 0.1%

　　C3 4,000,000 1%

　　C4 500,000 2%

　　? required capital components for whole life block:

　　Risk Base Required Capital Factor

　　C1 8,000,000 6%

　　C2 100,000,000 0.1%

　　C3 3,000,000 1%

　　C4 400,000 2%

　　? ceding allowance for a reinsurance treaty is 3% of assets transferred

　　? C1 required capital factor for assets ceded to reinsurer is 0.5%

　　? required capital formula: C 4 C22 C1 C3 2 + +b + g

　　? Risk Based Capital ratio = Available capital ? Required capital

　　(a) Describe the weaknesses of using the required capital formula when comparing

　　two companies that have healthy Risk Based Capital ratios.

　　(b) Evaluate the impact on required capital if you entered into a 50% coinsurance

　　agreement for the whole life business.

　　(c) Evaluate the impact on required capital of upgrading all assets to a minimum

　　rating of BB.

　　(d) Recommend which capital management action the company should use.

　　Show all work.

　　COURSE 6: MAY 2002 GO ON TO NEXT PAGE

　　MORNING SESSION
　　爱的力量大到可以使人忘记一切，却又小到连一粒嫉妒的石也不能容纳。——高顿网校旷世名言

扫一扫微信，关注精算师*7考试动态

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