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2002年5月北美精算师SOA真题Course6课堂的最后一课

来源：高顿网校 2014-08-26

　　以下是2002年5月北美精算师SOA真题Course6课堂的最后一课，珍惜美好的学习时光，且看且珍惜啊。
　　12. (8 points) ABC Financial is considering two opportunities for capital investment for the

　　upcoming fiscal year:

　　? a deposit-taking business earning a guaranteed return of 10% per year

　　? a life insurance business earning one of two possible returns:

　　20%, or -20% per year.

　　ABC is also considering a one-year reinsurance agreement that would eliminate any loss

　　on its life insurance business. The single premium would be paid at the beginning of the

　　fiscal year.

　　(a) Compare the features of the reinsurance contract and an option contract.

　　(b) Calculate the reinsurance premium for the year by applying risk-neutral valuation

　　to solve for the replicating trading strategy for the reinsurance contract.

　　(c) Assume that the life insurance business now has a third possible outcome of

　　catastrophic loss, where all of the capital investment in the life insurance business

　　is lost.

　　You are given the following:

　　? The unit Arrow-Debreu e1 b g price is its upper bound price less

　　1

　　12

　　? S b1g-1 =

　　0 0

　　0

　　1

　　10

　　11

　　5

　　4

　　5

　　4

　　3

　　2

　　1

　　2

　　-

　　-

　　L

　　N

　　MMM

　　O

　　Q

　　PPP Calculate the new reinsurance premium using risk-neutral valuation.

　　(d) Explain how your reinsurance premium calculations would be affected if the

　　deposit taking business earned a guaranteed return of 20% per year.

　　Show all work.

　　COURSE 6: MAY 2002 GO ON TO NEXT PAGE

　　AFTERNOON SESSION

　　13. (4 points) You are an investment actuary managing the pension assets of a small

　　Canadian company.

　　(a) Describe the key considerations in setting the Statement of Investment Policies.

　　(b) Describe possible investment vehicles.

　　COURSE 6: MAY 2002 EEE END OF EXAMINATION

　　AFTERNOON SESSION

　　14. (5 points) You are given the following securities:

　　60-day T-bill: face amount: 1,000

　　150-day T-bill: face amount: 1,000

　　Stock of ABC Corporation:

　　current price: 25

　　dividend rate: 6%, payable continuously

　　The amount of dividend payment is constant, regardless

　　of changes in stock price.

　　European call option on the ABC stock:

　　current price: 1

　　strike price: 30

　　time to exercise date: 60 days

　　d1 0.7

　　European put option on the ABC stock:

　　current price: 6

　　strike price: 30

　　time to exercise date: 60 days

　　Futures contract: underlying security: 90-day T-bill

　　time to delivery date: 60 days

　　face amount: 1,000

　　current price: 984

　　Cumulative normal distribution:

　　Z - 1.4 - 0.7 0 0.7 1.4

　　N(Z) 0.0808 0.242 0.5 0.758 0.9192

　　Calculate the current market price of the 150-day T-bill.

　　Show all work.

　　**END OF COURSE 6**

　　Course 6

　　May 2002

　　Multiple-Choice Answer Key

　　1 B 26 A

　　2 D 27 E

　　3 C 28 C

　　4 A 29 B

　　5 A 30 C

　　6 A 31

　　7 E 32

　　8 B 33

　　9 D 34

　　10 B 35

　　11 B 36

　　12 B 37

　　13 A 38

　　14 B 39

　　15 C 40

　　16 D 41

　　17 D 42

　　18 A 43

　　19 D 44

　　20 A 45

　　21 B 46

　　22 B 47

　　23 E 48

　　24 A 49

　　25 B 50
　　愚者用肉体监视心灵，智者用心灵监视肉体。——高顿网校考试励志

扫一扫微信，关注精算师*7考试动态

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