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北美精算师考试SOA真题系列珍藏November2003Course8V（一）

来源：高顿网校 2014-08-29

　　考北美精算师的莘莘学子们，有木有正在为找不到讲义发愁的？高顿网校来为您解决：北美精算师考试SOA真题系列珍藏November2003Course8V（一）。
　　Investment

　　Morning Session

　　Society of Actuaries Course 8V Fall 2003

　　**BEGINNING OF EXAMINATION**

　　MORNING SESSION

　　Questions 1-6 pertain to the Case Study.

　　1. (4 points) LifeCo is reviewing its Operational Guidelines for the Use of Derivatives for

　　consistency with The Group of Thirty recommendations.

　　(a) Identify and describe the various derivatives risks as outlined in the Group of

　　Thirty recommendations.

　　(b) Assess LifeCo’s management of these risks associated with the derivatives used

　　to hedge its liabilities.

　　COURSE 8: Fall 2003 -2- GO ON TO NEXT PAGE

　　Investment

　　Morning Session

　　Questions 1-6 pertain to the Case Study.

　　2. (10 points) LifeCo’s ALM committee is concerned about the impact of the following

　　capital market events on the company’s value:

　　(1) Low equity market return

　　(2) Higher than expected credit loss

　　(3) Low interest rate environment

　　(a) Describe the minimum guarantees offered in the Variable Annuity product and

　　how the guarantees can be priced using the

　　(i) actuarial approach, and

　　(ii) capital market approach.

　　(b) Assess the potential impact of the capital market events described above on the

　　Variable Annuity product.

　　(c) Recommend risk management strategies to mitigate the risks associated with the

　　capital market events described above on the Variable Annuity product.

　　(d) Describe the characteristics of the Payout Annuity product cash out flows.

　　(e) Assess the potential impact of the capital market events described above on the

　　Payout Annuity product.

　　(f) Recommend investment strategies to mitigate the impact of the capital market

　　events described above on the Payout Annuity product through

　　(i) asset allocation, and

　　(ii) use of derivative products.

　　Justify your recommendations.

　　COURSE 8: Fall 2003 -3- GO ON TO NEXT PAGE

　　Investment

　　Morning Session

　　Questions 1-6 pertain to the Case Study.

　　3. (5 points) LifeCo’s ALM report for December 2000 indicates a significant mismatch in

　　the Non-Traditional Life Products segment.

　　(a) (1 Point) Compare the use of dollar duration to effective duration as a risk metric

　　for this product line.

　　(b) (4 Points) Describe various approaches to ALM as outlined by Glacy and Vilms

　　and assess how each approach might be applied to the non-traditional life segment

　　in order to mitigate the mismatch problem.

　　COURSE 8: Fall 2003 -4- GO ON TO NEXT PAGE

　　Investment

　　Morning Session

　　Questions 1-6 pertain to the Case Study.

　　4. (8 points) LifeCo is considering how to evaluate the performance of a new GIC product.

　　You are given the following pricing assumptions for LifeCo’s new GIC product:

　　Term: 3 years

　　Maturity Value: 123% of the initial deposit

　　Lapse: None

　　Policyholder Options: None

　　Premium Size: $1,000

　　Required Return on Capital: 8% per annum

　　Required Capital Factor for GICs: 3.6% of liabilities

　　Asset Return: 8.5%

　　Tax Rate: 35%

　　Risk-Free Zero-Coupon Rate Curve: 1-year: 5.70%

　　2-year: 6.08%

　　3-year: 6.21%

　　GIC Competitors:

　　Required Return on Capital: 12%

　　Required Capital Factor for GICs: 5% of liabilities

　　Asset Return: 8%

　　(a) Compare the “entity-specific” and “fair value” systems.

　　(b) Calculate the tax-adjusted liability value at issue for LifeCo’s new GIC product

　　using the Cost of Capital method.

　　(c) Calculate the liability value at issue and the required spread of LifeCo’s new GIC

　　product using the Total Return method as presented by Ho, Scheitlin and Tam.

　　(d) Describe the arguments for and against reflecting an entity’s credit standing in the

　　fair value of its liabilities.

　　(e) Assess how the Cost of Capital method reflects credit standing and how this

　　might impact the valuation of LifeCo’s liabilities.

　　COURSE 8: Fall 2003 -5- GO ON TO NEXT PAGE

　　Investment

　　Morning Session

　　Questions 1-6 pertain to the Case Study.
　　任何一种哲学思想只要是它能够自圆其说，它就具有某种真正的知识。——高顿网校经典总结

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