精算師SOA歷年真題:November2004Course8E
發布時間：2014-02-26 共4頁
6. (5 points) You are the Valuation Actuary of a major U.S. Life Insurance company, which
offers SPDAs and term life insurance.
(a) Describe the issues involved in applying CARVM to regular deferred annuities.
(b) Describe CARVM valuation considerations associated with the product
provisions often included in SPDAs.
(c) Explain how premium deficiency reserves can arise with respect to term life
insurance.
(d) Prior to Regulation XXX, explain how the Unitary method could be used to avoid
having to set up a deficiency reserve for term life insurance.
COURSE 8: Fall 2004 - 8 - STOP
Finance and Enterprise Risk Management; Core Segment
Morning Session
7. (4 points) An insurance company has an S&P 500 indexed liability due in one year. The
investment manager is willing to assume the risk of paying the S&P 500 indexed liability
up to a maximum increase of 10%.
(a) Describe a strategy using an option to limit the insurance company’s payment to a
maximum S&P 500 increase of 10%.
(b) Describe a strategy using an additional option to lessen the cost of the hedging
strategy in (a).
(c) Create separate graphs that show:
(i) The risk profile of the S&P 500 indexed liability
(ii) The payoff profile of the option in part (a)
(iii) The payoff profile of the additional option in part (b)
(iv) The resulting net total payoff pattern to the insurance company
Ignore option costs in the graphs. Label each graph.
**END OF EXAMINATION**
MORNING SESSION
COURSE 8: Fall 2004 - 9 - GO ON TO NEXT PAGE
Enterprise Risk Management Segment
Afternoon Session
**BEGINNING OF EXAMINATION**
ENTERPRISE RISK MANAGEMENT SEGMENT
AFTERNOON SESSION
Beginning With Question 8
8. (5 points) You are the Chief Financial Officer for Salty Life. Salty Life’s core liability
products are GIC contracts. Salty Life is exploring a possible purchase of the GIC
business of Tugboat Life, and you have been asked to analyze the potential deal.
Tugboat Life’s December 31, 2003 GIC business has the following maturity schedule:
Liability Maturity Schedule Amount
12/31/2004 400 million
12/31/2005 600 million
12/31/2006 750 million
The GICs have no early redemption features so the maturity cashflows as shown are
fixed.
Salty Life’s business model utilizes the cost-of-capital approach for evaluating business
opportunities. The current assumptions used in the model are:
• Risk-free rate is 4%.
• Corporate Tax Rate is 35%.
• Credit Risk Premium on Assets is 1.25%.
• Liquidity Risk Premium is 0.15%.
• Target Risk Based Capital is 5% of Assets backing both Liabilities and
Surplus.
• Target return on equity for GIC business is 12%.
• Flat term structure of interest rates.
• Expenses are zero.
(a) Describe the valuation methods which can be used to determine fair value of
liabilities, and indicate which would be appropriate for valuing Tugboat’s GIC
business.
(b) Using Salty Life’s valuation model, calculate a fair value for Tugboat Life’s GIC
block.
COURSE 8: Fall 2004 - 10 - GO ON TO NEXT PAGE
Enterprise Risk Management Segment
Afternoon Session
9. (15 points) You are the Product Actuary for Get-a-Life (GAL), a life insurance company
domiciled in the United States. One year ago you created a variable annuity (VA)
product to replace the Equity Indexed Annuity (EIA) product that GAL was then selling.
The VA product has a fixed income option with a guaranteed minimum interest rate of
3% and an option to invest in a segregated account that is indexed to the S&P 500. The
VA liabilities have a guaranteed minimum death benefit equal to the initial deposit
accumulated at the guaranteed minimum interest rate.
The table below shows pricing assumptions and actual experience to date.
t
Time 0
Pricing Assumption
(St )
Time 1
Actual and Future Re-Estimates
( ) St
0 100 100
1 105 80
2 103 89
3 112 100
4 120 110
5 135 120
In addition, you have the following information.
Time 0 Assumption Time 1 Assumption
1 px 0.995 0.993
Annual Management Expense 1.5% 1.5%
Reserve Valuation Rate 4% 4%
Your sample pricing cell assumes an initial deposit of 1,000. No future deposits are
allowed and the product either annuitizes or is withdrawn at the end of five years. Death
is assumed to be the only decrement before the end of year five and is assumed to occur
at each year-end. Management expenses are withdrawn at year-end.
(a) (2 points) Describe how the risk management considerations for segregated fund
contracts differ from those for EIAs.
(b) (4 points) Calculate the reserve for your sample pricing cell at t = 1 under the
actual experience and compare it to the reserve from the original pricing
assumptions.
COURSE 8: Fall 2004 - 11 - GO ON TO NEXT PAGE
Enterprise Risk Management Segment
Afternoon Session
