【soa真题怎么拿】SOA真题November2003Course8F
【shitiku.jxxyjl.com--北美精算师】
course 8: fall 2003 1 go to next pagefinance
morning session
**beginning of examination**
finance
morning session
questions 1-5 pertain to the case study.
each question should be answered independently.
1. (8 points) mr. newman has just given j. peterman the unaudited line-of-business and
consolidated financials of nada for 2002 along with projections for 2003-2005. in
addition, nada has supplied peterman with an extensive business plan detailing the
growth potential and opportunity for each of its business units.
the business plan contains an emphasis on growing the gic business. mr. newman
plans to do this through the addition of funding agreements with 12-day put options.
the funding agreements will be sold to institutional investors other than retirement
plans.
peterman is concerned about nada’s growing reliance on gic sales. peterman has
questions about the profitability, liquidity, and investment risks of the gics.
mr. newman has asked you to address the rating agency’s concerns.
(a) explain why peterman may have concerns about increased funding agreement
sales and their effects on profitability, liquidity, and investment risk.
(b) peterman has recently adopted a view of interest rate risk similar to moody’s
investor service. summarize moody’s view of interest rate risk, and describe the
impact that such views could have on peterman’s evaluation of nada’s current
and planned gic business.
course 8: fall 2003 2 go to next page
finance
morning session
questions 1-5 pertain to the case study.
each question should be answered independently.
2. (10 points) in preparation for the upcoming rating agency meeting with j. peterman,
chief actuary kramer has been asked to look into improving the rbc ratio of the term
life block. his preference is to change the asset mix backing the product.
manzier reinsurance has offered to coinsure 35% of nada’s term life block.
(a) (1 point) calculate the required capital for year-end 2003 for the term life block
of business prior to any reinsurance. show your work.
(b) (2 points) propose terms for the reinsurance transaction with manzier that would
optimize nada’s rbc ratio for the term life block of business.
(c) (3 points) calculate the required capital for year-end 2003 for the term life block
if the reinsurance deal you proposed is consummated. show your work.
(d) (2 points) calculate the impact of your proposed reinsurance arrangement on
nada’s year-end 2003 rbc ratio. assume no change to available surplus.
show your work.
(e) (2 points) predict manzier’s response to the terms of the reinsurance arrangement
proposed in part (b).
course 8: fall 2003 3 go to next page
finance
morning session
questions 1-5 pertain to the case study.
each question should be answered independently.
3. (12 points) nada’s business plan projects increased sales of gics beginning in 2003.
to achieve this plan, the marketing department has instituted a commission scale for
gic products sold in 2003, as follows:
•a commission payment of 1% of deposits for gics with 5-year interest rate
guarantees
•a commission payment of 0.2% of deposits for gics with 1-year interest rate
guarantees
•commissions are paid at the time of sale to the broker.
von nostrum has recommended that nada start deferring acquisition costs with respect
to its new business. elaine benes has put you in charge of creating a methodology to
capitalize and amortize acquisition costs in accordance with u.s. gaap.
you start by focusing on the gic line. assume the following:
•nada’s gics are fas 97 investment contracts.
•all gics are sold at the beginning of the year.
•there are no withdrawals prior to maturity.
•interest earned is paid to the contract holder on december 31 of each year.
•for assets backing the gic business sold in 2003, nada expects to earn an
investment return of 4.295%.
•expenses are 5 basis points per year.
(a) describe the procedure for determining the capitalization of the acquisition
expenses and the subsequent amortization of the dac asset for the gic line.
(b) calculate the dac asset for new business planned to be written in 2003 for the
gic line. show your work.
(c) calculate the amortization schedule for the dac asset from part (b). show your
work.
course 8: fall 2003 4 go to next page
finance
morning session
本文来源:https://shitiku.jxxyjl.com/beimeijingsuanshi/10490.html
相关试题
- [英汉精算学词汇pdf下载]英汉精算学词汇2
- soa真题怎么拿|SOA真题November2001Course8V
- 英汉精算学词汇pdf下载_英汉精算学词汇8
- exam词性|ExamC(ConstructionandEvaluationofActuarialModels)StudyNote-Fall2006
- 【thesocietyingoodorder】TheSocietyofActuaries
- 精算fm考试课程_SOA精算考试课程及大纲基本教育阶段
- 【soa协会报名】SOA协会历史背景介绍
- 【精算fm考试课程】SOA精算考试课程及大纲-高级教育阶段
- soa真题怎么拿|SOA真题May2002Course6
- soa真题怎么拿|SOA真题November2001Course8G
-
中国精算师考试内容|北美精算师考试内容构成详细阅读
在2000年,北美精算师协会将改变现有的考试体系,其中准精算师资格将由15门课程合并为6门课程(course),精算师的资格将加入另外两门课程和职业发展课程,现简单介绍如下:(1)准精算师(asa)阶段 课程1:精算科学的数学基础 (mathematical foundations of...
- 详细阅读
- 详细阅读
-
[北美精算师含金量]2001年5月北美精算师资格考试参考资料--课程4详细阅读
2001年5月北美精算师资格考试参考资料--课程4 texts 1 econometric models and economic forecasts ( fourth edition ), 1998, by pindyck, r s and rubinfeld, d l , chapters...
- 详细阅读
-
【soa真题怎么拿】SOA真题November2003Course8F详细阅读
course 8: fall 2003 1 go to next pagefinancemorning session**beginning of examination**financemorning sessionquestions 1-5 pertain to the case study e...
- 详细阅读
-
soa真题怎么拿|SOA真题November2001Course8V详细阅读
course 8: investment - 1 - go on to next pagenovember 2000morning sessionnovember 2000course 8vsociety of actuariescourse 8: investment - 2 - go on to...
- 详细阅读
-
exam词性|ExamC(ConstructionandEvaluationofActuarialModels)StudyNote-Fall2006详细阅读
exam c construction and evaluation of actuarial modelsthe examination for this material consists of four hours of multiple-choice questions and is i...