SOA精算师考试之SOA历年真题November2001Course8V（1）

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走着走着就散了

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SOA精算师考试之SOA历年真题November2001Course8V（1）
1分钟前发布 -【SOA精算师考试之SOA历年真题November2001Course8V（1）】http://www.zjks.cc 12月04日讯: SOA精算师考试之SOA历年真题November2001Course8V（1）van der Meer and Smink.COURSE 8: Investment - 3 - GO ON TO NEXT PAGENovember 2000Morning SessionQuestions 1 – 3 pertain to the Case Study.Each question should be answered independently.2. (9 points) LifeCo management wants to segment the Group line of business forasset/liability management purposes into:(i) Long Term Disability (LTD), and(ii) Other A&H.The newly allocated balance sheet for LTD is shown below:Present Value Modified Duration Adjusted DurationAssets 550.9 13.5 11.00Liabilities 532.0 8.1 5.37Economic Value 18.9 169.47The Relative Volatility of assets for Other A&H is the same as for LTD. The RelativeVolatility of liabilities for Other A&H is 1.(a) Construct the new Other A&H allocated balance sheet.(b) Assess the limitations of only using the above measures in managing interest raterisk.(c) Contrast the use of Adjusted Duration with the measures used by LifeCo tomanage its exposure to interest rate risk.(d) The portfolio manager for the Group line of business argues that Franchise Valueshould be considered in the liability target duration calculation. Define FranchiseValue.(e) Explain the implications of using Franchise Value for determining targetdurations.COURSE 8: Investment - 4 - GO ON TO NEXT PAGENovember 2000Morning SessionQuestions 1 – 3 pertain to the Case Study.Each question should be answered independently.3. (22 points) LifeCo wants to establish a delta/gamma/vega/rho hedge on the equityexposure of their variable annuity business, using positions in some or all of thefollowing assets.Asset Price Delta Gamma Vega RhoS&P 500 Future 0 100 0 0 030-year Treasurybond future0 0 0 0 -12,5981-year Put 51.98 -0.34608 0.00184 3.688 -3.981-year Call 109.45 0.65392 0.00184 3.688 5.4510-year Put 42.88 -0.10529 0.00029 5.761 -14.8210-year Call 489.57 0.89472 0.00029 5.761 40.51LifeCo’s liabilities have the following sensitivities:Delta – 2,659.90Gamma 1.036Vega 1952Rho – 101,910,000All deltas and gammas are per unit change in the S&P 500 index.Vegas are per 1% change in volatilityRhos are per 1% change in interest ratesCurrent value of the S&P 500 is 1300(a) (6 points) Construct a hedge position using the above assets that minimizes thecost of the hedge without regard to the operational guidelines.(b) (1 point)(i) Assess whether the hedge determined in part (a) would be in violation of theoperational guidelines for use of derivatives.(ii) Recommend any necessary changes to the guidelines.COURSE 8: Investment - 5 - GO ON TO NEXT PAGENovember 2000Morning Session之名言警句：富裕带来荣誉，富裕创造友谊，穷人到哪儿都是下人。 —— 奥维德
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幻烟

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2022年SOA精算师考试——November2005ExamM（第二部分）路过这里的北美精算师学子们，快来我们报名培训班哦，而且我们这里题库很强大哦。5. A certain species of flower has three states: sustainable, endangered and extinct. Transitionsbetween states are modeled as a non-homogeneous Markov chain with transition matrices i Qas follows:1Endangered Sustainable ExtinctSustainable 0.85 0.15 00 0.7 0.3 EndangeredExtinct 0 0 1Q ? ? ? = ? ? ? ? ?20.9 0.1 00.1 0.7 0.20 0 1Q ? ? =? ? ? ?30.95 0.05 00.2 0.7 0.10 0 1Q ? ? =? ? ? ?0.95 0.05 00.5 0.5 0 , 4,5,...0 0 1iQ i ? ? = = ? ? ? ?Calculate the probability that a species endangered at the start of year 1 will ever becomeextinct.0.27(B) 0.30(C) 0.33(D) 0.36(E) 0.39Exam M: Fall 2005 -8- GO ON TO NEXT PAGE8. A Mars probe has two batteries. Once a battery is activated, its future lifetime is exponentialwith mean 1 year.The first battery is activated when the probe lands on Mars. The second battery is activatedwhen the first fails.Battery lifetimes after activation are independent.The probe transmits data until both batteries have failed.Calculate the probability that the probe is transmitting data three years after landing.(A) 0.05(B) 0.10(C) 0.15(D) 0.20(E) 0.25Exam M: Fall 2005 -9- GO ON TO NEXT PAGE之旷世名言：每一个人都应该有这样的信心：人所能负的责任，我必能负；人所不能负的责任，我亦能负。如此，你才能磨炼自己，求得更高的知识而进入更高的境界。——林肯
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临江仙

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往年真题November2003Course8RU（五）——SOA精算师考试*7最权威的北美精算师考试辅导讲义和笔记——往年真题November2003Course8RU（五）——SOA精算师考试，就在！Afternoon SessionAll Questions pertain to the Case Study9. (15 points) NOC is purchasing a refinery from ABC Company, and will offeremployment to all of the employees at the refinery. All refinery employees are membersof the ABC Refinery Pension Plan and the ABC Refinery Post-Retirement Medical plan.There are no other members of these plans.You are given:Provisions of the ABC Refinery PlansThe ABC Refinery Pension Plan provisions are as follows: Normal Retirement Age: Age 65 Early Retirement Age: Age 60 Normal Retirement Benefit: 1.75% of final earnings times years of service Early Retirement Reduction: Actuarially equivalent Normal Form of Benefit: If married, 50% joint & survivor, withoutreduction. If not married, single life annuity Post-Retirement Indexing: Lesser of 1% or CPI Termination and Pre-Retirement Death Benefits: Lump sum value of theaccrued benefit, excluding indexation.The ABC Refinery Post-Retirement Medical Plan provisions are exactly the sameas NOC’s.COURSE 8: Fall 2003 -10- GO TO NEXT PAGERetirement Benefits。Comprehensive Segment – U.S.Afternoon SessionAll Questions pertain to the Case Study9. ContinuedJanuary 1, 2003 Membership Data – ABC Refinery Plans之名人信念：如果一个人不知道他要驶向哪个码头，那么任何风都不会是顺风。——小塞涅卡
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失忆三叶草

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SOA精算师考试必备2022年份——Course8M（第三部分）奋斗着的年轻人，大家请别怕学习中遇到的种种困难，考试并不是想象中的那么攻不可破哦。SOA精算师考试必备2022年份——Course8M（第三部分），拿去吧。f Wonderful Life achieved the targeted 12.5% return onequity for 2004. Show your work.COURSE 8: Fall 2005 -6- GO TO NEXT PAGEHealth, Group Life & Managed CareQuestions 4-7 pertain to the Case Study6. (9 points) You are the group pricing actuary for Wonderful Life Insurance Company.You are preparing a proposal for Bailey Industries which includes an analysis of priorexperience. You are given the data in Table BI-1b and the following assumptions: The only items causing differences in claims costs are plan design and utilizationdifferences caused by plan design. The average members per contract for both the PPO and HMO plans is 2.2. Member Cost as a percentage of claims is as follows:UtilizationAdjustment RangeMember CostSharing RangeService Type % of Cost Low High Low HighFacility 50.0% 0.0% 5.0% 0.0% 25.0%Professional 30.0% -5.0% 20.0% 0.0% 40.0%Pharmacy 20.0% 0.0%之金玉良言：我们关心的，不是你是否失败了，而是你对失败能否无怨。——林肯
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