SOA真题Course8E第4页精算师考试doc文档格式.docx
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receptive
audit
reviews
but
does
not
want
see
constrained
in
their
day-today
operations
ability
achieve
profit
objectives.
(a)
Identify
potential
operational
exposures
are
contained
proposed
(b)
Reference
Group
Thirty
(G-30)
recommendations,
for
each
suggest
changes
Zoolander’s
initiative
reduce
concerns.
12.
(6
Zoolander
is
required
comply
Section
404
Sarbanes-Oxley
Act
by
submitting
an
annual
report
internal
control
over
financial
reporting.
In
preparation,
Board
Directors
has
asked
following
items.
(1
point)
specific
assurances
must
made
reporting
under
Act.
(2
other
areas
should
question
determine
if
controls
sound
effective.
(c)
(3
Prepare
a
response
three
questions
identified
as
they
apply
citing
examples
support
answer.
COURSE
8:
Fall
2005
-
12
GO
ON
TO
NEXT
PAGE
Enterprise
Risk
Management
Segment
Afternoon
Session
13.
(10
Your
company,
Global
Dynamic
Life
Annuity
(GL
A),
currently
considering
offering
Equity-Indexed
product.
There
four
designs
consideration,
employing
different
index
methodology:
i.
Point-to-Point
(PTP)
ii.
Compound
Annual
Ratchet
(CAR),
2%
floor
iii.
Simple
(SAR),
0%
iv.
High
Water
Mark
(HWM).
The
product
being
considered
5-year
single
premium
$1,000
contract
guarantee
on
93%
premium.
For
equity-linked
option,
participation
rate
65%
will
used.
provided
additional
data
information
modeling
purposes:
Risk-free
interest
next
five
years:
5%
Returns
Year
1:
7%
2:
1%
3:
6%
4:
10%
5:
-18%
Expenses
assumed
1.5%
Using
assumptions
provided:
Calculate
payoff
at
end
fifth
year
designs.
Show
work.
percentage
available
pay
indexation
benefit.
design,
describe
approach
use
whether
design
allows
sufficient
premiums
purchase
options
guarantee.
do
need
complete
calculations.
Rank
methodologies
according
expectations
option
cost
method
explain
rationale.
13
14.
Jabba
Associates,
client
whose
entire
holdings
invested
two
stocks:
Number
Shares
Current
Price
per
Share
Value
Stock
A
(SA)
1
million
$10.00
$10,000,000
B
(
)
SB
2
$5.00
Total
$20,000,000
have
been
data:
Variance-Covariance:
Threshold
Limits
Function
(based
daily
historical
observations)
Confidence
Level:
99.97%
-3.43
Average
0.10%
0.05%
99.87%
-3.00
Standard
Deviation
2.00%
1.00%
99%
-2.33
Correlation
Coefficient
ρ
A,B
=
0.2
95%
-1.65
Historical
Simulation:
Monte
Carlo
10-day
100
-9.6%
1000
-15.7%
99
-8.9%
999
-15.3%
98
-7.9%
:
991
-14.9%
90
-7.1%
990
-14.7%
89
-6.9%
989
-14.4%
50
1.1%
500
0.8%
11
3.4%
3.2%
10
3.7%
3.5%
8.2%
9.1%
9.0%
10.4%
14