SOA真题Course8E第4页精算师考试doc文档格式.docx

SOA真题Course8E第4页精算师考试doc文档格式.docx

《SOA真题Course8E第4页精算师考试doc文档格式.docx》由会员分享，可在线阅读，更多相关《SOA真题Course8E第4页精算师考试doc文档格式.docx（23页珍藏版）》请在冰豆网上搜索。

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