SOA真题Course8E第4页精算师考试doc.docx

SOA真题Course8E第4页精算师考试doc.docx

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SOA真题Course8E第4页精算师考试doc

SOA真题Course8E第4页-精算师考试

11.

（8

points）

As

the

new

CFO

of

Zoolander,

you

call

Peter

Fish,

the

CIO,

to

discuss

his

new

derivative

initiative.

You

share

some

of

your

concerns

regarding

oversight

and

risk

management

with

respect

to

this

initiative.

Peter

assures

you

that

his

team

would

be

receptive

to

audit

reviews

but

does

not

want

to

see

the

team

constrained

in

their

day-today

operations

and

in

their

ability

to

achieve

their

profit

objectives.

（a）

Identify

the

potential

operational

risk

exposures

that

are

contained

in

the

proposed

derivative

initiative.

（b）

Reference

the

Group

of

Thirty

（G-30）

recommendations,

and

for

each

suggest

changes

to

Zoolander’s

derivative

initiative

that

would

reduce

operational

risk

concerns.

12.

（6

points）

Zoolander

is

required

to

comply

with

Section

404

of

the

Sarbanes-Oxley

Act

by

submitting

an

annual

report

with

respect

to

internal

control

over

financial

reporting.

In

preparation,

the

Board

of

Directors

has

asked

you

for

the

following

items.

（a）

（1

point）

Identify

the

specific

assurances

that

must

be

made

with

respect

to

internal

control

over

financial

reporting

under

the

Act.

（b）

（2

points）

Identify

other

specific

areas

the

Board

of

Directors

should

question

and

discuss

with

management

to

determine

if

internal

controls

over

financial

reporting

are

sound

and

effective.

（c）

（3

points）

Prepare

a

response

to

three

of

the

questions

you

identified

in

（b）

as

they

apply

to

Zoolander,

citing

specific

examples

to

support

your

answer.

COURSE

8:

Fall

2005

-

12

-

GO

ON

TO

NEXT

PAGE

Enterprise

Risk

Management

Segment

Afternoon

Session

13.

（10

points）

Your

company,

Global

Dynamic

Life

Annuity

（GL

A）,

is

currently

considering

offering

an

Equity-Indexed

Annuity

product.

There

are

four

proposed

designs

under

consideration,

each

employing

a

different

index

methodology:

i.

Point-to-Point

（PTP）

ii.

Compound

Annual

Ratchet

（CAR）,

with

a

2%

floor

iii.

Simple

Annual

Ratchet

（SAR）,

with

a

0%

floor

iv.

High

Water

Mark

（HWM）.

The

product

being

considered

is

a

5-year

single

premium

$1,000

contract

with

a

guarantee

of

2%

on

93%

of

the

premium.

For

each

equity-linked

option,

a

participation

rate

of

65%

will

be

used.

You

are

provided

with

the

following

additional

data

and

information

for

modeling

purposes:

Risk-free

rate

of

interest

for

next

five

years:

5%

Returns

on

equity-linked

index

for

next

five

years:

Year

1:

7%

Year

2:

1%

Year

3:

6%

Year

4:

10%

Year

5:

-18%

Expenses

are

assumed

to

be

1.5%

of

premium.

（a）

（6

points）

Using

the

data

and

assumptions

provided:

i.

Calculate

the

payoff

at

the

end

of

the

fifth

year

under

each

of

the

four

contract

designs.

Show

your

work.

ii.

Calculate

the

percentage

of

the

premium

that

would

be

available

to

pay

for

the

indexation

benefit.

Show

your

work.

（b）

（2

points）

For

each

proposed

contract

design,

describe

the

approach

you

would

use

to

determine

whether

the

proposed

design

allows

for

sufficient

premiums

to

purchase

call

options

for

the

index

guarantee.

You

do

not

need

to

complete

the

calculations.

（c）

（2

points）

Rank

the

four

methodologies

according

to

your

expectations

of

the

option

cost

under

each

indexation

method

and

explain

your

rationale.

COURSE

8:

Fall

2005

-

13

-

GO

ON

TO

NEXT

PAGE

Enterprise

Risk

Management

Segment

Afternoon

Session

14.

（10

points）

Your

company,

Jabba

and

Associates,

has

a

client

whose

entire

holdings

are

invested

in

two

stocks:

Number

of

Shares

Current

Price

per

Share

Current

Value

Stock

A

（SA）

1

million

$10.00

$10,000,000

Stock

B

（

）

SB

2

million

$5.00

$10,000,000

Total

$20,000,000

You

have

been

provided

the

following

data:

Variance-Covariance:

Threshold

Limits

as

a

Function

（based

on

daily

historical

observations）

of

the

Confidence

Level:

Stock

A

Stock

B

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

Simulation:

Rank

10-day

Returns

Rank

10-day

Returns

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%

11

3.2%

10

3.7%

10

3.5%

:

:

:

:

2

8.2%

2

9.1%

1

9.0%

1

10.4%

COURSE

8:

Fall

2005

-

14

-

GO

ON

TO

NEXT

PAGE

Enterprise

Risk

Management

Segment

Afternoon

Session