SOA真题November20XXCourse8E第4页-精算师考试.doc
SOA专业面试试题
SOA专业面试试题SOA专业面试试题1、介绍一下你对SOA的认识这个问题可以从WHY SOA和SOA面临的挑战入手回答1. WHY SOA? SOA的好处在哪里?减低IT成本：重用现有的系统，而且SOA系统本身也可以被后来的应用重用; 减少维护费用，对现有系统造成很少的改动。
增加IT收入：快速的适应新的需求，快速的实现，提高性能，实现云计算如 Google, Amazon等等2. SOA面临的挑战有哪些?更多的系统参与到SOA中，更多的人参与到SOA中，需要更多的交流沟通在安全控制方面特别是在EAI(enterprise application integration)的MOM(Message Oriented Middleware)中的安全控制更加复杂需要更高更新的技术参与进来，需要更多的有经验的人员。
2、什么是ESB?请介绍一下ESB?ESB的全称是Enterprise Service Bus (企业服务总线)。
它是一个ielinghuode用于集成各种企业应用即服务的连接基础架构，企业服务总线能够通过简化企业应用及服务之间的链接数量，接口大小以及接口复杂度使企业的面向服务体系SOA更加强大。
Enterprise Service Bus 主要提供一下几方面的功能：1. 在服务于服务之间或者应用于应用之间路由消息;2. 在服务请求者与服务提供者之间转换传输协议;3. 在服务请求者与服务提供者之间转换消息格式;4. 处理来自于各种已购源的业务事件;企业服务总线使企业可以更主要的关于企业的核心业务而不用在关注与连接各种应用的IT基础架构，它还可以让企业在增加新的服务及对已有服务进行修改时，可以对原有系统及服务不产生影响或者只有微小的影响。
3、WSDL的操作类型主要有几种request-response类型是最常见的操作类型，但是WSDL总共有四种操作类型。
Type：定义One-way：这个操作会接受消息但是不会返回一个响应Request-response：这个操作会接受一个请求而且返回一个响应Solicit-response：这个操作会发送一个请求然后等待响应Notification：这个操作会发送一个消息而且不等待响应。
SOA真题November2003Course8M
北美精算师 COURSE 8: Fall 2003 -1- GO TO NEXT PAGEHealth, Group Life & Managed CareMorning Session**BEGINNING OF EXAMINATION**HEALTH, GROUP LIFE & MANAGED CAREMORNING SESSION1. (4 points) Your CEO is departing for a meeting to discuss the marketing strategy for a new managed care product. He has asked you to brief him on the following topics:(a) With regard to distribution models(i) Describe traditional and alternative distribution models.(ii) Describe considerations relative to the major constituent groups thatinfluence the distribution process.(b) Describe market segments commonly used for managed care products.Questions 2 – 8 pertain to the Case Study2. (9 points) You have been asked to analyze the claim experience for Wonderful Life in Tables MM-6a and MM-6b of the case study.(a) Describe the impact on trend of company-specific care management initiatives.(b) Calculate the year-over- year quarterly rolling trend for 3Q02 and 4Q02.(c) Recommend baseline trends for Hospital, Non-Hospital and Total Medical Costs. Assume the last half of 2002 is predictive of future trends. Justify your answer.(d) Based on the following assumptions:• On January 1, 2003, 50% of the hospitals will accept 10% discount off the2003 Hospital contracted rate.• These hospitals deliver 1/3 of your facility care.• The remaining hospital contract costs will increase as expected.• Utilizatio n does not change.Calculate a revised estimate of Hospital and Total Medical Trend. Show yourwork.(e) Marketing has just sold a large group with 5,000 employees (12,000 members).All of the group members will only use hospitals that accept the 10% discount. Calculate a revised estimate of Total Medical Trend. Show your work.COURSE 8: Fall 2003 -2- GO TO NEXT PAGEHealth, Group Life & Managed CareMorning SessionQuestions 2 – 8 pertain to the Case Study3. (13 points) You are a consultant for Bailey Industries. Bailey has been struggling to balance increased medical costs against emplo yee demand for more choice in coverage. Bailey is considering the adoption of a new medical plan with patient-directed benefits.In addition to Table B-1, you are given the following claims probability distribution and proposed benefit options:Claims Range Percentage of Employeeswith claims cost in rangeAverage claims cost peremployee in range$0 15% 0$1 - $1,000 40% $400$1,000 - $2,000 15% $1,500$2,000 - $5,000 15% $3,500$5,000+ 15% $25,000Option A Option BDeductible $1,000 $2,000Coinsurance 10% 20%Annual EmployeePremium $0 $0Employer funds placedin Employees PHA$500 $1,250(a) (1 point) Describe problematic aspects of the current employer-sponsored systemfor employers and employees.(b) (3 points) Describe key implementation considerations for an employer adopting aPDHB approach and how they would apply to Bailey Industries.(c) (3 points) Describe models used to predict selection costs for the medical options. Identify and explain why certain models are not appropriate for evaluating costsfor Bailey Industries.(d) (6 points) Assume a group of all single employees who, absent choice, would be equally distributed between the two options. Assume PHA (Personal HealthAccount) funds are expenses to Bailey Industries.(i) Construct a choice model for Options A&B and calculate maximumadverse selection cost.(ii) Explain why adverse selection will be less than the amount calculated by achoice model.(iii) Describe methods to manage adverse selection in PDHB models.COURSE 8: Fall 2003 -3- GO TO NEXT PAGEHealth, Group Life & Managed CareMorning SessionQuestions 2 – 8 pertain to the Case Study4. (5 points)You are the chief actuary for Wonderful Life. You must determine whether Wonderful Life needs to hold any premium deficiency reserves (PDR).(a) (1 point) Outline assumptions to be considered when calculating a PDR.(b) (1 point) Recommend the groupings Wonderful Life should use to assess the needfor a PDR. Support your recommendation.(c) (3 points) In addition to Tables MM-1, MM-7, and MM-2a you are given thefollowing information:• The overall 2003 rate increase is limited to 12% due to small employer rating requirements.• This rate increase limit only applies to 2003.• Member termination from 2002 to 2003 will be at the same rate as has been experienced in the past.• Expenses are calculated assuming an average of 1.75 members peremployee.• Ignore interest and income taxes.Determine if a PDR should be held as of 12/31/2002 for the closed block ofbusiness in Wonderful Life’s Small Group Department.COURSE 8: Fall 2003 -4- GO TO NEXT PAGEHealth, Group Life & Managed CareMorning SessionQuestions 2 – 8 pertain to the Case Study5. (7 points) Your manager at Wonderful Life Insurance Company has asked you to calculate renewal rates for Group 6 for a March 1, 2003, renewal date using a combination of multi- year loss ratio and catastrophic pooling methods.In addition to information from Tables MM-2a and MM-2b:• Assume case characteristics for Option 1 and Option 2 are the same for both years as shown in Table MM-3b.• The gross premium for Group 6 for July 1, 2000 to June 30, 2001 was $5,800,000.• Weights for averaging are 75% for current rating period and 25% for prior rating period.Calculate the annual gross premium for an employee with dependents selecting Option 1. Show your work.6. (3 points) You have been asked to develop materials for a meeting to discuss Wonderful Life’s 5- year plan.(a) Describe possible strategies a group insurance company could use to gain a competitive advantage.(b) Describe how Wonderful Life Insurance Company has demonstrated these strategies in their four primary business divisions. Give an example of such astrategy for each division.COURSE 8: Fall 2003 -5- GO TO NEXT PAGEHealth, Group Life & Managed CareMorning SessionQuestions 2 – 8 pertain to the Case Study7. (8 points) In addition to the information provided in Tables C-1, C-2, MM-1, MM-4a to MM-6b, you have been given the following:• Investment income and taxes are based on 2002 corporate levels• Corporate after-tax Return on Equity (ROE) objective for 2003 = 15%• Cost of Capital = 10%• Risk-based surplus for Major Medical division is 18% of premium.• Recast of Major Medical Division’s IBNR as of 12/31/99 is $50,000 more thanoriginally booked.Total of MM-6a & 6bYear Incurred and Paid($1,000s)Incurred Estimate($1,000s)IBNR Estimate($1,000s)2000 $1,004,700 $1,004,700 $02001 $1,125,200 $1,126,224 $1,0242002 $1,121,300 $1,378,977 $257,677(a) (1 point) Describe the importance of using recast data in financial management.(b) (3 points) Convert the corporate ROE objective into the equivalent:(ii) corporate underwriting gain objective(iii) corporate loss ratio objective(c) (4 points) Using recast claims data, calculate the Economic Value Added as apercentage of capital invested for the Major Medical Division for 2000, 2001 and2002. Show your work.COURSE 8: Fall 2003 -6- SHealth, Group Life & Managed CareMorning SessionQuestions 2 – 8 pertain to the Case Study8. (6 points) You are evaluating Wonderful Life’s reserves and believe the claim lag patternmay have recently changed.(a) Calculate the age-to-age development factors based on 9/2001 to 12/2002emerging experience using claims paid in the most recent two months on TableMM-4b.(b) Estimate incurred claims for December 2002 assuming all claims are completeafter 15 months.(c) Describe considerations involved in using age-to-age development factors toestimate incurred claims.9. (5 points) You are the pricing actuary for the division of LTDC Life Insurance sellinggroup long term disability and group long term care products. Given the recentfluctuations in the experience, you are considering implementing a reinsurance agreementbut must convince your Vice-President that it is needed.(a) Explain the different approaches LTDC Life can use to reinsure its Group LTDand LTC products.(b) Explain risk characteristics of each product line that make the use of reinsuranceattractive.**END OF EXAMINATION*MORNING SESSIONCOURSE 8: Fall 2003 - 7 - GO ON TO NEXT PAGEManaged Care SegmentAfternoon Session**BEGINNING OF EXAMINATION**MANAGED CARE SEGMENTAFTERNOON SESSIONBeginning With Question 1010. (3 points) You have been asked to summarize the report of the SOA MedicalEffectiveness Task Force.(a) Explain the importance of measuring medical effectiveness.(b) Explain the main health plan performance evaluation categories.COURSE 8: Fall 2003 - 8 - GO ON TO NEXT PAGEManaged Care SegmentAfternoon Session11. (4 points) Your company offers an insurance product with the following equally likelyevents.Severity of Claim Given Event OccursEventFrequency of ClaimGiven Event Occurs Probability Claim Size1 25% 75%25%1,0005002 50% 50%50%1,0005003 75% 10%90%1,000500You are also given the following additional information:• 7 yea r s o f c l a i m s h i s t o r y f o r o n e i n d i v i d u a l b r b d s f i d = " 2 4 5 " > Y e a r C l a i m s b r b d s f i d = " 2 4 6 " > 1 - b r b d s f i d = " 2 4 7 " > 2 5 0 0 b r b d s f i d = " 2 4 8 " > 3 - b r b d s f i d = " 2 4 9 " > 4 - b r b d s f i d = " 2 5 0 " > 5 1 , 0 0 0 b r b d s f i d = " 2 5 1 " > 6 1 , 0 0 0 b r b d s f i d = " 2 5 2 " > 7 -。
北美精算师(SOA)考试P 2000 November年真题
(A) (B) (C) (D) (E)
208 260 270 312 374
November 2000
1
Course 1
2.
An investor purchases two assets, each having an initial value of 1000 . The value Vn of the first asset after n years can be modeled by the relationship:
0.06 0.16 0.19 0.22 0.25
Course 1
12
Form 00B
13.
An actuary believes that the demand for life insurance, L, and the demand for health insurance, H, can be modeled as functions of time, t:
What is the approximate probability that there is a total of between 2450 and 2600 claims during a one-year period?
(A) (B) (C) (D) (E)
0.68 0.82 0.87 0.95 1.00
Course 1
2
Form 00B
3.
An auto insurance company has 10,000 policyholders. Each policyholder is classified as
(i) (ii) (iii)
young or old; male or female; and married or single.
SOA真题November2004Course8F第2页-精算师考试.doc
SOA真题November2004Course8F第2页-精算师考试3.(11points)Inarecentprivateconversationwithyou,BillBuck,Zoolander’snew2ndVice PresidentofEnterprise Risk Management, expressedhisconcernabout Zoolander’s current compensation structureandtop management’sfrequent absences. He added, “Ifear being caughtina situation similar to Enronor Barings. Withshareholders, Boardof Directors, rating agencies and management all monitoring those companies, why wasn’t anyone awarethe problems beforeitwastoo late?”(a)(2points) Identifytheitemsin Zoolander’s currentcompensation structure thatcreate improper incentives andexplainhowtheycould impactthe company’s financials.(b)(1Describethe concernsa shareholder mayhavewiththe structureof Zoolander’s compensation system.(c)(4Describe therolesthatthe shareholders, Boardof Directors, rating agencies, and management should eachplayensurethatacompany doesnotfail.(d)(4points) Identify areaswhere Zoolander’s shareholders, BoardDirectors, rating agencyand management arenot meeting their obligations. COURSE 8:Fall2004-5-GOTONEXT PAGE Financeand Enterprise Risk Management; Core Segment Morning Session4.(13 points)aretheCFOforVan Halbach Airlines. Research has determined that adding routesto Nebraska wouldvery profitable iffuel costs remain levelor drop. Financing of100 millionis neededtothe additional routes. Assume the following: Only2 scenarios existforthenext year:fuel costsremain levelorthey increase. The valueofthe additional routesin1yearis250 millionfuel costs remain level. The valueofthe additional routesin1yearis30 millionfuel costs increase. Risk-free rateis3%. Costof Equity Capital is 10%. CostofDebtis6%. Probability thatfuel costs remain levelis50%. Risk neutral probability thatfuel costslevelis60%.(a)(4points) Describe advantages and disadvantages of financingtheroute expansion throughofthe following methods: Equity Public debt Private debt Hybrid debt(b)(6 points) Calculate thetoVan Halbach ofthe additional routes under eachofthe following scenarios. Show your work.financing isfromthe issuance of common stock The financing is evenly split between common stockissuance andpublicdebtThe financingisfrom publicdebt(c)(2 points) Recommend afinancial structurethe route expansion basedonyour analysis in(a)and (b) above. Support your position.(d)point) Assume derivatives existtohedgethepriceoffuel.Explain whetheryour recommendation in(c)would change. Support your position. COURSE 8:Fall 2004-6-GOTO NEXT PAGE FinanceEnterprise Risk Management; Core Segment Morning Session5.(9points)YouhavebeenaskedtoperformanalysisoftheALM functionofMurray Life. Belowis information concerning the assetsand liabilitiesMurray Life: Assets Market Value Effective Duration Bonds 7.06.0 Mortgage Backed Securities 4.54.8 Stocks(Preferred & Common) 2.50.0 Mortgage Loans1.07.4Short-Term Bonds3.01.0Total18.0 Liabilities FairEffective Duration Legacy SPDA 7.03.5 Whole Life Insurance 3.08.6 Term Life Insurance 5.04.215.0 Murray Life has added anew SPDA product which isnot included inthe aboveanalysis. The new SPDA hasa liability fair valueof2.0andan effective duration of2.5.The assets backing this liability areyettobe invested. The available investment choices are limitedtolong-term bonds withan effective duration of8.0and short-term bonds withan effective duration of1.0.(a)(3 points) For eachofi,ii,andiii, provide the allocation oflong-term and shorttermbonds which satisfy the stated ALM goal:i. Duration matching ofthenew SPDA’s assets and liabilitiesii.Holistic matchingoftheasset duration withtheliability durationiii.Holistic minimization ofthe effectivedurationof surplus(b)(2 points) Describe the limitations ofeachofthe approaches in (a).(c)(4 points) Describe other ALMandnon-ALM approaches to protect Murray Life against general investment risk. COURSE8:Fall2004-7-GOTONEXT PAGE Financeand Enterprise Risk Management; Core SegmentSession。
20XX秋季中国精算师考试《精算管理》真题(回忆版).doc
2012秋季中国精算师考试《精算管理》真题(回忆版)第一部分：10个选择题，都是多选，一个两分,一共20分1总精算师的条件(给了好几种不同情况，包括在学会、协会的会员资格和工作经验)2哪些方法是从实际上提高偿付能力的手段3沟通的目的4对数据的验证(71页)5净保费加成法与资产份额法的特点6风险定义中强调了“目标”“约束条件”两个基本要素，属于“目标”的有(选项中有赔付率，费用率，综合成本，剩下两个忘了)7风险的经济性的含义?8定价目标第二部分：问答题，共80分11.专门职业具备哪些因素，为什么说精算师是一种专门职业(8分)12.在文化和社会因素、人口因素、法律和监管因素、经济因素中任选三个举例说明未来变动的趋势和对精算师工作的影响(6分)13.风险管理系统中风险识别的主要目标、主要内容和方法、主要结果;以及风险识别与明确问题的关系(6分)14.精算管理系统循环在精算建模中的体现及精算控制循环各步骤的具体含义(6分)15.什么是隐形假设?给出隐形假设的三个例子(4分)16.简述经验分析微循环(5分)17.除了客户需求外，产品开发的主要原则(7分)18.给出了一个公司产品开发环节不理想的例子(1)简述产品开发与管理循环过程(5分)(2)指出该公司的产品开发可能出现了哪些问题，怎样解决?(5分)19.负债评估假设的主要考虑因素(8分)20.(1)负债评估流程在利源分析中的体现(4.5分)(2)结果监控与反馈中对负债评估结果分析的主要方法(3分)(3)对利源分析结果主要采用哪种方法(2.5分)21.保险公司尤其是寿险公司进行资产负债管理的动因(5分)22.除了保险资金负债性，长期性，寿险公司在资产负债管理中面临的其他特殊风险(5分)。
SOA真题November2003Course8V第5页-精算师考试.doc
SOA真题November2003Course8V第5页-精算师考试20.(6points)AfinancialinstitutionhassoldshortthreeEuropeancalloptionsonastockwiththefollowing characteristics:Stock price:100Strikeprice:110V olatility:20%Expiry:2yearsContract size:1,000 sharesDividends: noneRisk-free rate:5%(a)Points) Describe and evaluate strategies the financial institution canuse tomanage theriskofthis portfolio.(b)Point) Calculate delta, thetaand gammaforthe portfolio.(c) (1Point) Verifythe calculations ofdelta,andgammabyshowingthattheresultsfortheportfoliosatisfytheBlack-Scholes-Merton differential equation.COURSE 8:Fall-17-GOONTONEXT PAGEInvestmentAfternoon Session21.(6points)AmodelofthetypeGARCH(1,1) isbeingusedtoset volatilityfor integervalues ofstrikepriceforanoption pricing modelthatisbasedona lognormaldistribution. Youhavethefollowing informationonthemodelforaspecificunderlyingasset:Aweightof10%isgiventoavarianceof4%thatis reachedasymptotically asthestrike price increases toward infinity. The model assumes returns area constant 20%.A weight of80%isgiventothe variance determined fortheprior strikeprice. The varianceis9%forastrikepriceof0.(a) Calculate the change in volatility for eachof strike pricesof1and2assuming thevariance forastrike priceof0 decreases from9%to8%.(b) Assess whether themodelthegiven parameters ismore appropriate for anequity optionora currency option. Support your answerinterpreting theresulting implications forthe volatility smile.(c) Describe howto determine a maximum likelihood estimateforabovemodel,assuming the distributionofreturns conditionedonthevarianceisnormal.COURSE 8:Fall2003--GOONTONEXT PAGEInvestmentAfternoon Session22.(7points)YouwouldliketocalibrateanewMonteCarlo pricing modelby comparingthe modelpricetotheBlack-Scholes priceofaEuropeancalloptionanon-dividendpayingstock.TheEuropeancalloptionandtheunderlyingstockhavethe followingcharacteristics:Current stockvalue100Expected growthrateofthestockprice=10%V olatility =25%Exercise price=95Timetomaturity6monthsRisk-free interestrate=6%Black-Scholes priceoftheoption=11.37Assume thatthe percentage changethestockpriceisnormally distributed.(a) Calculatethecontrol variate technique adjustment using stratified samplingon3intervals.(b) Describe additional techniques thatcanbeusedtoimprovethe efficiencyof theMonte Carlo method.(c) DescribehowtheMonteCarlomethodcanbeadaptedtocalculatetheprice ofAmerican options.COURSE 8:Fall2003-19-GOONTONEXT PAGEInvestmentAfternoon Session23.(6points)Youaregiventhefollowinginformationaninterestratecollar withquarterly resets.Assume quarterly compounding unless otherwise indicated.Notional amount=100,000,000Strike interestforcap=7.0%Strike interest rateforfloor=4.5%Time to expiration =2 yearsTime t3-monthinterestratestartingattimetZero-couponinterestratetotimet (continuouscompounding)9 months5.0%4.49%12months5.2%months 5.3%4.77%(a) Compare thecollartoa portfolio ofbond options with equivalent payoffs.(b) Calculate,using Black’s model, thepriceofthe floorlet that prevents the interestrate from being lower thanthestrikepricefor3months startinginoneyear.Assume thatthe volatilityofthe underlying three-month rate20%.(c)AssessthesuitabilityofBlack’smodelforvaluingoptions embeddedinamortgage backed security.COURSE 8:2003-20- STOPInvestmentMorning Session24.(3points)Youhavebeenaskedtoreviewthetradingcostsoffollowing stock:Time Price Number ofshares traded(Previous closeis441/8)1:40pm441/810001:42441/420001:45 44 5001:46 437/8 50001:50 433/4 20001:51 437/8 4001:54 441/4 6000(a) Explain whymeasurement oftrading costsis important.(b) Calculate theprice impactoftradingfortheabovestockthe“moneyflow”systemasadaptedbyBirinyi.***ENDOF EXAMINATION***。
SOA真题November2003Course8F第4页-精算师考试.doc
SOA真题November2003Course8F第4页-精算师考试11.(8points)Youarethepricingactuaryforamulti-nationalreinsurancecompany,ABCRe.WXYLifehas approached you regarding a transaction thatwould efficiently utilizeWXY Life’s expiring taxlosscarryforwards (TLCF).Note the following: WXYLifeisratedBBB-byawellknown credit rating agency. NoneofWXY Life’s existing business is currently reinsured. Local regulations prohibit WXYLifefrom takinga reservecreditfor reinsurance. ABCRedoesnot currently havea relationship withWXY Life.Below isWXY Life’sprojected statutory income:WXY Life’s Projected Statutory IncomeYear Pre-tax Statutory Income Expiring TLCF2003 -2102004 22005 42006 5200782009 82010 82011 820128You have decidedto proposea modified coinsurance structure effective December 31,2003the following features: Retention equals 25%ofall existing business. Therisk charge equals 4%ofbeginning ofyear Outstanding Surplus Account (OSA). The modified coinsurance interest rate equals LIBOR+3%.WXYLifecan recapture theblockof business oncetheOSA balance reaches zero.Theinitial reinsurance allowanceefficiently usethe expiring TLCF.(a) (5 points) Assumeall reinsurance accounts are settledattheendeach calendaryear andLIBORequals4% throughouttheprojection period.Basedonthe aboveprojection, determine whenLifecan recapturetheblockof business. Showyour work.COURSE 8:Fall2003-11-GOTONEXT PAGEFinanceAfternoon Session11. Continued(b)(2points)Commentonthe appropriatenessofthelevelofthecharge beingoffered byABCRe.(c)(1point) Identifythe conditions that shouldbe includedinthisfinancialreinsurance treatyinordertogainstateregulator acceptance.12.(5points)SpencerLifeisamedium-sizedlifeinsurance corporationwith approximately$100 millioninassetsunder management.TheChief Investment Officerhasaskedyoutoevaluatetax-structured dealofferedbyan investment broker.The following detailshave been provided: Proceedsofthe investmentgiventotheFederalHousing Corporation, agovernment-sponsored corporationthatbuildsandrentslow-income housing.Theinvestmenta quarterly coupon of LIBOR +100 basis points. 50%ofthe interest income from theinvestment is deductible for federaltax purposes. Alternative investments thatarefully taxable andhave similar creditcurrentlyyield 125basispointsover LIBOR.The minimum investmentis$1million. Current LIBORis1.50%.Federal TaxRateis35%.If Spencer decidesto participate inthe investment, an interest rateswapbeusedtoimprovethematchbetweenthecashflowsfromtheinvestmentandthecorporation’sfixed-rate liabilities.(a)Analyzepotential benefitsandcostsof participating inthetax-structured deal.(b) Recommend howtousetheFAS133accountingrulestominimizenetincomevolatility.(c)Describetheimpactonthefinancialstatementandthe documentationrequirementsyour recommended approachinpart(b).COURSE 8:Fall2003-12-GOONTONEXTPAGEFinanceAfternoon Session13.(17points)NougatInc.isasmallregionalproducerofchocolate confectionaries. ThefounderandCEOthecompany recentlyretiredandplacedthecompanyupforsale.Butterscotch Inc.,Caramel Inc.,andFudgeareall confectionary companies thatplanto makebidsfor Nougat. Butterscotch hasbeenanational manufacturerofavarietyofcandybarsforover100years. Butterscotch is100% ownedbyaprivate trust.Caramelisamaturemulti- national conglomerate thathasbeeninsomeaspectof theconfectionary businessforover300 years.Overthepast decade management hasbeen pursuing growth throughasmall numberof strategicacquisitions. FudgewasstartedfiveyearsagoafterFudge’s founder cashedoutofhis internetcompany andwasinspiredafterreadingaboutayoungboy’striptoa chocolatefactory. ThefinancialpresshascalledFudge“innovating –not imitating–a hipcompany thatistakingashotat bringing growth backtothechocolate business’bottom lineandwaist-line”.Assumethefollowing:Allphysicalassetsareownedby corporations. Capitalmarketsare frictionless. Thereareno corporateorpersonal income taxes,securities canbe purchasedorsold costlesslyinstantaneously, andthereare nobankruptcy costs. Corporations canissueonlytwotypesof securities, riskyequityrisk-free debt.Both individuals and corporations can borroworlendattherisk-free interestInvestorshave homogeneous expectations aboutthefuturestreamof corporateprofits. Thereisnogrowth,soallflow streamsare perpetuities. All corporations canbe classified intooneofseveral “equivalent return classes”suchthatthereturnsonsharesofallfirmsinthatclassare proportionalto,and perfectlycorrelated with,otherfirmsofthatclass.Youareprovidedwiththefollowing information:Nougat Butterscotch Caramel FudgeExpected return10%10%10%Expected operating profits100,000 200,000 200,000 200,000Debt outstanding@5%interest1,000,000 100,000SharesStock50,00040,00020,00038,000Financing plansforacquisitionofNougatN/A100%equity50%debt,50%equityNot yetdeterminedCOURSEFall2003-13-GOONTONEXT PAGEFinanceAfternoon。
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SOA真题November2004Course8E第4页-精算师考试9.Continued(c)(4points)DescribewaystohedgetheliabilitiesoftheV Aandthepractical considerations associated witheach.(d)(2points) ExplainthefactorsGALshould considerindecidingto hedgeitsV A liabilities.(e)(3 points) The Chief Actuary has calleda meeting tofirstyear performance oftheV A product. You suspectshewantsto discontinue future sales. Outlineresponse which: supports continued salesand addresses anyproduct shortcomings. COURSE 8:Fall2004-12GOONTONEXT PAGE Enterprise Risk Management Segment Afternoon Session Question10 pertainstotheCase Study. 10.(10 points)AsthenewCFOof Zoolander, youhave been askedto determinewhether thenew Enhanced Savings Annuity (ESA) product shouldbe launched as scheduled. You havemetwithproduct teamandother executives involved withthe product andhave received the following additional information:productwillbesoldtomiddle-income individuals. Theproduct involvesacomplex investment andtax strategy.The investment strategyistotarget high returns with mostoftherisk being bornebytheindividual. The earnings model usedbythe product development team indicatesahighROE basedonthemarketing area’s projected sales volume. Pricing was basedon estimated expenses usingthe same projected sales volumeinthe earnings model.The productis expectedto generateahighdaily volumeof transactions,willbe administered usingthenewTripleP system. Marketing materials havebeen developed and ordered.Regulations require detailed quarterly statements tobesenttoeach participant. Duetothe complexity oftheproduct therearestrict disclosure requirements to prospective clientsandthe company mustattest annually thatthesalesforcehasbeen properly trained. Thetax authority hasnotissued clarification regarding thetax implicationsthis productbutis expectedtodosoinseveral months. Basedonthis information: (a)points) Identify areasof concern withtheESA product development processtodate,and propose ERMbest practices to address these areasof concern.(b)(4 points) Determine the operational risk exposures toZoolander associated with launching the ESA,and categorize as people, process,or technology.(c)(2 points) Describecomponents ofan operational risk assessment reportthatcanbeusedto evaluate therisks associatedthis product. COURSE 8:Fall 2004-13-GOONTO NEXT PAGE Enterprise RiskManagement Segment Afternoon Session11.(5points)Themulti-line, multi-national insurance company, Titanic Life, recently establishedaRisk Management Committee (RMC)uponthe recommendation ofitsinternal auditing team.TheCEOofTitanicischairing the RMC. Following thefirsttwo monthly meetings, he concluded thatthe meeting agendas andtheitself werenotvery fruitful, sincethemajor risks were handled wellbyeach respective operationalAsthenewly hiredCROof Titanic, youhavebeen askedtojustifythe continuation ofRMC. (a) Explainthe benefitsofa centralized risk management function andthe elements requiredforits successful implementation.(b)IdentifythetypesofriskthatapplytoTitanicLifeasamulti-line,multi-national insurance company which would warranta centralized risk management function. 12.(5points)Youareaconsultant to Zambro, Inc.,aBBB-rated oilandgas company. The company isrunbyagroupsenior managers who participateinan incentive compensation programthathasgranted thema significant amountstock options. Zambro believesithas valuable information regarding futureoilpricesandis considering eitherselective hedging strategy basedonthis information orafull-cover hedging strategy. Asanexpertinmanagement youhavebeen askedtoprepareareportforsenior management on hedgingasamanagement tool.(a) Explainthemajor costs associated with higher variability of corporate earnings andcashand describe howrisk management can reduce eachofthese costs. (b) Explain how Zambro’s creditand compensation program couldeach influencethe company’s choiceofahedging strategy. COURSE 8:Fall-14-GOONTONEXT PAGE Enterprise Risk Management Segment Afternoon Session 13.(15Exponential Lifehas recently suffered excessive credit lossesinits corporate bond holdings. Exponential Lifehasthatits systemof setting credit exposure limitsis inadequate andhas assigned youto exploretools with whichto better manage its credit risk position. You have extracted the following datacommercial creditrisk models: Year(t)Risk-free ZeroRate1-Year Forward Credit Spreads,tYears ForwardFSt) Cumulative risk-neutral EDFs()Qt13.00%0.90%2.00%23.00%1.26%4.00%Using theKMV approach, determine the credit spreadofa2-year corporate bond withafacevalueof $100 that pays annual coupons of 5%, assuming a40% recovery rate. Show your work.(b)Usingthe Reduced-Form approach, determinethecredit spreadofa2-year corporate bondwithafacevalueof $100 that pays annual coupons of 5%, assuming a40% recovery rate. Show your work.。