SOA真题November2004Course8RC精算师考试

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COURSE8:Fall2004-1-GOTONEXTPAGE
RetirementBenefits,
ComprehensiveSegment-Canada
MorningSession
**BEGINNINGOFEXAMINATION8**
COMPREHENSIVESEGMENT-CANADA
MORNINGSESSION
1.(9points)ApensioncommitteememberatyourCanadianbasedclientbelievesthatthe
interestrateforthedefinedbenefitplanvaluationsistoolow.Hesupportshisviewby
statingthatahigherinterestratewouldlowerthecostoftheplan.Asecondcommittee
memberarguedagainstraisingtheassumption.
Thechairmanofthepensioncommitteehasaskedyoutoleadadiscussionatthenext
pensioncommitteemeetingregardingtheinterestrateassumptionsforfundingpurposes
andforaccountingpurposes,andtheireffectontheinterestedparties.
Outlineyourdiscussion.
COURSE8:Fall2004-2-GOTONEXTPAGE
RetirementBenefits,
ComprehensiveSegment-Canada
MorningSession
Questions2–6pertaintotheCaseStudy
2.(12points)TheCFOofNOChasdecidedtotakeamoreactiveroleinmanagingNOC’s
pensionplanassets.InreviewingtheperformanceoftheNationalOilFull-TimeHourly
UnionPensionPlan,heisdisturbedbytherecentabsoluteperformance.Heproposes
thattheassetsshouldbemovedto100domesticfixedincomebecausethatassetclass
hasoutperformedtheotherassetclassesin2ofthelast3years.
Youaregiven:
CalendarYearRfRmβ
20034210.9
20025-50.85
2001410.8
AdditionalInformationfor2003
TargetPortfolioMix
for2003BenchmarkReturnin
2003
DomesticLargeCap
Equities
3530
DomesticSmallCap
Equities
2547
DomesticFixedIncome254
InternationalEquities1039
RealEstate59
Cash01
(a)DescribethefeaturesinaStatementofInvestmentPoliciesandProceduresthat
couldhelptheCFOinhisevaluationofthePlan’sperformance.
(b)Calculatethe2001,2002&2003RiskAdjustedRateofReturnforthefund.
(c)Calculatethe2001,2002&2003TreynorMeasureforthefund.
(d)Evaluatetheinvestmentperformanceofthefundduring2003.
(e)CritiquetheCFO’sproposal.
COURSE8:Fall2004-3-GOTONEXTPAGE
RetirementBenefits,
ComprehensiveSegment-Canada
MorningSession
Questions2–6pertaintotheCaseStudy
3.(8points)ThegovernmentofGevreyisconcernedthatworkersareharmedbyswitching
companiesperiodicallythroughouttheircareers.Thegovernmenthasaskedforyour
assistanceinunderstandingthisissue.
(a)Describetheimplicationsofswitchingemployersonworkers’retirementbenefits.
(b)SuggestpoliciesthatcouldbeadoptedbythegovernmentofGevreytoimprove
theportabilityofprivateretirementbenefits.
(c)Describehowthesepoliciesaddresstheissuesidentifiedin(a).
(d)DescribetheimpactofthesepoliciesonNOC.
4.(10points)AuditorsinGevreyhavecriticizeditscurrentpensionaccountingstandards
asbeingmisleadingtoreadersoffinancialstatementsandcontrarytotheteachingsof
financialeconomics.
TheDepartmentofAccountingStandardsisconsideringchangestothecurrent
accountingrulestoachievethefollowinggoals:
•Increasedtransparency;
•Improvedconsistencywithhowfinancialeconomicsmeasures“risk”;and
•Morepracticalandusableinformationforfinancialstatementreaders.
(a)CritiquethecurrentaccountingrulesinlightoftheDepartment’sgoals.
(b)RecommendchangestotheaccountingrulestomeettheDepartment’sgoals.
COURSE8:Fall2004-4-GOTONEXTPAGE
RetirementBenefits,
ComprehensiveSegment-Canada
MorningSession
Questions2–6pertaintotheCaseSt

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