SOA真题November2005ExamFM精算师考试

07-10-16 23:15:31    学人教育社区    加为收藏    推荐给好友

ExamFM
November2005
November20054CourseFM
1.Aninsurancecompanyearnedasimplerateofinterestof8overthelastcalendaryear
basedonthefollowinginformation:
Assets,beginningofyear25,000,000
SalesrevenueX
Netinvestmentincome2,000,000
Salariespaid2,200,000
Otherexpensespaid750,000
Allcashflowsoccuratthemiddleoftheyear.
Calculatetheeffectiveyieldrate.
(A)7.7
(B)7.8
(C)7.9
(D)8.0
(E)8.1
November20055CourseFM
2.CalculatetheMacaulaydurationofaneight-year100parvaluebondwith10annual
couponsandaneffectiverateofinterestequalto8.
(A)4
(B)5
(C)6
(D)7
(E)8
November20056CourseFM
3.Aninvestoraccumulatesafundbymakingpaymentsatthebeginningofeachmonthfor
6years.Hermonthlypaymentis50forthefirst2years,100forthenext2years,and
150forthelast2years.Attheendofthe7thyearthefundisworth10,000.
Theannualeffectiveinterestrateisi,andthemonthlyeffectiveinterestrateisj.
Whichofthefollowingformulasrepresentstheequationofvalueforthisfund
accumulation?
(A)()()()42
2411213200isiii =􀀅􀀅
(B)()()()42
2411213200isjjj =􀀅􀀅
(C)()()()42
2411213200jsiii =􀀅􀀅
(D)()()()42
2411213200jsiii =
(E)()()()42
2411213200isjjj =
November20057CourseFM
4.Aten-year100parvaluebondpays8couponssemiannually.Thebondispricedat
118.20toyieldanannualnominalrateof6convertiblesemiannually.
Calculatetheredemptionvalueofthebond.
(A)97
(B)100
(C)103
(D)106
(E)109
November20058CourseFM
5.Alexisaninvestmentanalystforalargefundmanagementfirm.Hespecializes
infindingrisk-freearbitrageopportunitiesinthestockmarket.
Hisstrategyconsistsofsellingaspecificnumberofcalloptionsforeachshareofstock
selectedinthefund.
WhichofthefollowingbestdescribesthetechniqueusedbyAlextoachievehisgoal?
(A)BlackScholesoptionpricingmodel
(B)CapitalAssetPricingModel
(C)Fullimmunization
(D)Shortsales
(E)Hedgeratio
November20059CourseFM
6.Considerayieldcurvedefinedbythefollowingequation:
20.090.0020.001kikk= −
whereikistheannualeffectiverateofreturnforzerocouponbondswithmaturity
ofkyears.
Letjbetheone-yeareffectiverateduringyear5thatisimpliedbythisyieldcurve.
Calculatej.
(A)4.7
(B)5.8
(C)6.6
(D)7.5
(E)8.2
November200510CourseFM

loading...

上一篇:     下一篇: