SOA真题November2004Course8F精算师考试

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COURSE8:Fall2004-1-GOTONEXTPAGE
FinanceandEnterpriseRiskManagement;CoreSegment
MorningSession
**BEGINNINGOFEXAMINATION**
FINANCEANDENTERPRISERISKMANAGEMENT;CORESEGMENT
MORNINGSESSION
Questions1-3pertaintotheCaseStudy.
Eachquestionshouldbeansweredindependently.
1.(7points)ZoolanderLifeisveryconcernedaboutbeingabletosecurereinsuranceforits
termlifeinsurancebusinesslineafterJanuary1,2005.RichardScarlet,thereinsurance
intermediary,hasbeenunabletosecureareplacementforRoseRe’sYRTreinsurance
programatareasonableprice.
Asanalternative,RichardScarlethasproposedacceptinga100fundswithheld
coinsurancecontractwhichisavailablefromCranberryReinsuranceSolutions.Under
thatarrangement,thereinsuranceallowanceissetat10ofcededpremiums,andthe
riskchargeis1oftheoutstandingsurplusaccountfortheprioryear.
Asimplifiedincomestatementforthetermlifeinsurancebusinesslinefollows:
ZoolanderLife
Projected2005
TermLifeBusinessLine
BeforeReinsurance
Premiums
Gross33,000,000
Ceded0
NetPremiums33,000,000
InvestmentIncome
Gross1,650,000
Ceded0
NetInvestmentIncome1,650,000
ReinsuranceAllowance0
TotalRevenue34,650,000
Claims&Surrenders
Gross19,000,000
Ceded0
NetClaims&Surrenders19,000,000
ReserveIncrease
Gross11,000,000
Ceded0
NetReserveIncrease11,000,000
TotalBenefits30,000,000
Expenses&Commissions3,500,000
GainfromOperations1,150,000
COURSE8:Fall2004-2-GOTONEXTPAGE
FinanceandEnterpriseRiskManagement;CoreSegment
MorningSession
(a)ForZoolanderLife,show:
i.thechangeintheincomestatementfor2005undera100funds
withheldcoinsurancearrangement
ii.theoutstandingsurplusaccountasofDecember31,2005.
(b)Explain,fromZoolander’sperspective,thebenefitsoftheirexistingYRT
reinsuranceascomparedtothebenefitsofCranberry’sproposedarrangement.
(c)RecommendifZoolandershouldpurchasethereinsurancefromCranberryReor
shouldretaintherisk.Defendyouranswer.
COURSE8:Fall2004-3-GOTONEXTPAGE
FinanceandEnterpriseRiskManagement;CoreSegment
MorningSession
Questions1-3pertaintotheCaseStudy.
Eachquestionshouldbeansweredindependently.
2.(11points)BonnieHawke,ZoolanderLife’s2ndVicePresidentofCapitalPlanning,
proposestoallocatecapitalbylineofbusinessusingtheGAAPrequiredsurplus
methodology.Youaregiventhefollowinginformation.
ZoolanderLifeProposedCapitalAllocation
LineofBusiness2003Projected
2004
Annuity100.0103.0
Disability150.0160.0
LifeInsurance200.0240.0
Variable215.0225.0
Corporate367.6390.0
Total1,032.61,118.0
(a)Explainwhyacompanymightchoosetoallocatecapitalbylineofbusiness.
(b)EvaluatetheappropriatenessoftheproposedallocationmethodchosenbyBonnie
Hawkeascomparedtoothercapitalallocationmethods.
(c)UsingBonnieHawke’sproposedallocation,determinewhethereachlineof
businessisprojectedtocreateordestroyeconomicvaluein2004andwhether
eachlineofbusinessisprojectedtogeneratefreecashflow.Showyourwork.
(d)Explaintheimplicationsoftheresultsin(c)above.
COURSE8:Fall2004-4-GOTONEXTPAGE
FinanceandEnterpriseRiskManagement;CoreSegment
MorningSession
Questions1-3pertaintotheCaseStudy.
Eachquestionshouldbeansweredindependently.

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