| SOA真题November2004Course8IC |
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COURSE 8I: Fall 2004 -1- GO ON TO NEXT PAGE
Individual Insurance – Canada
Morning Session
**BEGINNING OF EXAMINATION 8**
INDIVIDUAL INSURANCE – CANADA
MORNING SESSION
1. (5 points) ABC Life has a career agency distribution system. ABC’s management is
reviewing their financing plan for new agents.
(a) Describe the different types of financing plans for new agents and explain the
advantages and disadvantages of each according to LIMRA.
(b) You are given the following information:
Year Average
Annualized First
Year Premium
Agent
Termination
Rate
Subsidy Validation
Schedule
Commission
1 $60,000 50% 120% $20,000
2 $80,000 25% 80% $25,000
3 $100,000 10% 40% $30,000
4+ $120,000 0% 0% $0
%26#8226; Commissions are paid on annualized first year premium.
%26#8226; Agent termination occurs at the end of the year.
%26#8226; 6% of first year premium is priced into products to cover agent financing.
%26#8226; The interest rate is 0%.
(i) Calculate the average financing cost for a new agent as a percentage of
first year premium for each of the first three years. Show all work.
(ii) Determine the number of years it will take for ABC to recover the
financing costs on 100 new agents. Show all work.
COURSE 8I: Fall 2004 -2- GO ON TO NEXT PAGE
Individual Insurance – Canada
Morning Session
2. (11 points) XYZ Life is evaluating a block of identical special life contingent annuities
issued January 1, 2004 by ABC Life. You are given:
%26#8226; Total required capital as a percentage of solvency reserves is 5%.
%26#8226; Assumed investment interest rate on required capital is 4%.
%26#8226; Hurdle rate is 15%.
%26#8226; Each annuity payment is $71,280.
%26#8226; Payments are made at the end of each year during the annuitant’s lifetime.
%26#8226; Deaths occur at the end of the year before the annuity payment.
%26#8226; No taxes or maintenance expenses.
Actual Projected
1/1/2004 12/31/2004 12/31/2005 12/31/2006
Policy count 100 75 50 25
Solvency reserves (‘000s) $9,864 $5,011 $1,697 $0
Premium (‘000s) $10,000 $0 $0 $0
Commission (‘000s) $400 $0 $0 $0
Benefits (‘000s) $0 $5,346 $3,564 $1,782
Investment income on
solvency reserves and
cashflows (‘000s)
$0 $838 $426 $144
(a) (3 points) With respect to Minimum Continuing Capital %26amp; Surplus Requirements
for Life Insurance companies and each of the following risks:
%26#8226; Mortality
%26#8226; Pricing interest margin
%26#8226; Change in the interest rate environment.
(i) Describe the nature of the risks.
(ii) Calculate the minimum capital requirement at December 31, 2004 for the
risks. Show all work.
(b) (4 points) Calculate the embedded value of this block at January 1, 2004. Show
all work.
COURSE 8I: Fall 2004 -3- GO ON TO NEXT PAGE
Individual Insurance – Canada
Morning Session
2. (Continued)
(c) (3 points) You are given the following binomial distribution:
n q f(25) F(25)
100 0.25 0.0918 0.5525
Calculate the probability of solvency earnings exceeding $250,000 in 2004.
Show all work.
(d) (1 point) On January 1, 2005, XYZ Life buys the remaining block of 75
contracts.
Calculate the maximum amount of assets ABC transfers to XYZ assuming no
transaction expenses. Show all work.
COURSE 8I: Fall 2004 -4- GO ON TO NEXT PAGE
Individual Insurance – Canada
Morning Session
3. (12 points) ABC Life is selling a deferred variable annuity product that provides for a
return of premium death benefit. ABC is considering alternative death benefit designs.
(a) (3 points) List the sectors included in an environmental analysis and evaluate the
sectors as they relate to variable annuity death benefits.
(b) (3 points) The marketing area would like to add an annual ratchet design.
(i) Compare the risk associated with the annual ratchet design to other possible
death benefit designs. Explain your answer.
(ii) Describe techniques to manage the risks associated with alternative death
benefit designs.
(c) (6 points) You are given:
Account Value on valuation date $980.00
Separate Account Value on the valuation date $980.00
Net asset charges 1%
Valuation rate 7%
Assumed year 1 drop in Account Value -14%
Assumed recovery rate 14%
Surrender charges None
Highest Anniversary Account Value $1,000.00
Average Account Value year 1 $1,009.40
Average Account Value year 2 $1,069.96
Account Value at time 1 $1,038.80
Account Value at time 2 $1,101.13
Mortality rate for year 1 0.017
Mortality rate for year 2 0.019
Survival rate from time 0 to end of year 1 0.983
Survival rate from time 0 to end of year 2 0.964
Calculate the statutory reserve for the annual ratchet death benefit at time 0, 1 and
2 using the methodology prescribed in the Valuation of Living and Death Benefit
Guarantees for Variable Annuities note. Show all work.
COURSE 8I: Fall 2004 -5- GO ON TO NEXT PAGE
Individual Insurance – Canada
Morning Session
4. (5 points)
(a) Describe the advantages and disadvantages of:
(i) YRT reinsurance, and
(ii) Coinsurance.
(b) You are given the following information for a level term life insurance product:
Total Face Amount $100,000,000
First Year Premium $1,000,000
Policy Fee None
Premium Tax 2%
First Year Commission 50% of first year premium
Other First Year Expenses $750,000
Solvency Reserve at Issue $50,000
Assume:
%26#8226; Premium and reinsurance premium are paid annually at the beginning of
the year.
%26#8226; Unearned portion of a one-year term insurance benefit equals 50% of the
YRT reinsurance premium.
%26#8226; No federal income tax or required capital.
%26#8226; Ceded percentage equals 90%.
%26#8226; YRT reinsurance premium rate equals 0.20 per thousand of face amount.
%26#8226; Coinsurance reinsurance allowance equals 90%.
Calculate the estimated first year strain at issue for:
(i) YRT reinsurance, and
(ii) Coinsurance.
Show all work.
COURSE 8I: Fall 2004 -6- GO ON TO NEXT PAGE
Individual Insurance – Canada
Morning Session
This question pertains to the Case Study
5. (6 points) You are Saturn Life’s product management actuary for the term life insurance
portfolio. Your responsibilities include:
%26#8226; Monitoring term life new-business sales and in-force experience,
%26#8226; Advising product development, investment and marketing departments of
current developments, and
%26#8226; Reporting product profitability and capital requirements to senior
management.
(a) (1 point) Identify and describe the types of internal product management reports.
(b) (5 points) Explain how each would be used to manage Saturn’s term life
business.
COURSE 8I: Fall 2004 -7- GO ON TO NEXT PAGE
Individual Insurance – Canada
Morning Session
6. (12 points) XYZ Life is developing a dual-life status flexible premium joint and last
survivor universal life insurance product (Survivor UL).
(a) (3 points) For pricing the Survivor UL product:
(i) Describe approaches to reflect the dual-life status including the advantages
or disadvantages of each approach.
(ii) Explain other factors to be considered in developing a mortality
assumption unique to a last survivor product.
(b) (3 points) XYZ Life’s current single-life UL products have experienced
withdrawal rates of 7% in policy year 1, grading to 5% by policy year 5.
(i) Describe considerations in setting persistency assumptions for Survivor
UL.
(ii) Propose changes to the lapse rate assumption to reflect persistency in a
volatile interest rate environment.
(c) (6 points) The following steps outline a procedure to determine minimum UL
reserves for duration t.
Revise or add information to make each step consistent with the Canadian Asset
Liability Method.
Step Procedure
1 The amount of policy liabilities for a scenario equals the amount of
supporting assets which the actuary deems as a reasonable allocation. In
forecasting the cash flow, the actuary should take account all policyholder
expectations, and make provision for any adverse deviations that the
insurer may experience.
2 The policy liabilities in respect of a relevant policy comprise all of that
policy’s cash flow after the date of issue of a relevant policy. Policy
liabilities consist of claim liabilities including all benefit and expense cash
flows.
3 If applicable regulation requires policy liabilities to be valued without
taking account of the time value of money, then the actuary should report
a value for the policy liabilities in accordance with accepted actuarial
practice, and report this amount with reservation on account of the
regulation.
4 The actuary’s best estimate of mortality should include the effect of any
anti-selection. The low margin for adverse deviation is an addition of
3.75 to the mortality rate per 1000. The high margin for adverse deviation
is an addition of 10 to the mortality rate per 1000.
5 The margins for adverse deviation for withdrawals are an addition of
between 5% and 25% of the best estimate withdrawal rates.
COURSE 8I: Fall 2004 -8- STOP
Individual Insurance – Canada
Morning Session
7. (5 points) Your company is designing a product for the Lottery Commission. Winners
have a choice between a lump sum payment and an equivalent 25-year period certain
annuity.
(a) Describe key considerations in developing pricing assumptions for the annuity.
(b) You are considering the following product design features for the[1] [2] [3] 下一页 |
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