精算師SOA歷年真題:November2004Course8F
發布時間：2014-02-26 共5頁
9. Continued
(c) (4 points) Describe ways to hedge the liabilities of the VA and the practical
considerations associated with each.
(d) (2 points) Explain the factors GAL should consider in deciding whether to hedge
its VA liabilities.
(e) (3 points) The Chief Actuary has called a meeting to discuss first year
performance of the VA product. You suspect she wants to discontinue future
sales.
Outline a response which:
• supports continued sales and
• addresses any product shortcomings.
Question 10 pertains to the Case Study.
10. (11 points) Frank Labrador, a long-time golfing buddy of Tomas Lyons and CEO of
Dog’s Life Insurance Company (Dog’s Life), has expressed interest in purchasing
Zoolander Life. Tomas has asked you, as the new CFO of Zoolander, to come up with an
actuarial appraisal value of Zoolander.
Dog’s Life is an active acquirer in the life insurance market. Their actuary has informed
you that their recent acquisitions have been priced using a 10% discount rate.
(a) (6 points) Identify the information that you have available for Zoolander that
should be considered in setting actuarial and economic assumptions for use in
determining an appraisal value.
(b) (5 points) You have calculated an appraisal value for Zoolander of 1,100.00,
assuming a continuation of current operations. Justify why Dog’s Life might
offer a price different than the appraisal value that you calculated.
COURSE 8: Fall 2004 - 12 - GO ON TO NEXT PAGE
Finance Segment
Afternoon Session
11. (4 points) Wayne is an evaluator. When the stock prices of Coca-Cola, Dairy Queen and
Gap were depressed, he invested heavily in these companies. Other investors thought
Wayne had passed his investing prime – the internet was where money was to be made.
But Wayne would go to shopping malls and watch the spending habits of consumers. He
saw the average person consuming the products offered by Coca-Cola, Dairy Queen and
Gap, and realized that people would use these products through all economic cycles. So
he bought up the stocks with the strong conviction that in the long run these firms would
be profitable and their stock prices would rise.
(a) From the REMM perspective, describe how Wayne views individuals.
(b) Explain the theory behind a contrarian investment strategy, and contrast the
contrarian strategy with Wayne’s investment strategy.
(c) Describe each of the following behavioral concepts and determine whether each
applies to Wayne:
• Overconfidence
• Non-Bayesian Forecasting
• Fashion and Fads
Support your answers.
COURSE 8: Fall 2004 - 13 - GO ON TO NEXT PAGE
Finance Segment
Afternoon Session
12. (10 points) You are employed by a financial engineering firm. The specialty of this firm
is to exploit tax arbitrage opportunities in the marketplace for high net-worth individuals
and small firms in the United States.
You have been asked by the head of the firm to meet with a new client, Buffy von
Bismarck, who has questions about both personal and corporate taxes. Buffy earns
$200,000 a year in salary as the managing director of a small manufacturing company.
At your meeting Buffy describes the following two situations:
• “I am frustrated by paying personal taxes at a marginal tax rate of 36%. My
tennis instructor told me that I could arrange it so that my current income would
be maintained but my taxable income would be zero. He suggested I do the
following: borrow $2,500,000 at 8% interest and invest the borrowed funds in a
life insurance policy that allows interest-free policy loans and guarantees an 8%
return.”
• “I need to determine the correct weighting of stocks and bonds for
my company’s defined benefit pension plan. I know the tax code should
lead me to invest in bonds, but stocks return more over a long-term
holding period. Two friends told me my firm could secure the risk
premiums of stock without sacrificing the tax benefits of investing in
bonds.”
You learn that the pension plan has $100 million in assets to invest in stocks and bonds
under the following assumptions:
• The after-tax rate of return on stocks will be 10%
• The taxable rate of return on bonds will be 5%
• The marginal tax rate of the firm is 35%
(a) Demonstrate the arbitrage opportunity Buffy’s tennis instructor has suggested.
(b) Evaluate the effectiveness of the arbitrage opportunity in (a). Support your
answer.
(c) Demonstrate the arbitrage opportunity Buffy’s friends have recommended for her
pension plan.
(d) Evaluate the effectiveness of the arbitrage opportunity in (c). Support your
answer.
COURSE 8: Fall 2004 - 14 - GO ON TO NEXT PAGE
Finance Segment
Afternoon Session
