COURSE 8I: Fall 2003 -1- GO ON TO NEXT PAGE
Individual Insurance
Morning Session
Society of Actuaries Course 8I Fall 2003
**BEGINNING OF EXAMINATION**
MORNING SESSION
1. (4 points) The Chief Actuary of a small life insurance company expects large
fluctuations in future interest rates.
(a) Describe measures the Chief Actuary would use to help predict the impact of
interest rate fluctuations.
(b) Describe asset/liability matching methods that the Chief Actuary can use to
minimize the financial effect of interest rate fluctuations on the portfolio.
(c) Explain the desired relationship between the asset and liability durations given the
relative significance of disintermediation and reinvestment risk.
COURSE 8I: Fall 2003 -2- GO ON TO NEXT PAGE
Individual Insurance
Morning Session
Question 2 pertains to the case study.
2. (12 points) Saturn Life is considering the introduction of variable immediate annuities to
help retain assets accumulated within their deferred variable annuities.
(a) Assess Saturn’s opportunity for growth with respect to:
(i) Historical results,
(ii) Strengths and
(iii) Weaknesses.
(b) Describe pricing considerations for a variable immediate annuity.
(c) Describe the steps to implement stochastic modeling for pricing a rider option that
provides a floor for the monthly payments.
(d) Marketing has suggested that clients be given the choice of Assumed Investment
Returns (AIR). You are given:
Annuity Payments
Year Unit Value AIR 3% AIR 5%
1 10.0000 $2,120 $2,200
2 9.2500
3 9.6200
4 10.1972
5 11.0130
(i) Calculate the missing values in the above table. Show all work.
(ii) Re-calculate the missing values in the above table, assuming the
attachment of a rider that provides a floor for the monthly payments equal
to 90% of the initial payment.
(iii) Identify design choices that would manage the cost of the AIR choice
granted to the customer.
COURSE 8I: Fall 2003 -3- GO ON TO NEXT PAGE
Individual Insurance
Morning Session
3. (7 points) Company XYZ currently sells level premium term products with Smoker and
Nonsmoker underwriting classes. The products will be re-priced with 3 underwriting
classes (Smoker, Standard Nonsmoker, Preferred Nonsmoker). A fourth underwriting
class, Super Preferred Nonsmoker, is also being considered.
The following underwriting definitions have been proposed:
Smoker Standard
Nonsmoker
Preferred
Nonsmoker
Super
Preferred
Nonsmoker
Personal History
Maximum Total
Cholesterol Level 280mg/dec 280mg/dec 240mg/dec 205 mg/dec
Maximum Blood
Pressure (untreated) 160/95 160/95 140/90 130/85
Diabetes acceptable Yes Yes Yes No
Tobacco Use Yes
None within
past 60
months
None within
past 60
months
None within
past 60
months
Maximum # of
moving violations
within a 3 year period
3 3 2 2
Regular exercise Not Required Not Required Required Required
Family History
Heart Disease death
prior to age 65
Allowed Allowed Not Allowed Not Allowed
Cancer death prior to
age 70 Allowed Allowed Allowed Allowed
COURSE 8I: Fall 2003 -4- GO ON TO NEXT PAGE
Individual Insurance
Morning Session

1/6    1 2 3 4 5 6 下一页 尾页