SOA真题4之2014年北美精算师Course8V
 
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　　COURSE 8: Fall 2003 - 14 - GO ON TO NEXT PAGE
 
　　Investment
　　Afternoon Session
　　18. (4 points) The financial results at your insurance company over the past year have been
　　dismal. Your new CFO has asked you to determine the reasons behind this. She has
　　recently read about transfer pricing for banks, and is interested in applying this concept to
　　your company.
　　Total returns for your company:
　　Duration Credit Rating Return
　　Assets 10 A 5.70%
　　Liabilities 7 AAA (claims paying) 6.20%
　　Total return of generic assets over the past year:
　　Credit Rating
　　Duration A AA AAA
　　5 6.00% 6.50% 7.50%
　　6 5.90% 6.40% 7.40%
　　7 5.80% 6.30% 7.30%
　　8 5.70% 6.20% 7.20%
　　9 5.60% 6.10% 7.10%
　　10 5.50% 6.00% 7.00%
　　Your CFO wants to see the returns attributed to the following four sources:
　　1) Liability performance
　　2) Asset performance due to interest rate risk
　　3) Asset performance due to credit risk
　　4) Asset performance due to selection of individual securities
　　(a) Construct the appropriate benchmark portfolios from the generic assets provided.
　　(b) Attribute your company’s performance to the four sources described above, using
　　the benchmarks constructed in (a).
　　(c) Describe the considerations in benchmark selection when applying transfer
　　pricing to an insurance company.
　　COURSE 8: Fall 2003 - 12 - GO ON TO NEXT PAGE
　　Investment
　　Afternoon Session
　　16. (4 points) You are building a model for forecasting equity real estate values in portfolio
　　asset projections, given economic scenario inputs.
　　(a) List and justify the items you will need in order to build a robust model for equity
　　real estate values.
　　(b) Describe a method for determining the optimal level of equity real estate in your
　　company’s various portfolios.
 
　　COURSE 8: Fall 2003 - 13 - GO ON TO NEXT PAGE
　　Investment
　　Afternoon Session
　　17. (8 points) You are the Chief Risk Officer of Pusillanimous Re that provides annual
　　catastrophe reinsurance to the marketplace. You invest the asset portfolio in cash and
　　three zero-coupon bonds, each with 1-year time to maturity. You are given the following
　　information:
　　Reinsurance exposure: Excess cost layer between 100 million and 350 million of 1 billion
　　total earthquake exposure.
　　Cash Bond A Bond B Bond C
　　Market Value (millions) 2.0 2.2 2.0 1.8
　　Face Value (millions) 2.0 2.4 2.4 2.4
　　Expected default loss (%) 0 5 not given 15
　　Expected recovery rate (%) 100 not given 30 45
　　Historical default rate (%) 0 1 2 4
　　You are concerned about the default risk of your asset portfolio and the magnitude of
　　your liability exposure.
　　(a) Describe how you would calculate the 1-year default probability of Bond B using
　　(i) bond market prices, and
　　(ii) equity prices of the bond issuer.
　　(b) Calculate the 1-year expected default loss of Bond B implied by bond market
　　prices.
　　(c) Explain the reasons for the differences typically observed between the default
　　probabilities derived using historical default data and those derived from the bond
　　market prices.
　　(d) Compare and contrast the use of add-up credit default swaps (CDS) and first-todefault
　　CDS for management of the default risk in the asset portfolio.
　　(e) Describe how a first-to-default basket CDS on the asset portfolio can be valued
　　using a Gaussian copula approach.
　　(f) Explain how CAT bonds work and how they can be used to manage the option
　　structure of your liability risk exposure.
 
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