备战北美精算师的孩儿们，你们身在何处呢？考试的*7复习资料由高顿网校[*{7}*]发布哦——SOA精算师考试——历年经典真题Course8E（三）
　　8.(8points)DesperateHousefires(DH)isapropertyandcasualty(P&C)insurance
　　companyspecializinginhomeinsurancecoverage.SmashandCash(SC)isaproperty
　　andcasualtyinsurancecompanyspecializinginautoinsurance.
　　InOurArms(IOA)isaninsuranceholdingcompanythatwishestopurchaseaP&C
　　company.IOAwantsto*uatetheinsolvencyriskofDHandSC.
　　IOAplanstoimplementthefollowinginitiativesintheacquiredcompany:
　　?Thetargetfortheexpectedpolicyholderdeficitriskmeasurewillbe2.5%or
　　below.
　　?DynamicFinancialAnalysiswillbeinstituted.
　　Youaregiventhefollowingdata:
　　DesperateHousefiresSmashandCash
　　Assets:10075
　　ScenariopxDesperateHousefires
　　ExpectedLoss
　　SmashandCash
　　ExpectedLoss
　　10.25050
　　20.610070
　　30.2150100
　　(a)ForDHandSC:
　　i.Calculatetheexpectedpolicyholderdeficitforeachcompany.
　　ii.Comparetheriskofinsolvencyofthetwocompanies.
　　iii.Determinethelevelofadditionalassetswhicheachcompanywould
　　needtohaveinordertomaintainthetargetexpectedpolicyholder
　　deficitrequiredbyIOA.
　　iv.Calculatethecapitalheldbyeachfirm,assumingtheadditionalassets,
　　ifany,determinedin(iii)arecontributedtoeachcompany.
　　(b)DescribethepurposesandusesofDynamicFinancialAnalysis.
　　(c)DescribetheelementsthatshouldbeconsideredindesigningaDynamic
　　FinancialAnalysissystemforIOA.
　　COURSE8:Fall2005-9-GOONTONEXTPAGE
　　EnterpriseRiskManagementSegment
　　AfternoonSession
　　9.(6points)WindyCityLifeInsuranceCompanysellsUniversalLifeandTerminsurance
　　totheaffluentmarket.TheULproductisamarketleader,mainlybecauseitutilizes
　　state-of-the-artandproprietaryinvestmentmanagementstrategies.Thecompany’ssales
　　havebeenstrongoverthelastthreeyearsandareonpaceforanotherrecordyear.
　　However,thelargeamountofnewbusinesshasdepletedthecompany’scapitalbase.
　　TheseniormanagementteamatWindyCityhasidentifiedgrowthopportunitiesforthe
　　organization,buttheyneedtofreeupcapitalinordertopursuethoseopportunities.
　　Managementiscontemplatingseparatefinancialreinsurancetransactionsforeachofthe
　　twolinesofbusinessasawaytoprovidesurplusrelief.Becausethecompanyhasnever
　　usedreinsuranceinthepast,WindyCitywouldliketokeepthereinsurancestructureas
　　simpleaspossible.
　　WindyCityhashiredyouasaconsultantondevelopmentofafinancialreinsurance
　　program.
　　(a)(3points)Describethestructureofthreealternativeformsoffinancial
　　reinsuranceandtheproductsforwhicheachistypicallyused.Includethe
　　advantagesanddisadvantagesofeachform.
　　(b)(2points)TakingintoaccountWindyCity’spreferenceforasimplestructure,
　　recommendanappropriatefinancialreinsuranceplanfor:
　　i.TheTermlineofbusiness
　　ii.TheUniversalLifelineofbusiness
　　Defendyourrecommendations.
　　(c)(1point)Explainusesoffinancialreinsuranceotherthansurplusrelief.
 
　　COURSE8:Fall2005-10-GOONTONEXTPAGE
　　EnterpriseRiskManagementSegment
　　AfternoonSession
　　10.(6points)NirvanaNoveltiesisatheme-basedorganizationsellingconvenienceitemsat
　　gasstationsandtruckstopsthroughoutNorthAmerica.Nirvanaisaprivatelyheldfirm
　　withnodebt.
　　YouaregiventhefollowingcurrentinformationforNirvana:
　　Annualearnings:$7.5million
　　Assets:$225million
　　Liabilities:$160million
　　Youaregiventhefollowingassumptions:
　　MarketCapitalizationRate:10%
　　EffectiveTaxRate:0%
　　CostofDebt:9%
　　AtarecenttradeshowinLasVegas,Nirvanabecameinterestedinexpandingintothemebased
　　keychains.Assumethatfutureinvestmentinthekeychainmarketgeneratesa
　　15%returnandthatthenetpresentvalueofthisinvestmentwillbe$50million.
　　(a)CalculateNirvana’sbookvalue,tangibl*ue,andtheprice-to-earningsratio,
　　priortoexpansionandleverage.
　　(b)Calculatetheupdatedprice-to-earningsratioforNirvanawith50%ofthe
　　expansioncostfinancedbydebt.
　　(c)Describetheimpactonfranchis*ueofassuminganeffectivetaxrategreater
　　thanzero.
　　(d)Oneofyourcolleagueshasassertedthat,“regardlessofafirm’sfinancial
　　structure,thefundamentalbasisforhighP/Esisaccesstosubstantialfranchise
　　investment.”
　　Defendorrefutethatstatement.
 
　　COURSE8:Fall2005-11-GOONTONEXTPAGE
　　EnterpriseRiskManagementSegment
　　AfternoonSession
　　Questions11-12pertaintotheCaseStudy.
　　Eachquestionshouldbeansweredindependently.
　　高顿网校之名人感触：人，按通常的定义，人是有血有肉的动物，用两足行走，能感觉、思想和判断，但是，在福音书和让雅·克卢·梭看来，人不应该感觉、思想和判断；甚至应该匍匐而行，好让教士轻快地骑在他身上。 —— 霍尔巴赫