2018年9月英国精算师-精算风险管理真题

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  September 2018

  

  Subject CA1 – Actuarial Risk Management


  1 A company offers unsecured short term loans to consumers who are in employment via the internet. The loans are for small amounts and are repayable as soon as the consumer receives their next salary from their employer. The repayment includes a defned cash fee agreed when the consumer is accepted for a loan.Explain why the credit risk for these loans will be relatively high. [7]


  2 (i) Describe market risk for both assets and liabilities. [3]


  (ii) Describe, including examples, liquidity risk for an insurance company. [5]  [Total 8]


  3 (i) List the non-economic factors that affect the demand for different asset classes. [6]


  A country’s economy is just starting to develop, and regulations are being put in place for the frst time on the allowable asset classes that can be held by financial institutions.


  (ii) Suggest, with reasons, why these regulations are likely to be prescriptive. [2]


  (iii) Discuss how these regulations might affect market prices of allowable, and non-allowable, asset classes. [4]  [Total 12]


  4 A life insurance company has, to date, written only whole life assurances and immediate annuities. It is about to start writing income protection insurance, to cover only long term sickness or incapacity due to accident or illness.It intends to price the new income protection business using a multiple state model,and is in the process of setting initial best estimates (i.e. ignoring margins for prudence) of the required assumptions.


  (i) List the main assumptions required for the multiple state model. [4]


  (ii) Discuss data that could be used to set an initial best estimate for each assumption in part (i). [12]  [Total 16]



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