北美精算师金融数学考试内容2013-04-exam-fm

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北美寿险精算考试流程简介

Probability (機率論, 簡稱P)
3小時選擇題，共30題
二.

Financial Mathematics (財務數學, 簡稱 FM)
2.5小時選擇題，共30題
PE EXAMS(續)
三.
Actuarial Models (精算模型, 簡稱M)
1.
Life contingencies(壽險精算, 簡稱MLC)
MLC 及 MFE 心得分享
Exam M-Actuarial Models
分為MLC及MFE兩部分 MLC：Life Contingencies Segment MFE：Financial Economics Segment 考試時間及題數分別為
MLC-3小時，考30題選擇題 MFE-2.5小時，考25題選擇題(新制) 不必同時報考每年只有Spring及Fall兩考試時段(五月，十一月)
Exam MLC 準備心得
Life insurances and annuities 一開始接觸會因為太多符號要記，而覺得很難入門，譬如： A 70 , a 40 :10 , 10 q 30 要能把握各種符號的形成邏輯，可以幫助記憶要能夠求各種情況下以下類型隨機變數的期望值變異數及百分位數： present-value-of-benefit random variables present-value-of-loss-at-issue random variables 要能活用Recursion法解題(熟悉每條公式之間的代換關係)
3小時選擇題，共30題
2.
Financial Economics(財務經濟, 簡稱MFE)
2.5小時選擇題，約25題(2009新制，故不確定幾題)

北美精算师大纲精品文档20页

基本教育阶段(6门课程)：课程1：精算科学的数学基础说明：这门课程的目的是为了培养关于一些基础数学工具的知识，形成从数量角度评估风险的能力，特别是应用这些工具来解决精算科学中的问题。

并且假设学员在学习这门课程之前已经熟练掌握了微积分、概率论的有关内容及风险管理的基本知识。

主要内容及概念：微积分、概率论、风险管理（包括损失频率、损失金额、自留额、免赔额、共同保险和风险保费）课程2：利息理论、经济学和金融学说明：这门课程包括利息理论，中级微观经济学和宏观经济学，金融学基础。

在学习这门课程之前要求具有微积分和概率论的基础知识。

主要内容及概念：利息理论，微观经济学，宏观经济学，金融学基础课程3：随机事件的精算模型说明：通过这门课程的学习，培养学员关于随机事件的精算模型的基础知识及这些模型在保险和金融风险中的应用。

在学习这门课程之前要求熟练掌握微积分、概率论和数理统计的相关内容。

建议学员在通过课程1和课程2后学习这门课程。

主要内容及概念：保险和其它金融随机事件，生存模型，人口数据分析，定量分析随机事件的金融影响课程4：精算建模方法说明：该课程初步介绍了建立模型的基础知识和用于建模的重要的精算和统计方法。

在学习这门课程之前要求熟练掌握微积分、线性代数、概率论和数理统计的相关内容。

主要内容及概念：模型－模型的定义－为何及如何使用模型－模型的利弊－确定性的和随机性的模型－模型选择－输入和输出分析－敏感性检验－研究结果的检验和反馈方法－回归分析－预测－风险理论－信度理论课程5－精算原理应用说明：这门课程提供了产品设计，风险分类，定价/费率拟定/建立保险基金，营销，分配，管理和估价的学习。

覆盖的范围包括金融保障计划,职工福利计划，事故抚恤计划，政府社会保险和养老计划及一些新兴的应用领域如产品责任，担保的评估，环境的维护成本和制造业的应用。

该课程的学习材料综合了各种计划和覆盖范围以展示精算原理在各研究领域中应用的一致性和差异性。

FM样题

ACTUARIES/CASUALTY ACTUARIAL SOCIETYOFSOCIETYEXAM FM FINANCIAL MATHEMATICSEXAM FM SAMPLE QUESTIONSCopyright 2005 by the Society of Actuaries and the Casualty Actuarial Society Some of the questions in this study note are taken from past SOA/CAS examinations.11/08/04 2U.S.A.FM-09-05INPRINTED11/08/04 3These questions are representative of the types of questions that might be asked of candidates sitting for the new examination on Financial Mathematics (2/FM). These questions are intended to represent the depth of understanding required of candidates. The distribution of questions by topic is not intended to represent the distribution of questions on future exams.11/08/04 41.Bruce deposits 100 into a bank account. His account is credited interest at a nominal rate of interest of 4% convertible semiannually.At the same time, Peter deposits 100 into a separate account. Peter’s account is credited interest at a force of interest of δ.After 7.25 years, the value of each account is the same.Calculate δ.0.0388(A)0.0392(B)0.0396(C)0.0404(D)0.0414(E)11/08/04 52.Kathryn deposits 100 into an account at the beginning of each 4-year period for 40 years. The account credits interest at an annual effective interest rate of i.The accumulated amount in the account at the end of 40 years is X, which is 5 times the accumulated amount in the account at the end of 20 years.Calculate X.4695(A)5070(B)5445(C)5820(D)6195(E)11/08/04 63.Eric deposits 100 into a savings account at time 0, which pays interest at a nominal rate of i, compounded semiannually.Mike deposits 200 into a different savings account at time 0, which pays simple interest at an annual rate of i.Eric and Mike earn the same amount of interest during the last 6 months of the 8th year.Calculate i.9.06%(A)9.26%(B)9.46%(C)9.66%(D)9.86%(E)11/08/04 74.John borrows 10,000 for 10 years at an annual effective interest rate of 10%. He can repay this loan using the amortization method with payments of 1,627.45 at the end of each year. Instead, John repays the 10,000 using a sinking fund that pays an annual effective interest rate of 14%. The deposits to the sinking fund are equal to 1,627.45 minus the interest on the loan and are made at the end of each year for 10 years.Determine the balance in the sinking fund immediately after repayment of the loan.2,130(A)2,180(B)2,230(C)2,300(D)2,370(E)11/08/04 85.An association had a fund balance of 75 on January 1 and 60 on December 31. At the end of every month during the year, the association deposited 10 from membership fees. There were withdrawals of 5 on February 28, 25 on June 30, 80 on October 15, and 35 on October 31.Calculate the dollar-weighted (money-weighted) rate of return for the year.(A) 9.0%(B) 9.5%10.0%(C)10.5%(D)11.0%(E)11/08/04 96.A perpetuity costs 77.1 and makes annual payments at the end of the year.The perpetuity pays 1 at the end of year 2, 2 at the end of year 3, …., n at the endof year (n+1). After year (n+1), the payments remain constant at n. The annual effective interest rate is 10.5%.Calculate n.17(A)18(B)19(C)20(D)21(E)11/08/04 107.1000 is deposited into Fund X, which earns an annual effective rate of 6%. At the end of each year, the interest earned plus an additional 100 is withdrawn from the fund. At the end of the tenth year, the fund is depleted.The annual withdrawals of interest and principal are deposited into Fund Y, which earns an annual effective rate of 9%.Determine the accumulated value of Fund Y at the end of year 10.1519(A)1819(B)2085(C)2273(D)2431(E)11/08/04 1111/08/04128.You are given the following table of interest rates: Calendar Year of Original Investment Investment Year Rates (in %) PortfolioRates(in %) yi 1y i 2y i 3y i 4y i 5y i y +5 1992 8.25 8.25 8.4 8.5 8.5 8.351993 8.5 8.7 8.75 8.9 9.0 8.61994 9.0 9.0 9.1 9.1 9.2 8.851995 9.0 9.1 9.2 9.3 9.4 9.11996 9.25 9.35 9.5 9.55 9.6 9.351997 9.5 9.5 9.6 9.7 9.71998 10.0 10.0 9.9 9.81999 10.0 9.8 9.72000 9.5 9.52001 9.0A person deposits 1000 on January 1, 1997. Let the following be the accumulated value of the 1000 on January 1, 2000:P :under the investment year method Q :under the portfolio yield method R : where the balance is withdrawn at the end of everyyear and is reinvested at the new money rateDetermine the ranking of P , Q , and R .(A)P Q R >> (B) P R Q >>(C) Q P R >>(D) R P Q >>(E)R Q P >>9.A 20-year loan of 1000 is repaid with payments at the end of each year.Each of the first ten payments equals 150% of the amount of interest due. Each of the last ten payments is X.The lender charges interest at an annual effective rate of 10%.Calculate X.(A) 32(B) 57(C) 70(D) 97(E)11711/08/04 1310.A 10,000 par value 10-year bond with 8% annual coupons is bought at a premiumto yield an annual effective rate of 6%.Calculate the interest portion of the 7th coupon.632(A)642(B)651(C)660(D)(E)66711/08/04 1411.A perpetuity-immediate pays 100 per year. Immediately after the fifth payment, the perpetuity is exchanged for a 25-year annuity-immediate that will pay X at the end of the first year. Each subsequent annual payment will be 8% greater than the preceding payment.The annual effective rate of interest is 8%.Calculate X.54(A)64(B)74(C)84(D)94(E)11/08/04 1512.Jeff deposits 10 into a fund today and 20 fifteen years later. Interest is credited at a nominal discount rate of d compounded quarterly for the first 10 years, and at a nominal interest rate of 6% compounded semiannually thereafter. The accumulated balance in the fund at the end of 30 years is 100.Calculate d.4.33%(A)4.43%(B)4.53%(C)4.63%(D)4.73%(E)11/08/04 1611/08/041713.Ernie makes deposits of 100 at time 0, and X at time 3. The fund grows at a force of interest2100t t δ=, t > 0.The amount of interest earned from time 3 to time 6 is also X .Calculate X .(A) 385(B) 485(C) 585(D) 685(E) 78514.Mike buys a perpetuity-immediate with varying annual payments. During the first 5 years, the payment is constant and equal to 10. Beginning in year 6, the payments start to increase. For year 6 and all future years, the current year’s payment is K% larger than the previous year’s payment.At an annual effective interest rate of 9.2%, the perpetuity has a present value of167.50.Calculate K, given K < 9.2.4.0(A)4.2(B)4.4(C)4.6(D)4.8(E)11/08/04 1815.A 10-year loan of 2000 is to be repaid with payments at the end of each year. It can be repaid under the following two options:(i) Equal annual payments at an annual effective rate of 8.07%.(ii) Installments of 200 each year plus interest on the unpaid balance at an annual effective rate of i.The sum of the payments under option (i) equals the sum of the payments under option (ii).Determine i.8.75%(A)9.00%(B)9.25%(C)9.50%(D)9.75%(E)11/08/04 1916.A loan is amortized over five years with monthly payments at a nominal interest rate of 9% compounded monthly. The first payment is 1000 and is to be paid one month from the date of the loan. Each succeeding monthly payment will be 2% lower than the prior payment.Calculate the outstanding loan balance immediately after the 40th payment is made.6751(A)6889(B)6941(C)7030(D)7344(E)11/08/04 2017.To accumulate 8000 at the end of 3n years, deposits of 98 are made at the end of each of the first n years and 196 at the end of each of the next 2n years.The annual effective rate of interest is i. You are given (l + i)n = 2.0.Determine i.11.25%(A)11.75%(B)12.25%(C)12.75%(D)13.25%(E)11/08/04 2118.Olga buys a 5-year increasing annuity for X.Olga will receive 2 at the end of the first month, 4 at the end of the second month, and for each month thereafter the payment increases by 2.The nominal interest rate is 9% convertible quarterly.Calculate X.2680(A)2730(B)2780(C)2830(D)2880(E)11/08/04 2219.You are given the following information about the activity in two different investment accounts:Account KFundvalue ActivityWithdrawal Date beforeactivity DepositJanuary 1, 1999 100.0July 1, 1999 125.0 XOctober 1, 1999 110.0 2XDecember 31, 1999 125.0Account Lvalue ActivityFundactivity DepositWithdrawal Date beforeJanuary 1, 1999 100.0July 1, 1999 125.0 XDecember 31, 1999 105.8During 1999, the dollar-weighted (money-weighted) return for investment account K equals the time-weighted return for investment account L, which equals i.Calculate i.10%(A)12%(B)(C)15%11/08/04 23(D)18%20%(E)11/08/04 2420.David can receive one of the following two payment streams:(i) 100 at time 0, 200 at time n, and 300 at time 2n(ii) 600 at time 10At an annual effective interest rate of i, the present values of the two streams are equal.Given v n = 0.76, determine i.3.5%(A)4.0%(B)4.5%(C)5.0%(D)5.5%(E)11/08/04 2521.Payments are made to an account at a continuous rate of (8k + tk), where010t≤≤ .Interest is credited at a force of interest δt =18t+.After 10 years, the account is worth 20,000.Calculate k.(A)111(B)116(C)121(D)126(E)13111/08/04 2622.You have decided to invest in Bond X, an n-year bond with semi-annual coupons and the following characteristics:• Par value is 1000.• The ratio of the semi-annual coupon rate to the desired semi-annual yield rate,ri, is 1.03125.• The present value of the redemption value is 381.50.Given v n = 0.5889, what is the price of bond X?(A)1019(B)1029(C)1050(D)1055(E)107211/08/04 2723.Project P requires an investment of 4000 at time 0. The investment pays 2000 at time 1 and 4000 at time 2.Project Q requires an investment of X at time 2. The investment pays 2000 at time 0 and 4000 at time 1.The net present values of the two projects are equal at an interest rate of 10%.Calculate X.5400(A)5420(B)5440(C)5460(D)5480(E)11/08/04 2824.A 20-year loan of 20,000 may be repaid under the following two methods:i) amortization method with equal annual payments at an annual effectiverate of 6.5%ii) sinking fund method in which the lender receives an annual effectiverate of 8% and the sinking fund earns an annual effective rate of jBoth methods require a payment of X to be made at the end of each year for 20 years. Calculate j.(A) j≤ 6.5%j≤ 8.0%<6.5%(B)<j≤ 10.0%8.0%(C)<j≤ 12.0%10.0%(D)(E) j > 12.0%11/08/04 2925.A perpetuity-immediate pays X per year. Brian receives the first n payments, Colleen receives the next n payments, and Jeff receives the remaining payments. Brian's share of the present value of the original perpetuity is 40%, and Jeff's share is K.Calculate K.24%(A)28%(B)32%(C)36%(D)40%(E)11/08/04 3026.Seth, Janice, and Lori each borrow 5000 for five years at a nominal interest rate of 12%, compounded semi-annually.Seth has interest accumulated over the five years and pays all the interest and principal in a lump sum at the end of five years.Janice pays interest at the end of every six-month period as it accrues and the principal at the end of five years.Lori repays her loan with 10 level payments at the end of every six-month period.Calculate the total amount of interest paid on all three loans.8718(A)(B)87288738(C)8748(D)(E)875811/08/04 3111/08/04 3227.Bruce and Robbie each open up new bank accounts at time 0. Bruce deposits 100 into his bank account, and Robbie deposits 50 into his. Each account earns the same annual effective interest rate.The amount of interest earned in Bruce's account during the 11th year is equal to X. The amount of interest earned in Robbie's account during the 17th year is also equal to X.Calculate X.28.0(A)31.3(B)34.6(C)36.7(D)38.9(E)11/08/04 3311/08/043428.Ron is repaying a loan with payments of 1 at the end of each year for n years. The amount of interest paid in period t plus the amount of principal repaid in period t + 1 equals X .Calculate X .(A)1 + n t v i − (B)1 + n t v d − (C)1 + v n −t i (D)1 + v n −t d (E)1+ v n −t29.At an annual effective interest rate of i, i > 0%, the present value of a perpetuity paying `10 at the end of each 3-year period, with the first payment at the end of year 3, is 32.At the same annual effective rate of i, the present value of a perpetuity paying 1 at the end of each 4-month period, with first payment at the end of 4 months, is X.Calculate X.31.6(A)32.6(B)33.6(C)34.6(D)35.6(E)11/08/04 3530.As of 12/31/03, an insurance company has a known obligation to pay $1,000,000 on 12/31/2007. To fund this liability, the company immediately purchases 4-year 5% annual coupon bonds totaling $822,703 of par value. The company anticipates reinvestment interest rates to remain constant at 5% through 12/31/07. The maturity value of the bond equals the par value.Under the following reinvestment interest rate movement scenarios effective 1/1/2004, what best describes the insurance company’s profit or (loss) as of 12/31/2007 after the liability is paid?InterestRates Dropby ½% Interest Rates Increase by ½%(A) +6,606 +11,147(B) (14,757) +14,418(C) (18,911) +19,185(D) (1,313) +1,32311/08/04 36(E) Breakeven Breakeven11/08/04 3731.An insurance company has an obligation to pay the medical costs for a claimant. Average annual claims costs today are $5,000, and medical inflation is expected to be 7% per year. The claimant is expected to live an additional 20 years.Claim payments are made at yearly intervals, with the first claim payment to be made one year from today.Find the present value of the obligation if the annual interest rate is 5%.(A) 87,932(B) 102,514(C) 114,611(D) 122,634(E) Cannot be determined11/08/04 3832.An investor pays $100,000 today for a 4-year investment that returns cash flows of $60,000 at the end of each of years 3 and 4. The cash flows can be reinvested at 4.0% per annum effective.If the rate of interest at which the investment is to be valued is 5.0%, what is the net present value of this investment today?(A) -1398(B) -699(C) 699(D) 1398(E) 2,62911/08/04 3933.You are given the following information with respect to a bond:par amount: 1000term to maturity 3 yearsannual coupon rate 6% payable annuallyTerm Annual Spot InterestRates1 7%2 8%3 9%Calculate the value of the bond.(A) 906(B) 926(C) 930(D) 950(E) 100011/08/04 4011/08/04 4134.You are given the following information with respect to a bond:par amount: 1000term to maturity 3 yearsannual coupon rate 6% payable annuallyTerm Annual Spot InterestRates1 7%2 8%3 9%Calculate the annual effective yield rate for the bond if the bond is sold at a price equal to its value.(A) 8.1%(B) 8.3%(C) 8.5%(D) 8.7%11/08/04 42(E) 8.9%11/08/04 4335.The current price of an annual coupon bond is 100. The derivative of the price of the bond with respect to the yield to maturity is -700. The yield to maturity is an annual effective rate of 8%.Calculate the duration of the bond.(A) 7.00(B) 7.49(C) 7.56(D) 7.69(E) 8.0011/08/04 4436.Calculate the duration of a common stock that pays dividends at the end of each year into perpetuity. Assume that the dividend is constant, and that the effective rate of interest is 10%.(A) 7(B) 9(C) 11(D) 19(E) 2711/08/04 4537.Calculate the duration of a common stock that pays dividends at the end of each year into perpetuity. Assume that the dividend increases by 2% each year and that the effective rate of interest is 5%.(A) 27(B) 35(C) 44(D) 52(E) 5811/08/04 4638. – 44. skipped11/08/04 5245.You are given the following information about an investment account:ImmediatelyDate ValueDepositBefore DepositJanuary 1 10July 1 12 XXDecember31Over the year, the time-weighted return is 0%, and the dollar-weighted (money-weighted) return is Y.Calculate Y.(A) -25%(B) -10%(C) 0%(D) 10%11/08/04 53(E) 25%11/08/04 5446.Seth borrows X for four years at an annual effective interest rate of 8%, to be repaid with equal payments at the end of each year. The outstanding loan balance at the end of the third year is 559.12.Calculate the principal repaid in the first payment.(A) 444(B) 454(C) 464(D) 474(E) 48411/08/04 5547.Bill buys a 10-year 1000 par value 6% bond with semi-annual coupons. The price assumes a nominal yield of 6%, compounded semi-annually.As Bill receives each coupon payment, he immediately puts the money into an account earning interest at an annual effective rate of i.At the end of 10 years, immediately after Bill receives the final coupon payment and the redemption value of the bond, Bill has earned an annual effective yield of 7% on his investment in the bond.Calculate i.(A) 9.50%(B) 9.75%(C) 10.00%(D) 10.25%(E) 10.50%11/08/04 56。

北美精算师科目

北美精算师科目
北美精算师是指在北美洲国家（如美国和加拿大）考取精算师资格的人员。

北美精算师的资格考试主要由精算师协会（如美国精算师协会和加拿大精算师协会）负责组织和管理。

在北美洲，精算师的考试科目一般包括以下几个方面：
1. 初级精算师考试（Pre-Associate Level Examinations）：通常
包括5门考试科目，涵盖基础数学、概率与统计、金融数学、经济学和精算原理等方面的知识。

2. 候选精算师考试（Associate Level Examinations）：通常包
括7门考试科目，涵盖资本市场、保险经济学、保险精算理论、统计方法和风险模型等方面的知识。

3. 精算师考试（Fellow Level Examinations）：通常包括8门
考试科目，涵盖保险精算模型、企业风险管理、保险产品设计、保险会计和保险经营战略等方面的知识。

根据考试进度和个人兴趣，考生可以选择逐步完成以上不同级别的考试。

完成所有考试科目并满足相关经验要求后，考生将获得北美精算师资格认证。

值得注意的是，具体的考试科目和要求可能会因精算师协会的不同而有所差异，因此考生在报考前应详细了解并遵循相应的规定和要求。

北美精算师介绍课程的介绍精算师考试.doc

ASA的课程课程1：精算科学的数学基础(MathematicalfoundationsofActuarialScience)这门课程的目的是为了培养关于一些基础数学工具的知识，形成从数量角度评估风险的能力，特别是应用这些工具来解决精算科学中的问题。

主要内容及概念：微积分、概率论、风险管理（包括损失频率、损失金额、自留额、免赔额、共同保险和风险保费）。

课程2：利息理论，经济与金融(InterestTheory，EconomicsandFinance)这门课程包括利息理论，中级微观经济学和宏观经济学，金融学基础。

课程3：关于风险的精算模型(ActuaricalModels)通过这门课程的学习，培养学员关于随机事件的精算模型的基础知识及这些模型在保险和金融风险中的应用。

主要内容包括：保险和其它金融随机事件，生存模型，人口数据分析，定量分析随机事件的金融影响。

课程4：精算建模方法（ActuarialModeling）该课程初步介绍了建立模型的基础知识和用于建模的重要的精算和统计方法。

主要内容包括：为何及如何选择和使用模型，回归分析，风险理论和信用理论。

课程5：基本精算原理的应用(ApplicationofBasicActuarialPrinciples)这门课程提供了产品设计，风险分类，定价/费率拟定/建立保险基金，营销，分配，管理和估价的学习。

课程6：金融与投资(FinanceandInvestments)该课程是用于投资和资产负债管理领域的精算原理的拓展。

学员在完成该课程的学习后，将会对资本市场、投资工具、衍生证券及应用、投资组合管理和资产－负债管理有深入的了解。

主要内容及概念：资本市场和基本投资原理，投资工具，衍生证券，投资组合管理的原理，资产负债管理。

北美精算考试简介

016*.高级非寿险精算实务
017*.团体保险 018*.意外伤害和健康保险 019*.投资学 020*.养老金计划
A S A R U C
Actuarial Student Association at RUC

1.精算数学基础概率论 P 2.金融数学 FM 3.精算模型 MLC/MFE 4.精算建模方法 C 5.VEE 统计，经济，财务 6.FAP 实务 7.CERA(ERM,FSA module) 高级精算实务—金融经济理论 DP.高级精算实务—团体人寿险；个人和团体健康险设计定价 DP.高级精算实务—个险，年金设计定价(北美，加拿大) Advanced Portfolio Management CSP养老金计划美国,加拿大 CSP个人和团体健康险设计定价美国加拿大 Decision Making and Communication (DMAC) Module Fellowship Admissions Course (FAC)

折扣申请

考试时间(P：2、3、7、9、11月；FM-C：5、11月)
各科目的准备时间

评分方式（10分制）
计算器
BA-35、BA II Plus、TI-30X、TI-30Xa、TI-30XIIS、TI-30XIIB
中国人民大学学生精算协会
2.金融数学 FM 3.精算模型 MLC/MFE
4.精算建模方法 C 5.VEE 统计，经济，财务 6.FAP 实务 7.CERA(ERM,FSA module) 高级精算实务—金融经济理论 DP.高级精算实务—团体人寿险；个人和团体健康险设计定价 DP.高级精算实务—个险，年金设计定价(北美，加拿大) Advanced Portfolio Management CSP养老金计划美国,加拿大

北美精算师报考指南

北美精算师报考指南◇ 考试介绍在北美，精算师可以分为两类：寿险精算师和财产意外险精算师。

寿险精算师处理的是与人的生命相关的精算领域例如人寿保险、健康保险、养老金，寿险精算师参加的是北美精算师考试(SOA)。

财产意外险精算师处理非寿险的精算领域如车险、火险、水险、信用险，这一类别的考试叫做北美财产意外险精算师考试(CAS)。

本报考指南主要介绍北美精算师考试(SOA)，关于北美财产意外险精算师考试(CAS)可阅读：北美财产意外险精算师考试介绍。

北美精算师协会(SOA)是一个以服务于公众和学会会员为目标而建立的教育、研究和专业性组织。

其任务是发展精算知识，加强精算师向金融和社会涉及的未来不确定问题提供专业建议以及解决方法的能力。

北美精算师协会的考试有：准精算师(ASA)、注册企业风险分析员(CERA)、精算师(FSA)。

SOA自1987年起与我国南开大学合作设立了精算教育培训项目，并于1992年在南开设立考试中心。

目前，SOA在北京、上海、天津、长沙、合肥、深圳、西安、广州共设有8个考试中心。

附：北美精算师资格考试相关法律条规北美精算师资格考试规则Exam Rules and Regulations/Instructions to Candidates北美精算师资格考试网络教学课程条款及细则Society of Actuaries T erms and Conditions Agreement for e-Learning Candidates◇ 报名条件北美精算师考试原则上无明确的报考学历等要求，但VEE学分豁免需SOA认可的大学或研究所的学习证明。

VEE课程学分也可通过SOA的网上教学来获得。

◇ 报名时间通常所说的考试为初级考试(preliminary examinations)部分，北美精算师初级考试每年各科目考试次数及报名时间都不相同。

2013年各科目报名截止时间见：2013年北美精算师初级考试时间表。

北美精算师大纲

并且假设学员在学习这门课程之前已经熟练掌握了微积分、概率论的有关内容及风险管理的基本知识。

在学习这门课程之前要求具有微积分和概率论的基础知识。

在学习这门课程之前要求熟练掌握微积分、概率论和数理统计的相关内容。

建议学员在通过课程1和课程2后学习这门课程。

在学习这门课程之前要求熟练掌握微积分、线性代数、概率论和数理统计的相关内容。

该课程的学习材料综合了各种计划和覆盖范围以展示精算原理在各研究领域中应用的一致性和差异性。

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Financial Mathematics Exam—April 2013The Financial Mathematics exam is called Exam FM by the SOA and Exam 2 by the CAS. This three-hour exam consists of 35 multiple-choice questions. The examination is administered by Preliminary Actuarial Examinations/SOA. The examination is jointly sponsored and administered by the CAS, SOA, and the Canadian Institute of Actuaries (CIA). The examination is also jointly sponsored by the American Academy of Actuaries (AAA) and the Conference of Consulting Actuaries (CCA).The Financial Mathematics Exam is administered as a computer-based test. For additional details, please refer to Exam RulesThe goal of the syllabus for this examination is to provide an understanding of the fundamental concepts of financial mathematics, and how those concepts are applied in calculating present and accumulated values for various streams of cash flows as a basis for future use in: reserving, valuation, pricing, asset/liability management, investment income, capital budgeting, and valuing contingent cash flows. The candidate will also be given an introduction to financial instruments, including derivatives, and the concept of no-arbitrage as it relates to financial mathematics.The Financial Mathematics Exam assumes a basic knowledge of calculus and an introductory knowledge of probability.The following learning objectives are presented with the understanding that candidates are allowed to use specified calculators on the exam. The education and examination of candidates reflects that fact. In particular, such calculators eliminate the need for candidates to learn and be examined on certain mathematical methods of approximation.Please check the Updates section on this exam's home page for any changes to the exam or syllabus.Each multiple-choice problem includes five answer choices identified by the letters A, B, C, D, and E, only one of which is correct. Candidates must indicate responses to each question on the computer. Candidates will be given three hours to complete the exam.As part of the computer-based testing process, a few pilot questions will be randomly placed in the exam (paper and pencil and computer-based forms). These pilot questions are included to judge their effectiveness for future exams, but they will NOT be used in the scoring of this exam. All other questions will be considered in the scoring. All unanswered questions are scored incorrect. Therefore, candidates should answer every question on the exam. There is no set requirement for the distribution of correct answers for the SOA/CAS/CIA multiple-choice preliminary examinations. It is possible that a particular answer choice could appear many times on an examination or not at all. Candidates are advised to answer each question to the best of their ability, independently from how they have answered other questions on the examination.Since the CBT exam will be offered over a period of a few days, each candidate will receive a test form composed of questions selected from a pool of questions. Statistical scaling methods are used to ensure within reasonable and practical limits that, during the same testing period of a fewdays, all forms of the test are comparable in content and passing criteria. The methodology that has been adopted is used by many credentialing programs that give multiple forms of an exam.The ranges of weights shown in the Learning Objectives below are intended to apply to the large majority of exams administered. On occasion, the weights of topics on an individual exam may fall outside the published range. Candidates should also recognize that some questions may cover multiple learning objectives.LEARNING OBJECTIVESI. Interest Theory (65-80%)A. Time Value of Money (5-15%)1. The candidate will be able to define and recognize the definitions of the following terms:a. Interest rate (rate of interest)b. Simple interestc. Compound interestd. Accumulation functione. Future valuef. Present value/net present valueg. Discount factorh. Discount rate (rate of discount)i. Convertible m-thlyj. Nominal ratek. Effective ratel. Inflation and real rate of interestm. Force of interestn. Equation of value2. The candidate will be able to:a. Given any two of interest rate, present value, or future value, calculate the thirdbased on simple or compound interest.b. Given any one of the effective interest rate, the nominal interest rate convertible m-thly, the effective discount rate, the nominal discount rate convertible m-thly, or theforce of interest, calculate all of the other items.c. Write the equation of value given a set of cash flows and an interest rate.B. Annuities with payments that are not contingent (5-20%)1. The candidate will be able to define and recognize the definitions of the followingterms:a. Annuity-immediateb. Annuity-duec. Perpetuityd. Payable m-thly, or Payable continuouslye. Level payment annuityf. Arithmetic increasing/decreasing payment annuityg. Geometric increasing/decreasing payment annuityh. Term of annuity2. The candidate will be able to:a. Given an annuity with level payments, immediate (or due), payable m-thly, (orpayable continuously), and any three of present value, future value, interest rate,payment, and term calculate the remaining two items.b. Given an annuity with non-level payments, immediate (or due), payable m-thly, (orpayable continuously), the pattern of payment amounts, and any three of presentvalue, future value, interest rate, payment amounts, and term of annuity calculatethe remaining two items.C. Loans (5-20%)1. The candidate will be able to define and recognize the definitions of the following terms:a. Principalb. Interestc. Term of loand. Outstanding balancee. Final payment (drop payment, balloon payment)f. Amortizationg. Sinking fund2. The candidate will be able to:a. Given any four of term of loan, interest rate, payment amount, payment period,principal, calculate the remaining items.b. Calculate the outstanding balance at any point in time.c. Calculate the amount of interest and principal repayment in a given payment.d. Given the quantities, except one, in a sinking fund arrangement calculate the missingquantity.D. Bonds (5-20%)1. The candidate will be able to define and recognize the definitions of the following terms:Price, book value, amortization of premium, accumulation of discount, redemptionvalue, par value/face value, yield rate, coupon, coupon rate, term of bond,callable/non-callable2. Given sufficient partial information about the items listed below, the candidate will beable to calculate any of the remaining items.a. Price, book value, amortization of premium, accumulation of discountb. Redemption value, face valuec. Yield rated. Coupon, coupon ratee. Term of bond, point in time that a bond has a given book value, amortization ofpremium, or accumulation of discountE. General Cash Flows and Portfolios (5-20%)1. The candidate will be able to define and recognize the definitions of the followingterms:a. Yield rate/rate of returnb. Dollar-weighted rate of return/Time-weighted rate of returnc. Current valued. Duration (Macaulay, modified and effective)e. Convexityf. Portfolio and investment year allocation methodsg. Spot rateh. Forward ratej. Stock price, stock dividend2. The candidate will be able to:a. Calculate the current value of a set of cash flows.b. Calculate the portfolio yield rate.c. Calculate the dollar-weighted and time-weighted rate of return.d. Calculate the duration and convexity of a set of cash flows.e. Calculate either Macaulay or modified duration given the other.f. Use duration and convexity to approximate the change in present value due to achange in interest rate.g. Calculate the price of a stock using the dividend discount model.F. Immunization (5-15%)1. The candidate will be able to define and recognize the definitions of the followingterms:a. Cash-flow matching;b. Immunization (including full immunization);c. Redington immunization.2. The candidate will be able to:a. Construct an investment portfolio to fully immunize a set of liability cash flows.b. Construct an investment portfolio to match present value and duration of a set ofliability cash flows.c. Construct an investment portfolio to exactly match a set of liability cash flows.II. Financial Economics (20-35%)A.General Derivatives (0-5%)1. The candidate will be able to define and recognize the definitions of the following terms:a. Derivative, Underlying asset, Over-the-counter marketb. Ask price, Bid price, Bid-ask spreadc. Short selling, Short position, Long positiond. Stock indexe. Spot pricef. Net profit/payoffg. Credit riskh. Marking-to-marketi. Margin, Maintenance margin, Margin call2. The candidate will be able to evaluate an investor's margin position based on changes inasset values.B. Options (5-10%)1. The candidate will be able to define and recognize the definitions of the following terms:a. Call option, Put optionb. Expiration, Expiration datec. Strike price/Exercise priced. European option, American option, Bermudan optione. In-the-money, At-the-money, Out-of-the-moneyf. Covered call, Naked writingh. Put-call parity2. The candidate will be able to evaluate the payoff and profit of basic derivative contracts.C. Hedging and Investment Strategies (5-15%)1. The candidate will be able to define and recognize the definitions of the following terms:a. Hedging, Arbitrageb. Diversifiable risk, Nondiversifiable riskc. Synthetic forwardsc. Spreads (including bull, bear, box, and ratio spreads)d. Collars (including zero-cost collars), Paylater strategye. Straddles (including strangles, written straddles and butterfly spreads)f. Convertible bond, Mandatorily convertible bond2. The candidate will be able to:a. Explain how derivative securities can be used as tools to manage financial risk.b. Explain the reasons to hedge and not to hedge.c. Evaluate the payoff and profit of hedging strategies.D. Forwards and Futures (0-10%)1. The candidate will be able to define and recognize the definitions of the following terms:a. Forward contract, Prepaid forward contractb. Outright purchase, Fully leveraged purchasec. Implied repo rated. Cost of carrye. Lease ratef. Futures contract2. The candidate will be able to:a. Determine forward price from prepaid forward price.b. Explain the relationship between forward price and futures price.c. Explain the relationship between forward price and future stock price.d. Use the concept of no-arbitrage to determine the theoretical value of futures andforwards.e. Given any four of call premium, put premium, forward price, strike price andinterest rate, calculate the remaining item using the put-call parity formula.E. Swaps (0-5%)1. The candidate will be able to define and recognize the definitions of the following terms:a. Swap, Prepaid swapb. Swap term, Swap spread, Notional Amountc. Simple commodity swap, Interest rate swapd. Deferred swap2. The candidate will be able to use the concept of no-arbitrage to determine thetheoretical values of swaps.Text ReferencesKnowledge and understanding of the financial mathematics concepts are significantly enhanced through working out problems based on those concepts. Thus, in preparing for the Financial Mathematics exam, whichever of the source textbooks candidates choose to use, candidates are encouraged to work out the textbook exercises related to the listed readings.Suggested Textbooks for Learning Objectives in Section I, Interest TheoryThere is not a single textbook required for the learning objectives in Section I. The texts listed below are representative of the textbooks available to cover the material on which the candidate may be tested. Not all topics may be covered at the same level in each text. The candidate may wish to use one or more texts in his/her preparation for the examination.Textbook for Learning Objectives in Section II, Financial EconomicsOTHER RESOURCES:Derivatives Markets, Errata, 2006 Second Edition, by R. McDonald Notation and terminology used for Exam FM/Exam 2All released exam papers, since 2000, can be found here.Exam FM/2 Sample Questions and SolutionsSamples Questions and Solutions for Derivatives MarketsReview of Calculator Functions for the Texas Instruments BA-35 Review of Calculator Functions for the Texas Instruments BA II Plus。