Mathématiques Financières I Démonstration

ACT2025 7 novembre 2007

Ces questions sont tirées des examens de la SOA et de la CAS de mai 2005
et novembre 2005, ainsi que du document de préparation écrit en septembre
2005 pour ces deux sociétés.

Exercices
1 Lori borrows 10,000 for 10 years at an annual effective interest rate
of 9%. At the end of each year, she pays the interest on the loan and deposits
the level amount necessary to repay the principal to a sinking fund earning
an annual effective interest rate of 8%. The total payments made by Lori
over the 10-year period is X.
Calculate X.

2 Mike receives cash flows of 100 today, 200 in one year, and 100 in two
years. The present value of these cash flows is 364.46 at an annual effective
rate of interest i.
Calculate i.

3 A loan is being repaid with 25 annual payments of 300 each. With

the 10th payment, the borrower pays an extra 1000, and then repays the
balance over 10 years with a revised annual payment. The effective rate of
interest is 8%.
Calculate the amount of the revised annual payment.

4 At a nominal interest rate of i convertible semi-annually, an invest-

ment of 1000 immediately and 1500 at the end of the first year will accumulate
to 2600 at the end of the second year.
Calculate i.

5 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. Peters account is
credited interest at a force of interest of δ. After 7.25 years, the value of each
account is the same.

Compilé le 2 novembre 2007 1

Mathématiques Financières I Démonstration
ACT2025 7 novembre 2007

Calculate δ.

6 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.

7 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.

8 Seth, Janice, and Lori each borrow 5000 for five years at a nominal
interest rate of 12%, compounded semi-annually. Seth has interest accumula-
ted 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.

Solutionnaire
# Réponse
1 15 903
2 10%
3 233,65
4 2.81%
5 3.96%
6 9.46%
7 5 460
8 8 748

Compilé le 2 novembre 2007 2