2009 - MA820/09 UNIVERSITY OF KENT FACULTY OF SCIENCE,...

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MA820/09 turn over UNIVERSITY OF KENT FACULTY OF SCIENCE, TECHNOLOGY AND MEDICAL STUDIES LEVEL M EXAMINATION POSTGRADUATE DIPLOMA IN ACTUARIAL SCIENCE POSTGRADUATE CERTIFICATE IN ACTUARIAL SCIENCE Thursday, 21 May 2009: 9.30 – 12.30 This paper contains 12 questions. Answer ALL questions. The marks allocated are shown at the end of each question. Copies of Formulae and Tables for Actuarial Examinations are provided. Approved calculators may be used. Candidates are advised to show their working on their scripts. Marks might then be awarded for use of a correct method, even if the numerical or algebraic result is incorrect.
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MA820/09 2 1 If 0.075 then calculate the following to 5 significant figures. (i) v (ii)   4 i (iii)   4 10 a (iv)   10 I a [5 marks] 2 Calculate the time in days for £700 to accumulate to £750 at: (i) a force of interest of 5% per annum (ii) a simple rate of discount of 5% per annum (iii) a rate of interest of 5% per annum convertible monthly. [6 marks] 3 Define: (i) a European call option (ii) an American put option [4 marks] 4 A share has a current price of £8 and pays out annual dividends starting with a dividend of 30p in three months’ time. It is assumed that each future dividend will be j % higher than the dividend paid in the previous year. (i) Calculate j assuming an interest rate of 7.5% per annum effective. (ii) Calculate the forward price of a one-year forward contract on the share assuming the risk free rate is 6% per annum effective. [6 marks] 5 A fund was valued at £1m on 1 January 2008 and was valued at £2.25m on 31 December 2008. On 31 May 2008 the fund was valued at £1.2m and the fund received a cash inflow of £2m on 1 June 2008.
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This note was uploaded on 06/07/2011 for the course MA 826 taught by Professor Loba,millet during the Spring '11 term at Kent Uni..

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2009 - MA820/09 UNIVERSITY OF KENT FACULTY OF SCIENCE,...

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