Matematici Financiare Si Actuariale

Conf. univ. dr. RODICA IOAN Lector univ. dr. MANUELA GHICA Lector univ. dr.
ILEANA RODICA NICOLA Lector univ. dr. VLAD COPIL
MATEMATICI FINANCIARE I ACTUARIALE

Curs n tehnologie ID-IFR
Editura Fundaiei Romnia de Mine, 2012 http://www.edituraromaniademaine.ro/ Editur recunoscut de Ministerul Educaiei, Cercetrii, Tineretului i Sportului prin Consiliul Naional al Cercetrii tiinifice din nvmntul Superior (COD 171)
Descrierea CIP a Bibliotecii Naionale a Romniei Matematici financiare i actuariale/ Rodica Ioan, Manuela Ghica, Ileana Rodica Nicola, Vlad Copil Bucureti, Editura Fundaiei Romnia de Mine, 2011 ISBN 978-973-163-658-0 I. II. III. IV. Ioan, Rodica Ghica, Manuela Nicola, Ileana Rodica Copil, Vlad
51(075.8)
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Rspunderea pentru coninutul i originalitatea textului revine exclusiv autorului/autorilor.
UNIVERSITATEA SPIRU HARET

FACULTATEA DE MANAGEMENT FINANCIAR CONTABIL BUCURETI PROGRAMUL DE STUDII UNIVERSITARE DE LICEN CONTABILITATE I INFORMATIC DE GESTIUNE
MATEMATICI FINANCIARE I ACTUARIALE

Curs n tehnologie ID-IFR
Realizatori curs n tehnologie ID-IFR Conf. univ. dr. Lector univ. dr. Lector univ. dr. Lector univ. dr. RODICA IOAN MANUELA GHICA ILEANA RODICA NICOLA VLAD COPIL
EDITURA FUNDAIEI ROMNIA DE MINE Bucureti, 2012
CUPRINS
INTRODUCERE .. Unitatea de nvare 1 NOIUNI INTRODUCTIVE DE TEORIA PROBABILITILOR 1.1. Introducere ..................................................................................................................................... 1.2. Obiectivele i competenele unitii de nvare ............................................................................. 1.3. Coninutul unitii de nvare ........................................................................................................ 1.3.1. Cmp de evenimente. Probabilitate ...................................................................................... 1.3.2. Probabilitate pe un cmp finit de evenimente ...................................................................... 1.4. ndrumar pentru verificare/autoverificare ...................................................................................... Unitatea de nvare 2 VARIABILE ALEATOARE 2.1. Introducere ..................................................................................................................................... 2.2. Obiectivele i competenele unitii de nvare ............................................................................. 2.3. Coninutul unitii de nvare ........................................................................................................ 2.3.1. Variabile aleatoare unidimensionale. Caracteristici numerice. Funcie de repartiie ........... 2.3.1.1. Variabile aleatoare discrete ............................................................................................... 2.3.1.2. Variabile aleatoare continue................................................................................................ 2.3.2. Variabile aleatoare bidimensionale ...................................................................................... 2.4. ndrumar pentru verificare/autoverificare ...................................................................................... Unitatea de nvare 3 SCHEME CLASICE DE PROBABILITATE 3.1. Introducere ..................................................................................................................................... 3.2. Obiectivele i competenele unitii de nvare ............................................................................. 3.3. Coninutul unitii de nvare ........................................................................................................ 3.3.1. Repartiii probabilistice clasice ............................................................................................ 3.3.1.1 Repartiii de tip discret ....................................................................................................... 3.3.1.2. Repartiii de tip continuu ................................................................................................... 3.4. ndrumar pentru verificare/autoverificare ....................................................................................... Unitatea de nvare 4 ELEMENTE DE STATISTIC MATEMATIC 4.1. Introducere ............................................................................. ........................................................ 4.2. Obiectivele i competenele unitii de nvare.............................................................................. 4.3. Coninutul unitii de nvare ........................................................................................................ 4.3.1. Teoria seleciei ..................................................................................................................... 4.3.2. Teoria estimaiei .................................................................................................................. 4.4. ndrumar pentru verificare/autoverificare ......................................................................................
13 13 14 14 15 17
21 21 22 22 22 26 29 33
39 39 40 40 40 42 44
49 49 50 50 51 53
Unitatea de nvare 5 GRAFURI I 5.1. Introducere ..................................................................................................................................... 5.2. Obiectivele i competenele unitii de nvare ............................................................................. 5.3. Coninutul unitii de nvare ........................................................................................................ 5.3.1. Introducere. Definiii ............................................................................................................ 5.3.2. Matrice asociate unui graf. Proprieti ale grafurilor ........................................................... 5.3.3. Determinarea drumurilor hamiltoniene n grafuri fr circuite ............................................ 5.3.4. Determinarea drumurilor hamiltoniene n grafuri cu circuite .............................................. 5.4. ndrumar pentru verificare/autoverificare ....................................................................................... Unitatea de nvare 6 GRAFURI II 6.1. Introducere ............................................................................. ....................................................... 6.2. Obiectivele i competenele unitii de nvare ............................................................................. 6.3. Coninutul unitii de nvare ........................................................................................................ 6.3.1. Drumuri de valoare ntr-un graf. Algoritmul Bellman-Kalaba ............................................ 6.3.2. Flux maxim ntr-o reea de transport ..................................... .............................................. 6.3.2.1. Algoritmul Ford-Fulkerson ..................................... ............................................... 6.4. ndrumar pentru verificare/autoverificare ...................................................................................... Unitatea de nvare 7 DOBNZI 7.1 Introducere ...................................................................................................................................... 7.2 Obiectivele i competenele unitii de nvare .............................................................................. 7.3 Coninutul unitii de nvare ......................................................................................................... 7.3.1. Dobnda simpl .................................................................................................................... 7.3.2. Dobnda compus ................................................................................................................ 7.4. ndrumar pentru verificare/autoverificare ...................................................................................... Unitatea de nvare 8 OPERAIUNI DE SCONT 8.1. Introducere ..................................................................................................................................... 8.2. Obiectivele i competenele unitii de nvare ............................................................................. 8.3. Coninutul unitii de nvare ........................................................................................................ 8.3.1. Operaiuni de scont ............................................................................................................... 8.4. ndrumtor pentru verificare/autoverificare .................................................................................... Unitatea de nvare 9 PLI EALONATE 9.1. Introducere ..................................................................................................................................... 9.2. Obiectivele i competenele unitii de nvare ............................................................................. 9.3. Coninutul unitii de nvare ........................................................................................................ 9.3.1. Anuiti posticipate, temporare, imediate ........................................................................... 9.4. ndrumar pentru verificare/autoverificare ...................................................................................... 104 104 105 105 106 96 96 97 97 100 89 89 90 90 91 93 74 74 75 75 77 78 79 61 61 62 62 66 68 69 70
Unitatea de nvare 10 PLI EALONATE GENERALIZATE. MPRUMUTURI 10.1 Introducere .................................................................................................................................... 10.2 Obiectivele i competenele unitii de nvare ............................................................................ 10.3 Coninutul unitii de nvare ........................................................................................................ 10.3.1. mprumuturi ...................................................................................................................... 10.3.1.1. Amortizarea unui mprumut prin anuiti constante posticipate ......................... 10.3.1.2. mprumuturi cu anuiti constante, pltibile la sfritul anului 10.3.1.3. mprumuturi cu anuiti constante cu dobnd pltit la nceputul anului (anticipat) ............................................................................................................. 10.3.1.4. mprumuturi cu amortismente egale ................................................................... 10.4. ndrumar pentru verificare/autoverificare .................................................................................... Unitatea de nvare 11 BAZELE MATEMATICII ACTUARIALE 11.1. Introducere .................................................................................................................................... 11.2. Obiectivele i competenele unitii de nvare ........................................................................... 11.3. Coninutul unitii de nvare ....................................................................................................... 11.3.1. Funcii biometrice ............................................................................................................. 11.3.2. Asigurarea unei sume n caz de supravieuire la mplinirea termenului de asigurare ....... 11.4. ndrumar pentru verificare/autoverificare...................................................................................... Unitatea de nvare 12 CONTRACTE DE ASIGURARE VIAGER 12.1. Introducere..................................................................................................................................... 12.2. Obiectivele i competenele unitii de nvare............................................................................ 12.3. Coninutul unitii de nvare ....................................................................................................... 12.3.1. Anuiti viagere ................................................................................................................. 12.3.1.1. Anuiti viagere posticipate imediate ................................................................. 12.1.1.2. Anuiti viagere anticipate imediate ................................................................... 12.1.1.3. Anuiti viagere limitate la n ani i anuiti viagere amnate ............................. 12.4. ndrumar pentru verificare/autoverificare...................................................................................... Unitatea de nvare 13 REZERVA MATEMATIC 13.1. Introducere..................................................................................................................................... 13.2. Obiectivele i competenele unitii de nvare ........................................................................... 13.3. Coninutul unitii de nvare........................................................................................................ 13.3.1. Rezerva matematic .............................................................................. 13.3.1.1. Ecuaia diferenial a rezervelor matematice ................................................... 13.4. ndrumar pentru verificare/autoverificare...................................................................................... Unitatea de nvare 14 PLI VIAGERE FRACIONATE 14.1. Introducere..................................................................................................................................... 14.2. Obiectivele i competenele unitii de nvare............................................................................ 14.3. Coninutul unitii de nvare ....................................................................................................... 14.3.1. Asigurarea de pensie ............................................................................ 14.3.2. Asigurarea de deces ........................................................................... 133 133 134 134 134 7 128 128 129 129 130 131 123 123 124 124 124 124 124 125 117 117 118 118 120 121 109 109 110 110 110 111 111 111 112
14.3.3. Asigurri mixte .............................................................................................................. 14.4. ndrumar pentru verificare/autoverificare...................................................................................... Rspunsuri la testele de evaluare/autoevaluare Bibliografie ............................................................................
136 136 139 155
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F (x ) =
f (u )du
'DF F DUH R GHQVLWDWH GH SUREDELOLWDWH f DWXQFL F ( x + x ) F ( x ) P ( x < x + x ) f ( x ) = F ( x ) = lim = lim x 0 x 0 x x 5H]XOW GH DLFL F P ( x < x + dx ) = f ( x )dx 'HQVLWDWHD GH SUREDELOLWDWH DUH XUP WRDUHOH SURSULHW L f ( x ) 0 SHQWUX RULFH x 5 5
+

f (u )du = 1 f (x )dx
a b
3HQWUX RULFH a < b UHDOL DUH ORF UHOD LD P (a < b ) = 0RPHQWHOH XQHL YDULDELOH GH WLS FRQWLQXX )LH
{, , P}
XQ FkPS GH SUREDELOLWDWH L R YDULDELO
DOHDWRDUH D F UHL IXQF LH GH UHSDUWL LH HVWH F )LH f GHQVLWDWHD GH UHSDUWL LH D YDULDELOHL DOHDWRDUH 'HILQL LD 6H QXPHWH YDORDUH PHGLH D YDULDELOHL DOHDWRDUH H[SUHVLD 'HILQL LD 6H QXPHWH PRPHQW GH RUGLQXO r r 1 1 DO YDULDELOHL DOHDWRDUH FRQWLQXH H[SUHVLD

M ( ) =
xdF ( x ) =
xf (x )dx
+
M r ( ) = r ( ) =
x r dF ( x ) =
x f (x )dx
r +
LDU H[SUHVLD
M r ( ) = r ( ) =

VH QXPHWH PRPHQW DEVROXW GH RUGLQ r DO YDULDELOHL DOHDWRDUH

x dF ( x ) =
r
x f ( x )dx
r

Q DFHODL PRG vQ FDUH VDX GHILQLW PRPHQWXO FHQWUDW GH RUGLQXO r GLVSHUVLD DEDWHUHD PHGLH S WUDWLF vQ FD]XO YDULDELOHORU DOHDWRDUH GLVFUHWH VH GHILQHVF L SHQWUX YDULDELOH DOHDWRDUH GH WLS FRQWLQXX 3URSULHW LOH YDORULL PHGLL L DOH GLVSHUVLHL GDWH SHQWUX YDULDELOH DOHDWRDUH GH WLS GLVFUHW VH PHQ LQ SHQWUX YDULDELOH DOHDWRDUH GH WLS FRQWLQXX Q DSOLFD LL VH vQWkOQHVF L XUP WRDUHOH FDUDFWHULVWLFL 'HILQL LD 6H QXPHVF DVLPHWULH As L H[FHV E QXPHUHOH ( ) As = 3 3 2 ( ) 4 ( ) E= 2 3 2 ( ) GDF PRPHQWHOH UHVSHFWLYH H[LVW 'HILQL LD 6H QXPHWH moment centrat n a GH RUGLQXO r DO YDULDELOHL DOHDWRDUH PRPHQWXO GH RUGLQXO r DO YDULDELOHL DOHDWRDUH r a LDU PRPHQWHOH YDULDELOHORU DOHDWRDUH a VH QXPHVF PRPHQWH
absolute centrate n a GH RUGLQXO r 'HILQL LD 0HGLDQD XQHL YDULDELOH DOHDWRDUH HVWH QXP UXO M e VDX ( ) SHQWUX FDUH 1 P ( M e ) P ( M e ) 2 VDX 1 1 F (M e ) L F (M e + 0 ) 2 2 ,QHJDOLWDWHD OXL 0DUNRY )LH R YDULDELO DOHDWRDUH SR]LWLY D F UHL YDORDUH PHGLH HVWH ILQLW 3HQWUX RULFH > 1 DYHP 1 P ( M ( )) 'HILQL LD 0RGD Mo D XQHL YDULDELOH DOHDWRDUH HVWH YDORDUHD YDULDELOHL DOHDWRDUH FHD PDL SUREDELO 'HILQL LD )LH (, , P ) XQ FkPS GH SUREDELOLWDWH L : 5 5R YDULDELO DOHDWRDUH 6H QXPHWH IXQF LH FDUDFWHULVWLF D YDULDELOHL it DOHDWRDUH IXQF LD 5 5 & & (t ) = M (e ). 3ULQ XUPDUH GDF HVWH R YDULDELO DOHDWRDUH GLVFUHW DYHP LDU GDF HVWH R YDULDELO DOHDWRDUH FRQWLQX DYHP
kI
(t ) =
e
itx
itxk
pk
(t ) =
f ( x)dx
9DULDELOH DOHDWRDUH ELGLPHQVLRQDOH n ceOH FH XUPHD] YRP SUH]HQWD R VHULH GH DVSHFWH UHIHULWRDUH OD YDULDELOHOH DOHDWRDUH ELGLPHQVLRQDOH 'HILQL LD )LH 1 , 2 ,..., n Q YDULDELOH DOHDWRDUH GHILQLWH SH cmpul de probabilitate {, , P} 6LVWHPXO (1 , 2 ,..., n ) VH QXPHWH YDULDELO DOHDWRDUH QGLPHQVLRQDO VDX YHFWRU DOHDWRU FX Q GLPHQVLXQL

n continuare, vom studia cazul Q UHIHULQGXne n prealabil la YDULDELOHOH ELGLPHQVLRQDOH GLVFUHWH )LH (, ) R YDULDELO DOHDWRDUH GHILQLW SH FkPSXO GH SUREDELOLWDWH {, , P} 3ULQ GLVWULEX LD YDULDELOHL DOHDWRDUH (, ) YRP vQ HOHJH HQXPHUDUHD YDORULORU SRVLELOH DOH YDULDELOHL GHFL D SHUHFKLORU GH QXPHUH ( xi , y j ) 1i n L D SUREDELOLW LORU FRUHVSXQ] WRDUH
1 j m
pij = P { | () = xi }, | () = y j
})
(YHQLPHQWHOH = xi , = y j IRUPHD] XQ VLVWHP FRPSOHW GH HYHQLPHQWH GHFL VXPD WXWXURU SUREDELOLW LORU HVWH HJDO FX &XQRVFkQG UHSDUWL LD YDULDELOHL DOHDWRDUH (, ) SXWHP GHWHUPLQD UHSDUWL LD ILHF UHL FRPSRQHQWH L DQXPH HYHQLPHQWHOH { = x1 , = y1},{ = x1 , = y2 },...,{ = x1 , = ym } VXQW LQFRPSDWLELOH L YRP QRWD p1. = p11 + p12 + ... + p1m . $QDORJ YRP DYHD
ij i =1 j =1
1i n 1 j m

=1
pi.=
p
j =1
n i =1
ij

L UHVSHFWLY
p. j =
ij

FDUH YRU IL QXPLWH L SUREDELOLW L PDUJLQDOH DOH OXL UHVSHFWLY 'H RELFHL UHSDUWL LD YDULDELOHL GLVFUHWH (, ) VH VFULH VXE IRUPD XQXL WDEORX FX GXEO LQWUDUH GH IRUPD
? y1
x1 p11 p12
x2 p21 p22

xi pi1 pi 2

xn pn1 pn 2
y2
yj ym
p1 j p1m
p2 j p2 m
pij pim
pnj pnm
'HFL p1. = P ( = x1 ) L UHSUH]LQW FRORDQD OXL x1 DPG
VXPD SUREDELOLW LORU GH SH

5HSDUWL LLOH YDULDELOHORU L VXQW n x x ... xi ... xn : 1 2 , pi. = 1 p1. p2. ... pi. ... pn. i =1
y y ... y j ... ym : 1 2 , p.1 p.2 ... p. j ... p.m
p
j =1

.j
=1
5HSDUWL LL FRQGL LRQDWH GLVFUHWH )LH YDULDELOD ELGLPHQVLRQDO (, ) FX UHSDUWL LD GLQ WDEORXO 1RW P p ( xi / y j ) = P ( = xi / = y j ). 3ULQ UHSDUWL LD OXL FRQGL LRQDW GH IDSWXO F = y j vQ HOHJHP UHSDUWL LD x1 x2 xi xn ... ... : ( / ) ( / ) ( / ) ( / ) p x y p x y p x y p x y 1 j 2 j ... i j ... n j = y
j
XQGH
p ( xi / y j ) =
P( = xi , = y j ) P ( = y j )
pij p. j

FX
p( x / y ) = 1
i j i =1
$QDORJ VH SRDWH GHILQL UHSDUWL LD OXL FRQGL LRQDW GH IDSWXO F = xi L DQXPH

yj y1 y2 ym ... ... : p ( y1 / xi ) p( y2 / xi ) ... p ( y j / xi ) ... p( ym / xi ) = xi

XQGH
p ( y j / xi ) =
pij pi.
'HILQL LD )XQF LD ) 5 >@ 5 F ( x, y ) = P({ | () < x, () < y}) VH QXPHWH IXQF LD GH UHSDUWL LH D YDULDELOHL DOHDWRDUH ELGLPHQVLRQDOH (, ) 9RP GD FkWHYD SURSULHW L DQDORJH FHORU GDWH SHQWUX IXQF LLOH GH UHSDUWL LH XQLGLPHQVLRQDOH F HVWH QHGHVFUHVF WRDUH vQ UDSRUW FX ILHFDUH DUJXPHQW F HVWH FRQWLQX OD VWkQJD vQ UDSRUW FX ILHFDUH DUJXPHQW F ( x, ) = F (, x ) = F (, ) = 0 F (+, + ) = 1 F ( x, + ) = F ( x ) F (+, y ) = F ( y )
p( y
j =1
/ xi ) = 1

DOHDWRU (, ) VH J VHWH vQ GRPHQLXO D . Probabilitatea acestui HYHQLPHQW VH H[SULP VLPSOX GDF D HVWH XQ GUHSWXQJKL DOH F UXL ODWXUL VXQW SDUDOHOH FX D[HOH GH FRRUGRQDWH )LH GUHSWXQJKLXO D de vrfuri

n continuare, vom nota simbolic (, ) D evenimentul punctul
(, ) D
A (a , c )
B (b, c )
P ((, ) D ) = F (b, d ) F (a, d ) F (b, c ) + F (a, c )

HVWH HFKLYDOHQW FX {a < b} {c < d } GHFL
C (b, d )
D (a, d ) . n acest caz, evenimentuO

'DF H[LVW R IXQF LH UHDO

F ( x, y ) =
DYHP
SUREDELOLWDWH UHSDUWL LH D YDULDELOHL DOHDWRDUH FX GLPHQVLXQL )LH , GRX YDULDELOH DOHDWRDUH GH WLS FRQWLQXX L (, ) LQWHUSUHWDW ca un punct aleator n plan. Fie R GUHSWXQJKLXO GH ODWXUL x L y
P ((, ) R ) = F ( x + x, y + y ) F ( x + x, y ) F ( x, y + y ) + F ( x, y ).
f (u, v )dudv
f GHILQLW L LQWHJUDELO SH 5 5 DD vQFkW f
DWXQFL
VH QXPHWH GHQVLWDWHD GH
$YHP
x 0 y 0
lim
P ((, ) R ) xy
2 F ( x, y ) . xy
1RW P DFHDVW GHULYDW SULQ f ( x, y )

f ( x, y ) = xy
2 F ( x, y )

HD ILLQG WRFPDL GHQVLWDWHD GH SUREDELOLWDWH D YDULDELOHL DOHDWRDUH $YHP P ((, ) D ) = f ( x, y )dxdy D 'HQVLWDWHD GH UHSDUWL LH D OXL HVWH QHQHJDWLY LDU
+ +
f (x, y )dxdy = 1
&DUDFWHULVWLFL QXPHULFH DOH YDULDELOHORU DOHDWRDUH ELGLPHQVLRQDOH )LH YDULDELOD DOHDWRDUH FX GRX GLPHQVLXQL = (, )
k s 'HILQL LD 9RP QXPL k , s = M
k , s DO VLVWHPXOXL (, ) 9RP QXPL PRPHQW FHQWUDW GH RUGLQXO k , s DO
) PRPHQW LQL LDO GH RUGLQ

k s
VLVWHPXOXL (, ) QXP UXO k , s = M M ( ) M () $YHP

k ,s =
+ + + +
)
y s f ( x, y )dxdy

s

k ,s =
(x M ( )) ( y M ()) f (x, y )dxdy

k

formule care n cazul variabilelor aleatoare discrete devin k ,s = xik y sj pij i j

k ,s =
( x M ( )) ( y
k i i j
M () pij
$YHP
1,0 = M 10 = M ( ) 0,1
0 1
Un rol important n teoria sistemelor de variabile aleatoare l are FRYDULDQ D 'HILQL LD 6H QXPHWH FRYDULDQ D YDULDELOHORU DOHDWRDUH L YDORDUHD cov(, ) = M () M () M () &RYDULDQ D HVWH R FDUDFWHULVWLF D VLVWHPXOXL GH YDULDELOH DOHDWRDUH FDUH GHVFULH SH OkQJ GLVSHUVLH OHJ WXUD GLQWUH HOH 6H DUDW FX XXULQ F GDF L VXQW LQGHSHQGHQWH FRYDULDQ D ORU HVWH QXO 'HILQL LD 6H QXPHWH FRHILFLHQW GH FRUHOD LH DO YDULDELOHORU DOHDWRDUH L UDSRUWXO cov(, ) r, = . D() D() 'DF L VXQW LQGHSHQGHQWH DWXQFL r, = 0 'HILQL LD 'DF r, = 0 VH VSXQH F YDULDELOHOH DOHDWRDUH L VXQW QHFRUHODWH 3URSULHW L DOH FRHILFLHQWXOXL GH FRUHOD LH 3 )LH D() D() 0 DWXQFL r, = 0 GDF L QXPDL GDF YDULDELOHOH L VXQW QHFRUHODWH
2 3 3HQWUX RULFH GRX YDULDELOH DOHDWRDUH DYHP r , 1 2 3 'DF r , = 1 , atunci ntre L H[LVW R GHSHQGHQ OLQLDU
( ) = M ( ) = M ()
ndrumar pentru verificare/autoverificare

1 2 3 4 0 )LH YDULDELOD DOHDWRDUH GLVFUHW : 6 VH GHWHUPLQH IXQF LD 0,15 0, 45 0, 20 0,15 0,05 VD GH UHSDUWL LH

5H]ROYDUH 6H WLH F F ( x) = P( < x) $WXQFL IXQF LD GH UHSDUWL LH HVWH pentru x < 0 0 0,15 pentru 0 x < 1 0.15 + 0, 45 pentru 1 x < 2 F (x ) = pentru 2 x < 3 0.15 + 0, 45 + 0, 20 0.15 + 0, 45 + 0, 20 + 0,15 pentru 3 x < 4 pentru x 4 1,00
1 2 1 1 : : 2 1 6H FHUH V VH FDOFXOH]H 6H FRQVLGHU YDULDELOHOH DOHDWRDUH 1 1 L 2 2 3 3 D P ( = 1, = 2 ) P ( = 1, = 1) P ( = 1, = 2 ) GDF P ( = 1, = 1) = E &RHILFLHQWXO GH FRUHOD LH vQ IXQF LH GH F 9DORULOH OXL SHQWUX FDUH L VXQW LQGHSHQGHQWH
5H]ROYDUH D $YHP
P ( = 1, = 2 ) + P ( = 1, = 1) = P ( = 1) P ( = 1, = 1) + P ( = 1, = 1) = P ( = 1) P ( = 1, = 2 ) + P ( = 1, = 1) = P ( = 1)
GH XQGH P ( = 1, = 2 ) =
1 2 P ( = xi )
1 2 1 P ( = 1, = 1) = L ( = 1, = 2 ) = GHFL 6 2 3
1
P ( = yi )
1 2 1 2
i
2 3 1 6 1 2
j i ,= y j
2 3 1 3
1
M () =
x y P ( = x
i, j
)=
1 2 1 = 2 + 2 = 6 2 6 3 2 WUHEXLH DVWIHO DOHV vQFkW WRDWH SUREDELOLW LOH V ILH FXSULQVH vQWUH 0 L 1 GHFL 2 1 1 0 1 0 1 0 1 0 1 3 2 6 1 1 GH XQGH FHHD FH LPSOLF 6 2 M () 1
E r, =
M () M ( ) M () D ( ) D ()

$YHP GHFL
M ( ) = 0 M () = 0 D 2 ( ) = 1 D 2 ( ) = 2
r, = 6 2 2
F 'HRDUHFH
1 1 UH]XOW 6 2
r,
3HQWUX =
1 L VXQW LQGHSHQGHQWH 3
1 12
7HVWH GH HYDOXDUHDXWRHYDOXDUH 6 VH VWDELOHDVF YDORDUHD GH DGHY U D XUP WRUXOXL UD LRQDPHQW )LH YDULDELOHOH DOHDWRDUH VLPSOH x xn y1 ym : 1 : p1 pn q1 qm
XQGH
9DULDELOD DOHDWRDUH + DUH WDEORXO GH GLVWULEX LH x1 + y1 x1 + y2 xi + y j xn + ym + : p12 pij pnm p11

pij = P () = xi () = y j
({
} {
})

'DF L VXQW GRX YDULDELOH DOHDWRDUH GLVFUHWH L GDF M ( ) L M () H[LVW DWXQFL H[LVW YDORDUHD PHGLH M ( + ) L D M ( + ) = M ( ) + M () E M ( + ) = M ( ) M () F M ( + ) = M ( ) M ()
6 VH VWDELOHDVF YDORDUHD GH DGHY U D XUP WRUXOXL HQXQ )XQF LD GH UHSDUWL LH D XQHL YDULDELOH DOHDWRDUH DUH XUP WRDUHD SURSULHWDWH 5 GDF x1 < x2 DWXQFL F ( x1 ) F ( x2 ) ( ) x1 , x2 5 )XQF LD GH UHSDUWL LH D XQHL YDULDELOH DOHDWRDUH DUH XUP WRDUHD SURSULHWDWH D lim F ( x ) = 1
F (x ) = 0 F nlim )LH R YDULDELO DOHDWRDUH D F UHL IXQF LH GH UHSDUWL LH HVWH F )LH a L b GRX QXPHUH UHDOH FX a < b $WXQFL DUH ORF HJDOLWDWHD D P (a < b ) = F (b ) F (a ) F ( x ) = 1 E nlim
n
E P (a < b ) = F (b ) + F (a )
G P (a < b ) = F (b ) 2 F (a ) 6H FRQVLGHU IXQF LD F GHILQLW SULQ UHOD LLOH 0 pentru x < 0 2 F ( x ) = ax pentru 0 x 1 1 pentru x > 1 D D E D F D G D
F P (a < b ) = 2 F (b ) F (a )
a FRQVWDQW 6 VH GHWHUPLQH FRQVWDQWD a DD vQFkW F V ILH IXQF LH GH UHSDUWL LH
XQGH a FRQVWDQW 6 VH FDOFXOH]H P (0,35 < 0,5 ) D P(0,35 < 0,5) = F (0,5) F (0,35) = 0,1275 E P(0,35 < 0,5) = F (0,5) + F (0,35) = 0,3775 F P(0,35 < 0,5) = F (0,5) F (0,35) = 0 G P(0,35 < 0,5) = F (0,35) F (0,5) = 0,1275
6H FRQVLGHU IXQF LD GH UHSDUWL LH F GHILQLW SULQ UHOD LLOH 0 pentru x < 0 2 F ( x ) = ax pentru 0 x 1 1 pentru x > 1

6H FRQVLGHU IXQF LD
pentru x < 0 0 f ( x ) = a sin x pentru 0 x 0 pentru x >
6 VH GHWHUPLQH FRQVWDQWD UHDO a DVWIHO FD f V ILH GHQVLWDWHD GH SUREDELOLWDWH D XQHL YDULDELOH DOHDWRDUH
+
D E F
f ( x )dx = a sin xdx = 2a = 1 DGLF D

0

f ( x )dx = a sin xdx = a = 1 DGLF D

0

0

0
6H FRQVLGHU IXQF LD
0 pentru x < 0 1 f ( x ) = sin x pentru 0 x 2 pentru x > 0
6 VH FDOFXOH]H P 0 < 4
2 2 D P 0 < = sin udu = 4 0 2
1 4 2 2 E P 0 < = sin udu = 4 20 4 1 F P 0 < = sin udu = 1 4 20

4
)LH R YDULDELO DOHDWRDUH D F UHL IXQF LH GH UHSDUWL LH UHSDUWL LH XQLIRUP HVWH 0 pentru x < 0 F ( x ) = x pentru 0 x < 1 1 pentru x 1
1 6 VH FDOFXOH]H IXQF LD GH UHSDUWL LH D YDULDELOHL DOHDWRDUH = ln
1 1 D F ( x) = P ( < x) = P ln < x = P < e x = x x = 1 P ( e ) = 1 e

1 1 E F ( x) = P ( < x) = P ln < x = P < e x = x x = 1 P ( e ) = 1 e
1 1 F F ( x) = P ( < x) = P ln < x = P < ln x = 1 1 =1 P = 1 ln x ln x
)LH R YDULDELO DOHDWRDUH GH WLS FRQWLQXX FX GHQVLWDWHD GH SUREDELOLWDWH f ( x ) = 1 e x x 5 5 2 6 VH FDOFXOH]H YDORDUHD VD PHGLH 0 + 1 1 1 x | x | x D M () = xe dx = xe dx + xe dx = 1 2 2 2 0 E M () = F M () =
1 1 1 xe | x| dx = xe x dx + 2 2 2
1 0 1
xe
0
dx = 0
1 1 1 | x | xe x dx + xe x dx = 0 1 xe dx = 2 2 20 1
%LEOLRJUDILH REOLJDWRULH 'XGD , 7UDQGDILU 5 %DFLX $ ,RDQ 5 %kU] 6 0DWHPDWLFL SHQWUX HFRQRPLWL (GLWXUD )XQGD LHL Romnia de Mine %XFXUHWL 'XGD , 7UDQGDILU 5 %DFLX $ ,RDQ 5 (OHPHQWH GH PDWHPDWLFL HFRQRPLFH (GLWXUD )XQGD LHL Romnia de Mine %XFXUHWL %DFLX $ Matematici aplicate n economLH L ILQDQ H (GLWXUD )XQGD LHL Romnia de Mine %XFXUHWL 'XGD , (OHPHQWH GH DOJHEU %XFXUHWL SHQWUX HFRQRPLWL (GLWXUD )XQGD LHL Romnia de Mine
2SUHVFX *K 0DWHPDWLFL SHQWUX HFRQRPLWL (GLWXUD )XQGD LHL Romnia de Mine %XFXUHWL

8QLWDWHD GH vQY DUH 6&+(0( &/$6,&( '( 352%$%,/,7$7(
&XSULQV ,QWURGXFHUH 2ELHFWLYHOH L FRPSHWHQ HOH XQLW LL GH vQY DUH &RQ LQXWXO XQLW LL GH vQY DUH 5HSDUWL LL SUREDELOLVWLFH FODVLFH 5HSDUWL LL GH WLS GLVFUHW 5HSDUWL LL GH WLS FRQWLQXX 3.4. ndrumar pentru verificare/autoverificare
,QWURGXFHUH Q XQLWDWHD GH vQY DUH VH VWXGLD] R VHULH GH VFKHPH FODVLFH GH SUREDELOLWDWH SULQWUH FDUH DPLQWLP schema bilei ntoarse (BernoullL VFKHPD ELOHL QHvQWRDUVH QHUHYHQLWH KLSHUJHRPHWULF 3RLVVRQ 3RLVVRQ GH SDUDPHWUX UHSDUWL LD QRUPDO UHSDUWL LD 2 6WXGHQW
2ELHFWLYHOH L FRPSHWHQ HOH XQLW LL GH vQY DUH 'XS SDUFXUJHUHD DFHVWHL XQLW L GH vQY DUH VWXGHQWXO YD IL FDSDELO V identifice ntrR VLWXD LH UHDO FDUH DQXPH GLQWUH VFKHPHOH FODVLFH GH SUREDELOLWDWH VWXGLDWH WUHEXLH DSOLFDW

&RQ LQXWXO XQLW LL GH vQY DUH 5HSDUWL LL SUREDELOLVWLFH FODVLFH 5HSDUWL LL GH WLS GLVFUHW Q PXOWH DSOLFD LL SUDFWLFH DOH WHRULHL SUREDELOLW LORU vQWkOQLP FD]XUL vQ FDUH XQ H[SHULPHQW VDX PDL PXOWH H[SHULPHQWH DQDORDJH VH UHSHW GH XQ QXP U GH RUL ILHFDUH din ele ducnd la rHDOL]DUHD VDX OD QHUHDOL]DUHD XQXL DQXPLW HYHQLPHQW &HHD FH LQWHUHVHD] HVWH QXP UXO GH UHDOL] UL DOH HYHQLPHQWXOXL vQWUR VHULH GH H[SHULPHQWH ([SHULPHQWHOH SRW IL HIHFWXDWH vQ DFHOHDL FRQGL LL VDX vQ FRQGL LL GLIHULWH 7HRUHPD SDUWLFXODU D H[SHULPHQWHORU UHSHWDWH 6H IDF Q H[SHULPHQWH independente, n fiecare din ele un eveniment A se poate realiza cu probabilitatea p L QX VH UHDOL]HD] FX SUREDELOLWDWHD T S 6 VH GHWHUPLQH SUREDELOLWDWHD FD vQ FHOH Q H[SHULPHQWH HYHQLPHQWXO $ V VH UHDOL]H]H H[DFW GH P RUL $YHP
m m nm Pm,n = Cn p q
3UREDELOLW LOH Pm,n DX IRUPD WHUPHQLORU GLQ GH]YROWDUHD ELQRPXOXL ( p + q )n 'LQ DFHDVW FDX] FkPSXO GH HYHQLPHQWH GLQ DFHDVW VFKHP SUREDELOL]DW GXS UHJXOD VH QXPHWH cmp binominal HVWH FODU F HYHQLPHQWHOH HOHPHQWDUH DOH cmpului asociat experimentului pot fi considerate ca elemente ale produsului FDUWH]LDQ n = ... $FHDVW VFKHP SUREDELOLVWLF D IRVW FHUFHWDW vQ PRG GHRVHELW GH - %HUQRXOOL GH DFHHD VH PDL QXPHWH L VFKHPD OXL %HUQRXOOL 7HRUHPD JHQHUDO D H[SHULPHQWHORU UHSHWDWH 3UHVXSXQHP F VH IDF Q experimente independente, n fiecare din ele un eveniment A se poate realiza cu SUREDELOLWDWHD pi i = 1, 2,..., n L QX VH UHDOL]HD] FX SUREDELOLWDWHD qi = 1 pi 6 VH GHWHUPLQH SUREDELOLWDWHD FD vQ FHOH Q H[SHULPHQWH HYHQLPHQWXO $ V VH SURGXF H[DFW GH P RUL &X QRWD LLOH I FXWH OD VFKHPD ELQRPLQDO UH]XOW
Pm, n = p1... pm qm +1...qn + p1... pm 1qm pm +1qm + 2 ...qn + q1...qn m pn m +1... pn
$YHP
( p z + q ) = P
i i i =1
m,n z
FX
m =0
m,n
= 1
n unele experimente practice se cere probabilitatea de realizare a HYHQLPHQWXOXL A GH FHO SX LQ m ori n cele n experimente. Notnd cu Cm DFHVW HYHQLPHQW DYHP Cm = Bm Bm +1 ... Bn XQGH Bm UHSUH]LQW HYHQLPHQWXO A VH UHDOL]HD] H[DFW GH m ori n cele n experimente 5H]XOW F P (Cm ) = Pm,n + Pm +1,n + ... + Pn ,n VDX
P (Cm ) =
n
k =m
k ,n
6FKHPD SUREDELOLVWLF GHVFULV VH QXPHWH VFKHPD OXL 3RLVVRQ

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pk =
k e k!
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pk = e
'HILQL LD 5HSDUWL LD GHWHUPLQDW SULQ SUREDELOLW LOH VH QXPHWH UHSDUWL LH 3RLVVRQ GH SDUDPHWUX LDU YDULDELOD DOHDWRDUH
0 e 1 1! e 2
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P ( A ) =

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n! s p1 1 p2 2 ... ps 1 ! 2 !... s !
k =1
= n $YHP
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x
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N m, 2
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xe 2
( x m )2
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dx
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f ( x) =
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v 22
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P=
P
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C (0,005) (0,995)
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2 PDLQ IDEULF XQ QXP U PDUH GH SLHVH GLQWUH FDUH XQHOH VXQW GHIHFWH 6H IDF REVHUYD LL SH N = 100 GH HDQWLRDQH D n = 40 SLHVH ILHFDUH DOHVH OD vQWkPSODUH 2E LQHP XUP WRDUH GLVWULEX LH D SLHVHORU GHIHFWH 1U SLHVH GHIHFWH xi 0 1 2 3 4 5 SHVWH 6 WRWDO 1U HDQWLRQ ni 28 40 21 7 3 1 0 100
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n x
i
i i
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0 1 2 3 4 5 6 7 SHVWH 8 7RWDO
0, 28 0, 40 0, 21 0,07 0,03 0,01 0 0
0 1
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0,3012 0,3614 0, 2169 0,0867 0,0260 0,0062 0,0012 0,0002 0,0002 1,0000

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k =1
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( )
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k =2
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C
k =2
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x1 x1 x2 x3 x4 x5
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13 13 13
x3
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x7
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20 15 15
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10 10 10
11 14
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9 9 9 9
13 13 13 13
(m ( ) ) (m ( ) ) (m ( ) ) (m ( ) )
1 i 2 i 3 i 4 i
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( )
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j =1, 7
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(2 ) m2 (2 ) m3 (2 ) m4 (2 ) m5 (2 ) m6 (2 ) m7
(3 )
min{ 0 + , + 2, + 6,11 + 9,19 + ,13 + ,0 + }= 20 = min v2 j + m(jk ) = min{ + , + 0, + 4,9 + 4,9 + 19,13 + , + 0}= 13 = min v3 j + m (jk ) =
j =1, 7
min{ + , + , + 0,9 + 1,19 + ,13 + 11,0 + }= 10 = min v 4 j + m (jk ) = min{ + , + , + ,9 + 0,19 + ,11 + 13, + 0}= 9 = min v5 j + m (jk ) = min{ + , + , + ,9 + 6,19 + 0,14 + 13,19 + 0}= 15 = min v6 j + m (jk ) = min{ + , + , + ,9 + 4,19 + ,13 + 0,13 + 0}= 13 = min v7 j + m (jk ) =
j =1, 7 j =1, 7 j =1, 7 j =1, 7
j =1, 7
3HQWUX OLQLD mi
min{ + , + , + ,9 + , + 19, + 13,0 + 0}= 0 YRP DYHD mi(3 ) = min{ vij + m (j2 )}
j =1, 7
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(3 ) m6 = min{ 20 + ,12 + ,10 + ,9 + 4,15 + ,13 + 0,0 + 13}= 13 (3 ) m7 = min{ 20 + ,12 + ,10 + ,9 + ,15 + ,13 + ,0 + 0}= 0
j =1, 7
m1 = min{ 20 + 0,13 + 2,10 + 6,9 + 11,15 + ,13 + ,0 + }= 15 (3 ) m2 = min{ 20 + ,12 + 0,10 + 4,9 + 4,9 + 15,13 + , + 0}= 13 (3 ) m3 = min{ 20 + ,12 + ,10 + 0,9 + 1,15 + ,13 + 11,0 + }= 10
(3 )
3HQWUX OLQLD mi(4 ) YRP DYHD mi(4 ) = min vij + m (j3 )
(4 ) m4 = min{ 15 + ,13 + ,10 + ,9 + 0,15 + ,13 + ,0 + 9}= 9 (4 ) m5 = min{ 15 + ,13 + ,10 + ,9 + 6,15 + 0,13 + 14,0 + 19}= 15
(4 ) m6 = min{ 15 + ,13 + ,10 + ,9 + 4,15 + ,13 + 0,0 + 13}= 13 (4 ) m7 = min{ 15 + ,13 + ,10 + ,9 + ,15 + ,13 + ,0 + 0}= 0
m1(4 ) = min{ 15 + 0,13 + 2,10 + 6,9 + 11,15 + ,13 + ,0 + }= 15 (4 ) m2 = min{ 15 + ,13 + 2,10 + 4,9 + 4,15 + 9,13 + , + 0}= 13 (4 ) m3 = min{ 15 + ,13 + ,10 + 0,9 + 1,15 + ,13 + 11, + 0}= 10
2EVHUY P F OLQLLOH mi(3 ) L mi(4 ) FRLQFLG LWHUD LLOH VH RSUHVF
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(x1 , x2 )
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x2
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21 23
16 9 0 0 0 0 0 0 0

34 35 36 37 37
x4 x5
x6
mi(1) mi mi mi mi
(2 ) (3 ) (4 ) (5 ) (6 )

23 25 26 26 26 26
11 8
0

16 17 17 17 17 17
9 9 9 9 9 9
21
29 31 32 32 32
mi

m1(2 ) = max{ + 0,5 + 21,8 + 23,18 + 16, + 9, + 0}= 34 (2 ) m 2 = max{ + ( ),0 + 21,6 + 23,10 + 16,12 + 9,21 + 0}= 29 (2 ) m3 = max{ + ( ),21 + ( ),0 + 23,9 + 16,11 + 9,23 + 0}= 25
(2 ) m4 = max{ + ( ), + 21,0 + 23,0 + 16,8 + 9,16 + 0}= 17 (2 ) m5 = max{ + ( ), + 21, + 23, + 16,0 + 9,0 + 9}= 9
(2 ) m6 = max{ + ( ), + 21, + 23, + 16, + 9,0 + 0}= 0
(3 ) m4 = max{ + 34, + 29, + 25,0 + 17,8 + 9,16 + 0}= 17 (3 ) m5 = max{ + 34, + 29, + 25, + 17,0 + 9,9 + 0}= 9
m1(3 ) = max{ 34 + 0,29 + 5,8 + 25,18 + 17, + 9, + 0}= 35 (3 ) m2 = max{ + 34,0 + 29,6 + 25,10 + 17,12 + 9,21 + 0}= 31 (3 ) m3 = max{ + 34, + 29,0 + 25,9 + 17,11 + 9,23 + 0}= 26
(3 ) m6 = max{ + 34, + 29, + 25, + 17, + 9,0 + 0}= 0
(4 ) m4 = max{ + 35, + 31, + 26,0 + 17,8 + 9,16 + 0}= 17 (4 ) m5 = max{ + 35, + 31, + 26, + 17,0 + 9,9 + 0}= 9
m1(4 ) = max{ 35 + 0,31 + 5,8 + 26,18 + 17, + 9, + 0}= 36 (4 ) m2 = max{ + 35,0 + 31,6 + 26,10 + 17,12 + 9,21 + 0}= 32 (4 ) m3 = max{ + 35, + 31,0 + 26,9 + 17,11 + 9,23 + 0}= 26
(4 ) m5 = max{ + 35, + 31, + 26, + 17,0 + 9,0 + 0}= 0
(5 ) m4 = max{ + 36, + 32, + 26,0 + 17,8 + 9,16 + 0}= 17 (5 ) m5 = max{ + 36, + 32, + 26, + 17,0 + 9,9 + 0}= 9
m1(5 ) = max{ 36 + 0,32 + 5,8 + 26,18 + 17, + 9, + 0}= 37 (5 ) m2 = max{ + 36,0 + 32,6 + 26,10 + 17,12 + 9,21 + 0}= 32 (5 ) m3 = max{ + 36, + 32,0 + 26,9 + 17,11 + 9,23 + 0}= 26
(6 ) m4 = max{ + 37, + 32, + 26,0 + 17,8 + 9,16 + 0}= 17 (6 ) m5 = max{ + 37, + 32, + 26, + 17,0 + 9,9 + 0}= 9
m1(6 ) = max{ 37 + 0,32 + 5,8 + 26,18 + 17, + 9, + 0}= 37 (6 ) m2 = max{ + 37,0 + 32,6 + 26,10 + 17,12 + 9,21 + 0}= 32 (6 ) m3 = max{ + 37, + 32,0 + 26,9 + 17,11 + 9,23 + 0}= 26
(5 ) m6 = max{ + 36, + 32, + 26, + 17, + 9,0 + 0}= 0
(6 ) m6 = max{ + 37, + 32, + 26, + 17, + 9,0 + 0}= 0
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DUFXO (x1 , x 2 )
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(x2 , x3 ) (x3 , x4 )
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t=
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t= S1t1 + ... + S n tn S1 + ... + S n
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t
p 100
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S1 = S 0 ( 1 + i)

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S 1i = S 0 ( 1 + i )i

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S2 = S0 ( 1 + i)
2
S t 1 = S 0 ( 1+ t)
t 1
S t 1i = S 0 ( 1 + i) i
t 1
St = S0 ( 1 + i)
'DF 1 + i = u YD IL XQ IDFWRU GH IUXFWLILFDUH J VLW vQ WDEHOH ILQDQFLDUH SHQWUX t = 1,2,3,... SHQWUX GLIHULWH SURFHQWH DWXQFL VXPD ILQDO YD IL t St = S0 ( 1 + i ) = S 0u t 'REkQGD FRPSXV YD IL SHQWUX W ntreg: t D = S0 ( 1 + i) 1 = S0 u t 1 6XPD LQL LDO GHSXV YD IL
S 0 = St
(1 + i )t
= St v t
XQGH
1 = v IDFWRU GH DFWXDOL]DUH 1+ i 7LPSXO VH SRDWH RE LQH GLQ SULQ LQWHUSRODUH

([HPSOH 'DF GXUDWD GH SODVDPHQW D VXPHL S 0 nu este, n generaO XQ
QXP U vQWUHJ FL HVWH GH IRUPD t = n +
DERUGDUHD SUREOHPHL 6ROX LD UD LRQDO SRUQHWH GH OD IRUPD SHQWUX SDUWHD vQWUHDJ GH Q DQL YDORDUHD ILQDO RE LQXW SHQWUX SODVDUHD VXPHL LQL LDO S 0 YD
k
h $YHP GRX VROX LL SHQWUX k
n IL S n = S 0 ( 1 + i ) $FHDVW VXP S n vQ WLPSXO IUDF LXQLL h D DQXOXL FX
GREkQG XQLWDU L YD DGXFH R DERUGDUH VLPSO S n i
h $VWIHO VH RE LQH k
h n 1 + i ) 1 + i = S0 ( k reprezentnd VROX LD UD LRQDO GH FDOFXO D VXPHL ILQDOH cnd se h vQ UHJLP GH GREkQG SODVHD] R VXP S 0 SH R GXUDW t = n + k FRPSXV St = S
h n+ k

6ROX LD FRPHUFLDO
SHQWUX VXPD S 0 SODVDW

h n+ k
SH R SHULRDG
h t HVWH S t = S 0 ( 1 + i) = S0 ( 1 + i) k 2EVHUYD LL &HOH GRX VROX LL QX VXQW LGHQWLFH 6ROX LD FRPHUFLDO HVWH PDL GHV XWLOL]DW GHRDUHFH IDFWRUXO IUXFWLILFDUH 1 + i = u este n tabele financiare att pentru puteri ntregi, FkW L IUDF LRQDUH 9DORULOH ILQDOH DOH XQHL VXPH S 0 GHSXV vQ UHJLP GH GREkQG VLPSO VDX vQ UHJLP GH GREkQG FRPSXV GLIHU vQ IXQF LH GH GXUDW W t = n+
3URFHQWH SURSRU LRQDOH 'HILQL LD 6SXQHP F GRX SURFHQWH p1 L p2 FRUHVSXQ] WRDUH t p SHULRDGHORU GLIHULWH t1 L t2 VXQW SURSRU LRQDOH GDF 1 = 1 t2 p2 ([HPSOX )LH ia GREkQGD XQLWDU DQXDO L is GREkQGD XQLWDU VHPHVWULDO i i $WXQFL ia L is SURSRU LRQDOH GDF s = a 1 2 2EVHUYD LH XP SODVDW vQ UHJLP GH GREkQG FRPSXV FX GREkQGD DQXDO ia GHYLQH GXS XQ DQ (1 + ia ) XP XP SODVDW vQ UHJLP GH GREkQG VLPSO FX GREkQGD VHPHVWULDO is GHYLQH GXS XQ DQ (1 + 2is )u.m. = (1 + ia )u.m. XP SODVDW vQ UHJLP GH GREkQG FRPSXV FX GREkQGD VHPHVWULDO is GHYLQH GXS XQ DQ
(1 + is )2 = 1 +
2 ia ia = 1 + i + > 1 + ia a 2 4
3URFHQWH HFKLYDOHQWH 'HILQL LD 6SXQHP F p1 L p2 FRUHVSXQ] WRDUH SHULRDGHORU GLIHULWH t1 L t2 VXQW SURFHQWH HFKLYDOHQWH vQ UHJLP GH GREkQG FRPSXV GDF FRQGXF OD DFHHDL YDORDUH ILQDO p1 p ; i2 = 2 (1 + i1 )t1 = (1 + i2 )t2 i1 = 100 100 'DF vPS U LP DQXO vQ N S U L HJDOH L SHQWUX ILHFDUH IUDF LXQH GH j j an se ia dobnGD DWXQFL GREkQGD XQLWDU HVWH HFKLYDOHQW FX k k GREkQGD DQXDO XQLWDU L GDF
j 1 + i = 1 + k XQGH M VH QXPHWH SURFHQW QRPLQDO ( reprezentnd suma dobnzilor percepute n cele N IUDF LXQL GH DQ
k

9RP J VL DVWIHO UHOD LD GLQWUH SURFHQWXO HIHFWLY L SURFHQWXO QRPLQDO

j i = 1 + 1 k vQ UHOD LD DQWHULRDU IDFHP k RE LQHP 1 + i = e j VDX
k
'DF j = ln (1 + i )
2EVHUYD LL 'DF vQ UHOD LD 1 + i = e j L este dat n fiecare interval de timp (t , t + dt ) WUHEXLH V SHUFHSHP R GREkQG = ln (1 + i ) SHQWUX D DMXQJH vQ WLPSXO XQXL DQ OD GREkQGD HIHFWLY VH QXPHWH SURFHQW QRPLQDO LQVWDQWDQHX = ln (1 + i ) i = e 1 'H]YROW P e vQ VHULH 0DF/DXULQ L RE LQHP 2 n i = + + ... + + ... > i > 2 n
ndrumar pentru verificare/autoverificarH 6XPD GH XP VH SODVHD] WLPS GH ]LOH FX SURFHQWXO DQXDO GH &DUH YD IL VXPD ILQDO FRUHVSXQ] WRDUH DFHVWHL RSHUD LXQL " vQ UHJLP GH GREkQG VLPSO DQ GH ]LOH D XP E XPF XP G XP 5 VSXQV FRUHFW F 5H]ROYDUH D=S0it UHJLP GH GREkQG VLPSO 6 XP p = 8% i = 0,08 W ]LOH
D = 20.000 8 45 D = 200 XP 100 360 Sf =S0 +D Sf =S0 +S0it
Sf =S0 (1+it )
Sf =20.200 XP 5 VSXQV FRUHFW F
45 DQL 360
Ce devine suma de 20.000 u.m. n regim de GREkQG FRPSXV SH R SHULRDG GH DQL FX SURFHQWHOH DQXDOH GH " D XP E XPF XP GXP 5 VSXQV FRUHFW F

5H]ROYDUH Sf =S0 (1 + i1 )(1 + i2 )(1 + i3 )(1 + i4 )

p1 =6% i1 =0,06 p2 =7% i2 =0,07 p3 = 8% i3 = 0,08 p4 = 9% i4 = 0,09 Sf =20.000 1,06 1,07 1,08 1,09 Sf =20.000 1,06 1,07 1,08 1,09 =
= 20.000 1,3352 Sf =26.704 XP 5 VSXQV FRUHFW F
7HVWH GH HYDOXDUHDXWRHYDOXDUH 3DUWHQHUXO 3 XUPHD] V HIHFWXH]H F WUH SDUWHQHUXO 3 SO LOH XUP WRDUH XP XP XP FX SURFHQWHOH DQXDOH GH DYkQG VFDGHQ D GXUDWD GH ]LOH OXQL UHVSHFWLY XQ VHPHVWUX $IOD L VFDGHQ D PHGLH vQORFXLWRDUH vQ FRQGL LL GH HFKLYDOHQ vQ UHJLP GH GREkQG VLPSO SULQ GREkQG D OXQL E XQ VHPHVWUXF ]LOH G ]LOH &H VXP WUHEXLH GHSXV DVW ]L vQ UHJLP GH GREkQG FRPSXV SHQWUX FD SHVWH DQL FX SURFHQWXO DQXDO GH V VH SRDW ULGLFD XP " S0 = 6 VH FDOFXOH]H YDORDUHD ILQDO D VXPHL GH XQLW L PRQHWDUH SODVDWH WLPS GH DQL L OXQL FX SURFHQW DQXDO XWLOL]D L VROX LD UD LRQDO D S 5 = 15082,35 XP E S 5 = 23082,35 XP F S 5 = 65083, 75 XP
8+ 12 5 12 8+ 12 8+ 12
G S
8+
= 13508,85 XP

6 VH FDOFXOH]H YDORDUHD ILQDO D VXPHL GH XQLW L PRQHWDUH SODVDWH WLPS GH DQL L OXQL FX SURFHQW DQXDO XWLOL]D L VROX LD FRPHUFLDO D S 5 = 12077, 77 XP E S 5 = 15077,97 XP F S 5 = 18077,97 XP G S 5 = 25077,37 XP
8+ 12 8+ 12 8+ 12 8+ 12
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K = S0 (1 + i ) , un an
. YDORDUHD QRPLQDO D SROL HL 6 SUH GH FXPS UDUH L dobQGD XQLWDU DQXDO 'DF OD XQ PRPHQW GDW 1 < DGLF OD t = 1 SkQ OD VFDGHQ SROL D SRDWH IL YkQGXW XQHL E QFL FRPHUFLDOH DWXQFL SROL D YD DYHD R YDORDUH ILQDO VDX FXUV K1 = S0 (1 + i1 ), un an VDX
K1 = S0 (1 + i ) 1 , 1 un an
XQGH
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6FRQWXO VLPSOX UD LRQDO QRWDW 665 YD IL GREkQGD GDW GH .D SH SHULRDGD W FX GREkQGD XQLWDU M SSR = K a jt $VWIHO RE LQHP FX XXULQ XUP WRDUHOH UHOD LL K a = K L K = K a (1 + jt ) 1 + jt LDU q K t Kjt 100 VDX SSR = SSR = q 1 + jt 1+ t 100 XQGH q = 100 j SURFHQW GH VFRQW SURFHQWXO GH VFRQW SRDWH IL HJDO VDX GLIHULW GH SURFHQWXO GH HPLVLXQH DO SROL HL S L M GREkQGD XQLWDU GH VFRQW W GXUDWD VFRQW ULL P VXUDW vQ DQL Q SUDFWLF MW HVWH PLF L VH QHJOLMHD] DVWIHO MW LDU UHOD LD GHYLQH SS = Kjt 2ULFH VFRQW FH DSUR[LPHD] VFRQWXO UD LRQDO VH QXPHWH VFRQW FRPHUFLDO 6FRQWXO VLPSOX FRPHUFLDO QRWDW 66& YD IL GREkQGD GDW GH YDORDUHD QRPLQDO . SH SHULRDGD W FX GREkQGD XQLWDU M SSC = Kjt L K a = K (1 jt ) LDU a K= K 1 jt 2EVHUYD LL SSR < SSC DGLF XWLOL]DUHD VFRQWXOXL VLPSOX UD LRQDO FRQYLQH GH LQ WRUXOXL SROL HL LDU XWLOL]DUHD VFRQWXOXL VLPSOX FRPHUFLDO FRQYLQH E QFLL 6FRQWXO VLPSOX FRPHUFLDO QX VH DSOLF SH SHULRDGH PDUL 'LQ L RE LQHP SSC = SSR (1 + jt ) VDX SSR = SSC 1 + jt 6FRQWXO FRPSXV este cel n care calculelele se fac n regim de GREkQG FRPSXV 'DF GREkQGD VH DSOLF DVXSUD YDORULL .D FX GREkQGD XQLWDU M SH SHULRDGD W vQ UHJLP GH GREkQG FRPSXV VH RE LQH VFRQWXO FRPSXV UD LRQDO 6&5 2ULFH VFRQW FH DSUR[LPHD] VFRQWXO FRPSXV UD LRQDO VH QXPHWH VFRQW FRPSXV FRPHUFLDO 6&&

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d =1 v

(16)
K = K a (1 + j ) L DSOLFkQG GHILQL LD VFRQWXOXL FRPSXV UD LRQDO RE LQHP VFRQWXO FRPSXV UD LRQDO t SCR = K a (1 + j ) 1 VDX t t SCR = K 1 (1 + j ) = K 1 v 'LQ J VLP Ka = K t (1 + j ) WLLQG F t (t 1) (1 + j )t = 1 + jt + j 2 2 + ... L YRP QHJOLMD WHUPHQLL GH JUDG PDL PDUH VDX HJDO FX GRL vQ LSRWH]D F GREkQGD XQLWDU M HVWH vQ JHQHUDO PLF SH SLD D ILQDQFLDU YRP avea n (19): Kjt SCR = K 1 1 = 1 + jt 1 + jt L FXP RULFH VFRQW FH DSUR[LPHD] VFRQWXO FRPSXV UD LRQDO VH QXPHWH VFRQW FRPSXV FRPHUFLDO 6&& DWXQFL GLQ J VLP F VFRQWXO FRPSXV FRPHUFLDO HVWH SCC = K a jt XQGH Ka = K 1 + jt L K = K a (1 + jt )
t
XQGH v = 1 IDFWRU GH DFWXDOL]DUH VDX IDFWRU GH VFRQW 1+ j Q UHJLP GH GREkQG FRPSXV YRP DYHD
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t t t
'DF W DQ DWXQFL (1 + j ) = 1 + jt SCR = SCC 'DF W! DQ DWXQFL (1 + j ) > 1 + jt SCR > SCC

ndrumar pentru verificare/autoverificare /D GDWD GH D IRVW FXPS UDW R SROL vQ YDORDUH GH XP DYkQG VFDGHQ D OXQL PDL WkU]LX FX SURFHQWXO DQXDO GH 'LQ GLYHUVH PRWLYH SRVHVRUXO SROL HL R SUH]LQW OD VFRQWDUH FX OXQL vQDLQWH GH VFDGHQ 6H FHUH YDORDUHD QRPLQDO D SROL HL OD VFDGHQ K = 5H]ROYDUH 6 XP p = 10% i = 0,1 = 10 luni= 10 12 1 = 7 luni= 7 12 3 1 t= = 12 4 D K = S0 (1 + i )
K = 120.000 1 + 0,110 = 130.000 XP 12
/D GDWD GH D IRVW FXPS UDW R SROL vQ YDORDUH GH XP DYkQG VFDGHQ D OXQL PDL WkU]LX FX SURFHQWXO DQXDO GH 'LQ GLYHUVH PRWLYH SRVHVRUXO SROL HL R SUH]LQW OD VFRQWDUH FX OXQL vQDLQWH GH VFDGHQ 6H FHUH YDORDUHD ILQDO D SROL HL OD PRPHQWXO VFRQW ULL K1 = 5H]ROYDUH K1 = S0 (1 + i1 )
K1 = 120.000 1 + 0,1 7 = 127.000 XP 12
/D GDWD GH D IRVW FXPS UDW R SROL vQ YDORDUH GH XP DYkQG VFDGHQ D 10 luni mai trziu, cu procentul anual de 10%. Din diverse motive posesorul poOL HL R SUH]LQW OD VFRQWDUH FX OXQL vQDLQWH GH VFDGHQ 6H FHUH YDORDUHD VFRQWDW D SROL HL DSOLFkQG VFRQWXO VLPSOX UD LRQDO FX SURFHQWXO T K a = ... 5H]ROYDUH Q FD]XO VFRQWXOXL VLPSOX UD LRQDO K a = K q1 = 8% j1 = 0,08 1 + jt K a = 130.000 = 127.450 XP 1 + 0,08 1 4 /D GDWD GH D IRVW FXPS UDW R SROL vQ YDORDUH GH XP DYkQG VFDGHQ D 10 luni mai trziu, cu procentul anual de 10%. Din diverse motive, posesorul poOL HL R SUH]LQW OD VFRQWDUH FX OXQL vQDLQWH GH VFDGHQ 6H FHUH YDORDUHD VFRQWDW D SROL HL DSOLFkQG VFRQWXO VLPSOX UD LRQDO FX SURFHQWXO T K a = ...

5H]ROYDUH Q FD]XO VFRQWXOXL VLPSOX UD LRQDO Ka = K 1 + jt q2 = 10% j2 = 0,1 K a = 130.000 = 126.830 XP 1 + 0,1 1 4 /D GDWD GH D IRVW FXPS UDW R SROL vQ YDORDUH GH XP DYkQG VFDGHQ D OXQL PDL WkU]LX FX SURFHQWXO DQXDO GH 'LQ GLYHUVH PRWLYH SRVHVRUXO SROL HL R SUH]LQW OD VFRQWDUH FX OXQL vQDLQWH GH VFDGHQ 6H FHUH YDORDUHD VFRQWDW D SROL HL VFRQWXO VLPSOX FRPHUFLDO FX SURFHQWXO T K a = ... 5H]ROYDUH n cazul scontului simplu comercial K a = K (1 jt )
q1 = 8% j1 = 0,08
K a = 130.000 1 0,08 1 = 127.400 XP 4
7HVWH GH HYDOXDUHDXWRHYDOXDUH /D GDWD GH D IRVW FXPS UDW R SROL vQ YDORDUH GH XP DYkQG VFDGHQ D 10 luni mai trziu, cu procentul anual de 10%. Din diverse motive, posesoUXO SROL HL R SUH]LQW OD VFRQWDUH FX OXQL vQDLQWH GH VFDGHQ 6H FHUH YDORDUHD VFRQWDW D SROL HL VFRQWXO VLPSOX FRPHUFLDO FX SURFHQWXO T K a = ...

2 SROL DUH YDORDUHD GH HPLVLH GH XP L HVWH VFDGHQW SHVWH DQL FX SURFHQWXO GH 'DF VFRQWDUHD VH IDFH FX SURFHQWXO T=8% n regim de scont compus, se cere: 9DORDUHD QRPLQDO K = 2 SROL DUH YDORDUHD GH HPLVLH GH XP L HVWH VFDGHQW SHVWH DQL FX SURFHQWXO GH 'DF VFRQWDUHD VH IDFH FX SURFHQWXO T=8%, n regim de scont compus, se cere:ct va primi EHQHILFLDUXO FX GRL DQL vQDLQWH GH VFDGHQ " 8WLOL]D L VFRQWXO FRPSXV UD LRQDO
K a = ...
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S P YDORDUHD ILQDO D n AP YDORDUHD DFWXDO n
127$ ,, XQXL LU GH Q DQXLW L SRVWLFLSDWH D XQXL LU GH Q DQXLW L SRVWLFLSDWH
T1 , T2 ,...Tn DQXLW LOH i1 , i2 ,...in GREkQ]LOH XQLWDUH SH ILHFDUH SHULRDG
$QXLW LOH VXQW LPHGLDWH GDF SULPD SODW VH IDFH vQ SULPXO DQ L VXQW amnate GDF SODWD VH IDFH GXS XQ QXP U GH DQL U D DQXLW L YDULDELOH L GREkQ]L YDULDELOH P S = T1 (1 + i2 )(1 + i3 )...(1 + in ) + T2 (1 + i3 )(1 + i4 )...(1 + in ) + ... + n + Tn 1 (1 + in ) + Tn
Sn =S0 (1+i ) S0 = Sn (1+i ) DWXQFL YRP J VL
n
5HDPLQWLP F
-n
AP = T1 (1 + i1 ) + T2 (1 + i2 )
n
(1 + i1 )1 + Tn (1 + in )1 (1 + in1 )1 ...(1 + i1 )1
n2

E DQXLW L YDULDELOH L GREkQ]L FRQVWDQWH

S P = T1 (1 + i )
n n 1
+ T2 (1 + i )
+ ...... + Tn 1 (1 + i ) + Tn

LDU
AP = T1 (1 + i ) + T2 (1 + i ) + ... + Tn (1 + i )
n

F DQXLW L FRQVWDQWH L GREkQ]L YDULDELOH S P = T (1 + i2 )(1 + i3 )...(1 + in ) + T (1 + i3 )(1 + i4 )...(1 + in ) + ... +

n
+ T (1 + in ) + T
1 1
LDU
AP = T1 (1 + i1 ) + T2 (1 + i2 )
n
(1+ i1 )1 + Tn (1+ in )1 (1+ in1 )1 ...(1+ i1 )1

n2

G DQXLW L FRQVWDQWH L GREkQ]L FRQVWDQWH

S P = T (1 + i )
n n 1
+ T (1 + i )
=T
+ ... + T (1 + i ) + T
&DOFXOkQG YRP RE LQH

SP n
(1 + i )n 1
i
2

n
LDU
AP = T (1 + i ) + T (1 + i ) + ... + T (1 + i )
n

&DOFXOkQG YRP RE LQH

AP = T
n
1 (1 + i ) i
2EVHUYD LL 'DF 7 XP J VLP

sn =
(1 + i )n 1
i YDORDUHD ILQDO D XQXL LU GH DQXLW L SRVWLFLSDWH XQLWDUH 'DF QXP UXO GH SO L HVWH QHOLPLWDW n YDORDUHD DFWXDO YD IL n AP = lim T 1 v = T i i n

ndrumar pentru verificare/autoverificare 'DF DQL FRQVHFXWLY OD ILHFDUH VIkULW GH DQ VH SODVHD] VXPHOH GH XP XP XP FX SURFHQWHOH DQXDOH GH &DUH HVWH YDORDUHD ILQDO D IRQGXOXL DFXPXODW" D XP E XPF XP G XP 5 VSXQV FRUHFW F 5H]ROYDUH S P = 2000 (1 + 0,08 )(1 + 0,1) + 5000 (1 + 0,1) + 7000 = 14.876 XP
3
'DF DQL FRQVHFXWLY OD ILHFDUH VIkULW GH DQ VH SODVHD] VXPHOH GH XP XP XP FX SURFHQWHOH DQXDOH GH &DUH HVWH YDORDUHD DFWXDO D IRQGXOXL DFXPXODW" D XP E XP F XP G XP 5 VSXQV FRUHFW E

5H]ROYDUH 9DORDUHD DFWXDO 7000 AP = 2000 + 5000 + = 11702,694 3 1,07 1,07 1,08 1,07 1,08 1,1 6H SODVHD] WLPS GH DQL OD VIkULWXO ILHF UXL DQ VXPD GH XP vQ UHJLP GH GH GREkQG FRPSXV FX SURFHQWXO DQXDO GH &DUH HVWH YDORDUHD ILQDO UHVSHFWLY YDORDUHD DFWXDO D DFHVWHL RSHUD LXQL" S P = AP =
10
10
10
S P = 200.000 AP = 200.000
10
1,110 1 = 3.187.484,6 XP 0,1 1 1,110 = 1228913, 4 XP 0,1
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'DF DQL FRQVHFXWLY OD ILHFDUH VIkULW GH DQ VH SODVHD] VXPD GH XP FX SURFHQWHOH DQXDOH GH &DUH HVWH YDORDUHD DFWXDO D IRQGXOXL DFXPXODW" D XP E XP F XP G XP 6WDELOL L GDF YDORDUHD ILQDO D XQXL LU GH DQXLW L SRVWLFLSDWH WHPSRUDUH LPHGLDWH FX DQXLW L YDULDELOH L GREkQ]L YDULDELOH HVWH D Snp
=
Tk i j + Tn E
k =1 j = k +1
n 1
Snp
Tk i j + Tn F
k =1 j = k +1
Snp
Tk i j + Tn
k =1 j = k +1
n 1
n 1
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=
Tk (1 + i )
k =1
nk
E
Snp
Tk (1 + i )
k =1
n 1
nk
F
Snp
Tk 1 (1 + i )
k =1
nk
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n
'REkQG d 1 = V0 i
d p = V p 1i d n = Vn 1i
$QXLW L T1 = Q1 + d1 Tp = Q p + d p
Tn = Qn + d n
Q1 Qp
Qn
6XPD U PDV GH SODW V0

V1 = V0 Q1
V p = V p 1 Q p
Vn = Vn 1 Qn = 0
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PSUXPXWXUL FX DQXLW L UDWH FRQVWDQWH SO WLELOH OD VIkULWXO DQXOXL SRVWLFLSDW &RQVLGHU P Ti = T RULFH i = 1,..., n $WXQFL GLQ DYHP
Q p +1 = ( 1 + i )Q p
L RE LQHP
V0 = Q1 (1 + i ) n 1 i
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n
$PRUWLVPHQWHOH Dobnzi

Q1
$QXLW L
T1 = Q1 + V1i
T2 = Q2 + V2 i
d 0 = V0 i
d1 = V1i
6XPD U PDV GH SODW OD VIkULWXO DQXOXL V0 V0 i

V1 = V0 Q1
V2 = V1 Q2
V p = V p 1 Q p
Q2
Qp
d 2 = V2 i
d p = Vpi
TP = Q p + V p i
Qn
d n = Vn i
Tn = Qn + Vn i
Vn = Vn 1 Qn = 0
'DF Vn = 0 DWXQFL Tn = Qn 'LIHUHQ D D GRX DQXLW L VXFFHVLYH HVWH T p +1 T p = Q p +1 (1 i ) Q p 'DF DQXLW LOH VXQW FRQVWDQWH DGLF Ti = T i = 1,..., n DWXQFL Q1 , rezultnd Q p +1 (1 i ) Q p = 0 L DVWIHO Q p +1 = (1 i ) p
Q1 = V0 i (1 i ) n (1 i )[1 (1 i ) n ]
mprumuturi cu amortismente egale 'DF Qi = Q i = 1,..., n GLQ UH]XOW Q = OXFUX vQ RE LQHP T p +1 = T p -
V0 )RORVLQG DFHVW n
V0 i = T p Qi n Tabloul de amortizare a unui mprumut cu amortismente egale este VLPLODU FHOXL SHQWUX DPRUWL]DUHD XQXL vPSUXPXW SULQ DQXLW L FRQVWDQWH SRVWLFLSDWH

ndrumar pentru verificare/autoverificare 8Q vPSUXPXW GH XP XUPHD] D IL UDPEXUVDW vQ DQL SULQ UDWH DQXLW L FRQVWDQWH SRVWLFLSDWH FX SURFHQWXO DQXDO GH &DUH HVWH SULPXO DPRUWLVPHQW"
Q1 = ...
5H]ROYDUH d1 = V0 i = 10000 0,05 = 500 3ULPXO DPRUWLVPHQW Q1 = V0
VDX Q1 = T d1 = 2320,12 8Q vPSUXPXW GH XP XUPHD] D IL UDPEXUVDW vQ DQL SULQ UDWH DQXLW L FRQVWDQWH SRVWLFLSDWH FX SURFHQWXO DQXDO GH &DUH HVWH DQXLWDWHD FRUHVSXQ] WRDUH"
(1 + i )n 1
= 2320,12
T = ...
5H]ROYDUH d1 = V0 i = 10000 0,05 = 500 3ULPXO DPRUWLVPHQW Q1 = V0
T = Q1 + d1 = 2820,12
(1 + i )n 1
= 2320,12
2 SHUVRDQ D vPSUXPXWDW VXPD GH XP SH FDUH XUPHD] V R UDPEXUVH]H vQ DQL FX SURFHQWXO GH SULQ DQXLW L SRVWLFLSDWH FX DPRUWLVPHQWH HJDOH &DUH HVWH DQXLWDWHD GLQ FHO GH DO GRLOHD DQ "
T2 = ...
5H]ROYDUH 'LQ V0 = 25000 L Q UH]XOW Q = )RORVLP UHOD LD T p +1 = T p -
V0 25.000 = = 6250 n 4
V0 i = T p Qi RE LQHP T2 = 7125 n

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Q3 = ...
Un mprumut de 40.000 u.m. este rambursabil n cinci aQL SULQ DQXLW L FRQVWDQWH FX GREkQG SO WLELO OD vQFHSXWXO DQXOXL FX SURFHQW GH &DUH HVWH SULPXO DPRUWLVPHQW "
Q1 = ...
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Q = ...
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V2 = ...

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Pk
k =1
$6,*85 5, '( 9,$

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q ( x, y ) SUREDELOLWDWHD FD R SHUVRDQ vQ YkUVW GH [ DQL V QX PDL ILH vQ YLD OD \ DQL $YHP px + qx = 1

p ( x, y ) + q ( x, y ) = 1 )LH ] R YkUVW LQWHUPHGLDU vQWUH [ L \ DWXQFL p ( x , y ) = p ( x, z ) p ( z , y )

)XQF LD GH VXSUDYLH XLUH

)LH R SRSXOD LH IRUPDW GLQ LQGLYL]L vQ YkUVW GH D DQL 1XPLP IXQF LH GH VXSUDYLH XLUH QXP UXO PHGLX GH SHUVRDQH GLQ DFHD FROHFWLYLWDWH FH DMXQJ V vPSOLQHDVF [ DQL $YkQG vQ YHGHUH F SHUVRDQHOH WU LHVF vQ DFHOHDL FRQGL LL DX DFHOHDL DQVH V vPSOLQHDVF DFHLDL DQL YRP XWLOL]D R YDULDELO DOHDWRDUH ELQRPLDO
x X : x x n x x {0,1,..., n} p + q = 1 p = p (a, x ) Cn p q
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p ( x, y ) = ly lx
lx l y q ( x, y ) = lx
L VLPLODU
px = p ( x, x + 1) = qx = q ( x, x + 1) =
l x +1 lx
l x l x +1 d x = lx lx
d x = l x l x +1 UHSUH]LQW QXP UXO PHGLX GH SHUVRDQH GLQ FROHFWLYLWDWHD UHVSHFWLY FDUH PRDUH vQWUH [ L [ DQL 1RW P n p x = p ( x, x + n ) SUREDELOLWDWHD FD R SHUVRDQ vQ YkUVW GH [ DQL V PDL WU LDVF Q DQL

XQGH
= q ( x, x + n ) SUREDELOLWDWHD FD R SHUVRDQ vQ YkUVW GH [ DQL V QX PDL WU LDVF Q DQL m / n q x = q ( x + m, x + n ) SUREDELOLWDWHD FD R SHUVRDQ vQ YkUVW GH [ DQL V GHFHGH]H vQWUH [P L [Q DQL L J VLP lx+ n n px = lx
n qx
n qx m / n qx
= =
lx lx + n lx lx + m lx + n lx
9LD D PHGLH
9DORDUHD PHGLH D QXP UXOXL GH DQL SH FDUH DUH V L PDL WU LDVF R SHUVRDQ vQ YkUVW GH [ DQL VH QXPHWH YLD D PHGLH H[ &RQVLGHU P YDULDELOD DOHDWRDUH XUP WRDUH 1/ 2 1 + 1/ 2 ... n + 1/ 2 X : ex = M ( X ) qx 1/ 2 qx ... n / n +1 qx XQGH
ex = 1 + 2
x n =1
lx + n
lx

$VLJXUDUHD XQHL VXPH vQ FD] GH VXSUDYLH XLUH la mplinirea termHQXOXL GH DVLJXUDUH 2 SHUVRDQ vQ YkUVW GH [ DQL FRQWUDFWHD] R DVLJXUDUH vQ YDORDUH GH XP FDUH L VH YD SO WL GDF HVWH vQ YLD SHVWH Q DQL 3ULPD QHW n E x HVWH YDORDUHD PHGLH D YDULDELOHL DOHDWRDUH XUP WRDUH
vn X : n px Q XQGH Y IDFWRU GH DFWXDOL]DUH
n Ex
0 n qx
lx + n lx

= M ( X ) = v n n px = v n
XQGH n E x IDFWRU GH DFWXDOL]DUH YLDJHU 1RW P Dx = v x l x QXP U GH FRPXWD LH FH VH J VHWH vQ WDEHOH actuariale pentru toate vrstele L SURFHQWHOH X]XDOH DWXQFL Dx + n n Ex = Dx 'DF VXPD DVLJXUDW HVWH 6 SULPD QHW YD IL D P = Sn Ex = S x + n Dx

ndrumar pentru verificare/autoverificare &DUH HVWH SULPD QHW SH FDUH R SHUVRDQ vQ YkUVW GH DQL WUHEXLH V R SO WHDVF vQ PRPHQWXO VHPQ ULL FRQWUDFWXOXL GH DVLJXUDUH SHQWUX D vQFDVD vQ FD] GH VXSUDYLH XLUH OD vPSOLQLUHD YkUVWHL GH DQL VXPD GH XP" D40 = 12055, D55 = 5802,3 3 5H]ROYDUH 'LQ P = S
Dx + n RE LQHP Dx D55 5.802,3 = 10.000.000 = 4813189 D40 12.055
P = 10.000.000
x 0 < x < DWXQFL x t x t x+t E t p x = F t p x = G DOW U VSXQV D t p x = x +x x
WLLQG F l ( x ) = 1
5 VSXQV FRUHFW D
5H]ROYDUH
t
l (x + t ) x L l ( x ) = 1 DWXQFL px = l (x )
x+t = x t px = x x 1 1

7HVWH GH HYDOXDUHDXWRHYDOXDUH &DUH HVWH SUREDELOLWDWHD FD R SHUVRDQ vQ YkUVW GH DQL V ILH vQ YLD SHVWH DQL " l40 = 84855, l55 = 77603 15 p40 =
x 0 < x < DWXQFL x t D t qx = E t qx = F t qx = G DOW U VSXQV x +x x
WLLQG F l ( x ) = 1
$YHP UHOD LD qx = q ( x, x + 1) =
l x + l x +1 d x = lx lx
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x
D Dx = u x l x E Dx = v x l x F Dx = (v + 1) l x G DOW U VSXQV
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$QXLW L YLDJHUH DQWLFLSDWH 1RW P D[ SULPD XQLF FH WUHEXLH SO WLW GH R SHUVRDQ vQ YkUVW GH [ DQL vQ PRPHQWXO VHPQ ULL FRQWUDFWXOXL DVWIHO vQFkW V SULPHDVF cte 1 u.m (6 XP WRW UHVWXO YLH LL OD vQFHSXWXO ILHF UXL DQ N ax = x Dx 2EVHUY P F a x = 1 + ax 'DF VXPD DVLJXUDW HVWH 6 XP SULPD QHW XQLF YD IL P=Sa x $QXLW L YLDJHUH OLPLWDWH OD Q DQL L DQXLW L YLDJHUH DPkQDWH 1RWD LL / n ax SULPD QHW XQLF SH FDUH WHEXLH V R SO WHDVF DVLJXUDWXO vQ PRPHQWXO VHPQ ULL FRQWUDFWXOXL SHQWUX D SULPL XP OD VIkULWXO ILHF UXL DQ WLPS GH Q DQL OLPLWDW / n a x SULPD QHW XQLF SH FDUH WHEXLH V R SO WHDVF DVLJX UDWXO vQ PRPHQWXO VHPQ ULL FRQWUDFWXOXL SHQWUX D SULPL XP OD vQFHSXWXO ILHF UXL DQ WLPS GH Q DQL OLPLWDW n / ax SULPD QHW XQLF SH FDUH WHEXLH V R SO WHDVF asiguratul Q PRPHQWXO VHPQ ULL FRQWUDFWXOXL SHQWUX D SULPL XP OD VIkULWXO ILHF UXL DQ GXS Q DQL WRW UHVWXO YLH LL DPkQDW n / a x SULPD QHW XQLF SH FDUH WHEXLH V R SO WHDVF DVLJXUDWXO vQ PRPHQWXO VHPQ ULL FRQWUDFWXOXL SHQWUX D SULPL XP GXS Q DQL OD vQFHSXWXO ILHF UXL DQ WRW UHVWXO YLH LL DPkQDW

$YHP F L 2E LQHP
ax = / n ax + n / ax a x =/ n a x +n / a x
/ n ax

N x +1 N x + n +1 Dx = N x + n +1 Dx
LDU
n / ax
6LPLODU
/nax
N x N x+n Dx = N x+n Dx
L
n/ ax
'DF VXPD DVLJXUDW HVWH GH 6 XP DWXQFL SULPHOH QHWH XQLFH YRU IL 6 / n ax 6 / n a x 6 n / ax UHVSHFWLY 6 n / a x
ndrumar pentru verificare/autoverificare 3ULPD XQLF FH WUHEXLH SO WLW GH R SHUVRDQ vQ YkUVW GH [ DQL DVWIHO vQFkW V VIkULWXO ILHF UXL DQ FkWH XP WRDW YLD D YD IL N N D D ax = x +1 E ax = x F ax = x +1 G DOW U VSXQV Dx Dx Nx 5 VSXQV FRUHFW D 9H]L UHOD LD SULPHDVF OD
&DUH HVWH SULPD QHW XQLF SH FDUH WUHEXLH V R SULPHDVF R SHUVRDQ vQ YkUVW GH GH DQL FDUH SULPHWH R SHQVLH YLDJHU DQXDO GH XP DQWLFLSDW FX SURFHQW GH " 6H FXQRDWH F N 60 = 808530,71 L D60 = 69382,81 N D D P=Sa x S x = 69918,6 E P=Sa x S x = 514 F DOW U VSXQV Dx Nx

5 VSXQV FRUHFW D 9H]L UHOD LD
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Rt =
/ t D0 / t D0 t E0
IL
YD IL
XQGH DP QRWDW / t D0 VXPHOH SH FDUH DU IL SXWXW V OH SO WHDVF LQVWLWX LD GH DVLJXUDUH SkQ OD PRPHQWXO W / t D0 VXPHOH SH FDUH DU IL SXWXW V OH SO WHDVF DVLJXUDWXO SkQ OD PRPHQWXO W 6H DUDW FX XXULQ F (1) (2 ) ([SUHVLD SRDWH DYHD GLYHUVH H[SULP UL vQ IXQF LH GH VLWXD LD GHVI XU ULL DVLJXU ULL SHQWUX ILHFDUH WLS GH DVLJXUDUH vQ SDUWH 3HQWUX H[HPSOLILFDUH YRP SUHVXSXQH F R SHUVRDQ vQ YkUVW GH [ DQL FRQWUDFWHD] R DVLJXUDUH GH YLD vQ XUP WRDUHOH FRQGL LL DFKLW DQXDO DQWLFLSDW SULPH HJDOH WLPS GH Q DQL GXS Q ani, deci ncepnd cu anul (x+n+1), asiguratul va primi DQXDO SRVWLFLSDW WRW UHVWXO YLH LL VDOH R DQXPLW VXP
Rx (t ) = S Dx Dx +t
N x N x +t N x + n +1 , daca t < n Dx N x N x+n N x +t , daca t n Dx

(FXD LD GLIHUHQ LDO D UH]HUYHORU PDWHPDWLFH )DFHP XUP WRDUHOH SUHVXSXQHUL 'DF DVLJXUDWXO PRDUH OD PRPHQWXO GH WLPS W LQVWLWX LD GH DVLJXUDUH YD SO WL (t ) XP LDU GDF DFHVWD HVWH vQ YLD vQ LQWHUYDOXO GH WLPS WL SULPD P (t )dt XP $VWIHO DYkQG vQ YHGHUH FHOH GRX SUHVXSXQHUL DVLJXUDWXO YD SO WL GH IDSW VXPD GH P (t ) (t ) dt
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1RW P FX Rx (t ) UH]HUYD PDWHPDWLF FRUHVSXQ] WRDUH PRPHQWXOXL GH WLPS W, pentru asiguratul care a ncheiat asigurarea la vrsta [ DQL ,QVWLWX LD GH DVLJXUDUH vQFDVHD] vQ LQWHUYDOXO GH WLPS (t , t + dt ) VXPD GH Rx (t ) + P (t )dt FX FDUH YD WUHEXL V VDWLVIDF XUP WRDUHOH 2EOLJD LD GH SODW ( x + t ) (t )dt vQ FD]XO PRU LL DVLJXUDWXOXL
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__ t
Ex =e
(u )+( x +u ) du
0
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t ___ 1 E P u x + u u du Rx (t ) = ___ ) ( ) u x ( ) ( 0 t Ex
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___ 1 + Rx (t ) = ___ u E x P u x u u du ( ) ( ) ( ) 0 t Ex
FDUH UHSUH]LQW GHILQL LD SURVSHFWLY D UH]HUYHL PDWHPDWLFH

ndrumar pentru verificare/autoverificare 3ULQ PHWRGD UHWURVSHFWLY UH]HUYD PDWHPDWLF OD PRPHQWXO GH WLPS W YD IL D + D D Rt = / t 0 / t 0 t E0 E Rt = F Rt =
/ t D0 / t D0 t E0
D / t D0 /t 0 t E0 G DOW U VSXQV 5 VSXQV FRUHFW E 6ROX LH 9H]L
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Nx Dx N Px = S ax = S x +1 Dx Px = S a x = S
'DF DVLJXUDWXO GRUHWH R SHQVLH OXQDU GH S12 XP SULPD XQLF YD IL
Px(12) SULPHOH SO WLWH GH DVLJXUDW WLPS GH n DQL OD VIkULWXO ILHF UHL OXQL L FX S12 SHQVLLOH OXQDUH YLDJHUH SH FDUH XUPHD] V OH SULPHDVF GXS n DQL RE LQHP UHOD LD
Notnd cu
n
N 11 (12 ) Px(12) = 12 S12 ax = 12 S12 x Dx 24 N 11 Px(12) = 12 S12 ax(12) = 12 S12 x +1 + Dx 24
(12 ) 12 n Px(12) n ax = 12 S12
n n
(12 ) ax
(12 ) ax
GH XQGH
n
Px(12) = S12
24 N x + n +1 + 11Dx + n 24 ( N x +1 N x + n +1 ) + 11( Dx Dx + n )
$VLJXUDUHD GH GHFHV
/D DVLJXU ULOH GH GHFHV WUHEXLH V VH GHWHUPLQH VXPD SH FDUH XUPHD] V R SO WHDVF XQ LQGLYLG vQ YkUVW GH x DQL SHQWUX FD OD GDWD PRU LL VDOH vQWUHSULQGHUHD GH DVLJXUDUH V SO WHDVF XUPDLORU R DQXPLW VXP GH EDQL IL[DW SULQ FRQWUDFWXO GH DVLJXUDUH 3ULPD XQLF SHQWUX DVLJXUDUHD GH GHFHV HVWH GHFL VXPD SH FDUH XUPHD] V R SO WHDVF DVLJXUDWXO vQWUHSULQGHULL GH DVLJXUDUH OD PRPHQWXO FRQWUDFW ULL DVLJXU ULL R GDW SHQWUX WRWGHDXQD 6XPD SH FDUH R YD SO WL vQWUHSULQGHUHD XUPDLORU OD PRPHQWXO GHFHVXOXL VH QXPHWH VXP DVLJXUDW

)LH M x YDORDUHD PHGLH DFWXDO D XQXL OHX SO WLW OD GDWD GHFHVXOXL XQHL SHUVRDQH vQ YkUVW GH x DQL DGLF YDORDUHD PHGLH DFWXDO D DVLJXU ULL GH GHFHV FDUH HVWH YDORDUHD PHGLH D YDULDELOHL 1 1 1 1+ n+ 2 2 v v v 2 X : l x l x +1 l x +1 l x + 2 l x + n lx + n +1 l lx lx x FX
Ax = M ( X ) = =
100 x
n =0
1 100 x n+ lx + n lx + n +1 n + 1 l l vx v 2 = x + n x + n +1 v 2 x = lx lx v n =0
100 x
n =0
(lx+ n lx + n+1 )v
lx v x
x+n+
1 2
6H YRU LQWURGXFH QXPHUH GH FRPXWD LH C x = (l x l x +1 )v
x+
1 2
$WXQFL M x = C x + C x +1 + ... + C100 L M Ax = x Dx 'DF VRFLHWDWHD GH DVLJXUDUH XUPHD] V SO WHDVF vQ PRPHQWXO GHFHVXOXL VXPD GH S XQLW L PRQHWDUH DWXQFL SULPD XQLF YD IL M P = S Ax = S x Dx $VLJXU UL GH GHFHV OLPLWDWH L DPkQDWH 'DF DVLJXUDUHD GH GHFHV VH IDFH SH XQ WHUPHQ OLPLWDW GH DQL n ncepnd de la data ncheierii contractului de asigurare, atunci YDORDUHD DFWXDO D XQHL XP FDUH VH SO WHWH DVLJXUDWXOXL vQ YkUVW GH x DQL OD vQFKHLHUHD DVLJXU ULL FkQG GHFHVXO D VXUYHQLW vQ GHFXUVXO DFHVWRU DQL HVWH C x + C x +1 + ... + C x + n 1 M x M x + n = n Ax = Dx Dx 'DF DVLJXUDUHD QX vQFHSH LPHGLDW V IXQF LRQH]H FL GXS U DQL DGLF R DVLJXUDUH GH GHFHV DPkQDW VXPD VH SO WHWH QXPDL GDF DVLJXUDWXO GHFHGHD] GXS WUHFHUHD D Q DQL GH OD vQFKHLHUHD DVLJXU ULL 9DORDUHD DFWXDO D XQHL XP FDUH VH SO WHWH GDF DVLJXUDWXO vQ YkUVW GH x DQL OD GDWD FRQWUDFW ULL DVLJXU ULL PRDUH GXS H[SLUDUHD termenului de amnare de U DQL HVWH
r|
Ax =
C x + r + ... + C100 M x + r = Dx Dx
QWUH DVLJXUDUHD GH GHFHV SH WRDW YLD D Ax L DVLJXU ULOH GH GHFHV OLPLWDWH L DPkQDWH H[LVW UHOD LD Ax = n Ax + n| Ax

$VLJXU UL PL[WH $FHVWH DVLJXU UL XWLOL]DWH FHO PDL DGHVHD SUHVXSXQ vQ DFHODL WLPS DVLJXUDUHD XQHL VXPH SH WHUPHQ IL[ L R DVLJXUDUH GH GHFHV vQ FDGUXO DFHOXLDL WHUPHQ 'DF GXUDWD DVLJXU ULL HVWH GH n ani, ntreprinderea de asigurare SO WHWH DVLJXUDWXOXL GDF HVWH vQ YLD OD H[SLUDUHD DFHVWXL WHUPHQ VXPD DVLJXUDW LDU GDF D GHFHGDW vQDLQWHD DFHVWXL WHUPHQ SO WHWH OD GDWD GHFHVXOXL XUPDLORU IL[D L SULQ FRQWUDFW VXPD DVLJXUDW 3HQWUX DFHDVWD YDORDUHD DFWXDO OD FRQWUDFWDUHD DVLJXU ULL VH VWDELOHWH DGXQkQG VDUFLQLOH vQWUHSULQGHULL SHQWUX DVLJXUDUHD GH GHFHV L DVLJXUDUHD VXPHL OD WHUPHQ DWXQFL D M M x+n P = n E x + n Ax = x + n + x Dx Dx 'DF VXPD DVLJXUDW HVWH S XP DWXQFL SULPD XQLF HVWH M M x + n + Dx + n P=S x Dx
ndrumar pentru verificare/autoverificare &DUH HVWH SULPD QHW SH FDUH R SHUVRDQ vQ YkUVW GH DQL WUHEXLH V R SO WHDVF vQ PRPHQWXO VHPQ ULL FRQWUDFWXOXL GH DVLJXUDUH SHQWUX FD vQ PRPHQWXO GHFHVXOXL XUPDLL V L V SULPHDVF XP" M 50 = 2.416 D50 = 7070, 2 3 5 VSXQV FRUHFW 3 6ROX LH )RORVLP UHOD LD L RE LQHP M P = 10.000.000 50 = 3.417.160 XP D50 &DUH HVWH SULPD QHW SH FDUH R SHUVRDQ vQ YkUVW GH DQL WUHEXLH V R SO WHDVF vQ PRPHQWXO VHPQ ULL FRQWUDFWXOXL GH DVLJXUDUH SHQWUX FD vQ PRPHQWXO GHFHVXOXL XUPDLL V L V SULPHDVF XP GDF GHFHVXO DUH ORF SkQ OD vPSOLQLUHD YkUVWHL GH DQL" M 50 = 2.416 M 60 = 1.863 D50 = 7070, 2 3 5 VSXQV FRUHFW 3 6ROX LH )RORVLP UHOD LD L RE LQHP M M 60 P = 10.000.000 50 = 782.160 XP D50 &DUH HVWH SULPD QHW XQLF SH FDUH R SHUVRDQ vQ YkUVW GH DQL WUHEXLH V R SO WHDVF vQ PRPHQWXO VHPQ ULL FRQWUDFWXOXL GH DVLJXUDUH SHQWUX D vQFDVD HO vQVXL XP GDF HVWe n YLD OD vPSOLQLUHD YkUVWHL GH GH DQL VDX XUPDLL V L GDF GHFHVXO DUH ORF GXS vPSOLQLUHD YkUVWHL GH DQL" M 50 = 2.416 M 60 = 1.863 D50 = 7070, 2 D60 = 3.885,7

3 5 VSXQV FRUHFW 3 6ROX LH )RORVLP UHOD LD L RE LQHP M M 60 + D60 P = 10.000.000 50 = 6.278.040 XP D50
7HVWH GH HYDOXDUHDXWRHYDOXDUH 6 VH GHWHUPLQH YDORDUHD DFWXDO D XQHL DVLJXU UL FH FRQVW vQ SODWD XQHL XQLW L PRQHWDUH OD GDWD PRU LL XQHL SHUVRDQH vQ YkUVW GH [ DQL SUHVXSXQHP F GHFHVHOH VXQW XQLIRUP GLVWULEXLWH vQ FXUVXO DQXOXL D Ax = v1/ 2 (1 iax ) XQGH ax SHQVLD YLDJHU SO WLW SRVWLFLSDW a x SHQVLD YLDJHU SO WLW DQWLFLSDW E Ax = u1/ 2 (1 + iax ) F Ax = v1/ 2 (1 ia x )
6WDELOL L UHOD LD vQWUH QXPHUHOH GH FRPXWD LH C x , Dx XQGH C x = (l x l x +1 )v x +1/ 2 Dx = l x v x
(vDx+1 Dx ) 1/ 2 E C x = (1 + i ) (vDx Dx +1 ) 1/ 2 F C x = (1 + i ) ( Dx +1 Dx )
1/ 2
D C x = (1 + i )
6WDELOL L UHOD LD vQWUH QXPHUHOH GH FRPXWD LH M x , N x
(vN x N x +1 ) 1/ 2 E M x = (1 + i ) ( N x N x +1 ) 1/ 2 F M x = (1 + i ) (vN x + N x+1 )

1/ 2
D M x = (1 + i )

/ n Ax SULPD QHW XQLF SH FDUH R SO WHWH R SHUVRDQ vQ YkUVW GH [ DQL OD VHPQDUHD FRQWUDFWXOXL SHQWUX FD XUPDLL V SULPHDVF XP vQ FD]XO vQ FDUH GHFHVXO V X D VXUYHQLW GXS Q DQL n / Ax SULPD QHW XQLF SH FDUH R SO WHWH R SHUVRDQ vQ YkUVW GH [ DQL OD VHPQDUHD FRQWUDFWXOXL SHQWUX FD XUPDLL V SULPHDVF XP vQ FD]XO vQ FDUH GHFHVXO V X D VXUYHQLW SkQ vQ Q DQL )LH R DVLJXUDUH PL[W DGLF GDF R SHUVRDQ vQ YkUVW GH [ DQL HVWH vQ YLD SHVWH Q DQL DWXQFL SULPHWH XP vQ DFHO PRPHQW LDU GDF GHFHGHD] SkQ vQ Q DQL XUPDLL SULPHVF XP 3ULPD QHW SH FDUH R SO WHWH DVLJXUDWXO HVWH D M M x+n D P = n Ex / n Ax = x + n x Dx Dx E P = n Ex + / n Ax = F P = n Ex + / n Ax = G DOW U VSXQV 1XP UXO GH FRPXWD LH Dxy introdus n cazul DVLJXU ULL GH PRDUWH SHQWUX SULPXO GHFHV SHQWUX XQ JUXS GH SHUVRDQH D Dxy = l x l y v x + y E Dxy = l x l y v( x + y +1) 2 F Dxy = l x l y v( x + y ) 2 G DOW U VSXQV
Dx M M x+n + x Dx + n Dx + n Dx + n M x M x + n + Dx Dx
%LEOLRJUDILH REOLJDWRULH 'XGD , 7UDQGDILU 5 %DFLX $ ,RDQ 5 %kU] 6 0DWHPDWLFL SHQWUX HFRQRPLWL (GLWXUD )XQGD LHL Romnia de Mine %XFXUHWL 'XGD , 7UDQGDILU 5 %DFLX $ ,RDQ 5 (OHPHQWH GH PDWHPDWLFL HFRQRPLFH (GLWXUD )XQGD LHL Romnia de Mine %XFXUHWL %DFLX $ 0DWHPDWLFL DSOLFDWH vQ HFRQRPLH L ILQDQ H (GLWXUD )XQGD LHL Romnia de Mine %XFXUHWL 'XGD , (OHPHQWH GH DOJHEU %XFXUHWL

SHQWUX HFRQRPLWL (GLWXUD )XQGD LHL Romnia de Mine
5 6381685, /$ 7(67(/( '( (9$/8$5($872(9$/8$5(
8QLWDWHD GH vQY DUH 5 D 5H]ROYDUH 'HRDUHFH P( A B) = P ( B ) P( A | B ) YD UH]XOWD F P ( A B ) 0, 2 1 P( B) = = = = 0,5 P ( A | B ) 0, 4 2 7RWRGDW

P( A) = P ( A ) = P A B BC
)) = P (( A B ) ( A B )) = = P ( A B ) + P( A B ) P (( A B ) ( A B )) = 0, 2 + 0, 25 0 = 0, 45.

( (
5 E 5 $GHY UDW 5 E 5 E 5 D 8QLWDWHD GH vQY DUH 5 )DOV 5 D 5 )DOV 5 F 5 D 5 F 5 D 5 D 5 E 5 D 5 E 8QLWDWHD GH vQY DUH 5 VSXQV 'DF QRW P SULQ YDULDELOD DOHDWRDUH FDUH UHSUH]LQW QXP UXO GH DSDUL LL DOH ELOHL DOEH 3 1 DUH UHSDUWL LD ELQRPLDO $YHP SUREDELOLWDWHD FD vQWUR H[WUDF LH V RE LQHP R ELO DOE p = GHFL q = 4 4 2 M ( ) = 150 D ( ) = 37,5 6H DSOLF LQHJDOLWDWHD OXL &HEkHY L VH RE LQH
P (100 < < 120 ) = P ( 100 < 10 ) 1 37,5 = 0,625 100

5 VSXQV 6H DSOLF VFKHPD OXL 3RLVVRQ $YHP 1 n 1 2 n 2 3 n3 3 ( z ) = n z + n n z + n n z + n = 1 3 = 3 6 z + (11n 18 ) z 2 + 6n 2 22n + 18 z + (n 1)(n 2 )(n 3) n
D 7HUPHQXO OLEHU GLQ SROLQRPXO 3 ( z ) YD IL P0,3 = E &RHILFLHQWXO OXL z 3 GLQ 3 ( z ) HVWH P3,3 = F P = 1 P0,3
6 n3
(n 1)(n 2 )(n 3)
n3
vQ SDQ 3UREDELOLW LOH ORU YRU IL P ( A1 ) = P0,5 P ( A2 ) = P 1,5 &XP

= 0,530 + 0, 264 z + ...
5 VSXQV )DFHP XUP WRDUHOH LSRWH]H A1 QLFL XQ HOHPHQW QX HVWH vQ SDQ A2 XQ HOHPHQW HVWH
5 ( z ) = (0,1z + 0,9 )(0,05 z + 0,95 )(0, 2 z + 0,8 )(0,15 x + 0,85 )(0,09 z + 0,91) =
GH XQGH P ( A1 ) = 0,530 P ( A2 ) = 0,364 Notnd cu A HYHQLPHQWXO DSDUDWXO HIHFWXHD] PXQFD SHQWUX FDUH HVWH GHVWLQDW IRUPXOD SUREDELOLW LL WRWDOH QH G P ( A ) = 0,530 1 + 0,364 0,7 = 0,784 5 VSXQV 6H DSOLF VFKHPD ELOHL QHUHYHQLWH $YHP C 3 C 0 C 1C 1 C1 C 2C 2C 0 D P (5;3,0,1,1) = 10 8 5 7 5 E P (5;1, 2, 2,0 ) = 10 8 5 7 5 C30 C30 8QLWDWHD GH vQY DUH 5 VSXQV )LH n QXP UXO SUREHORU L x PHGLD GH VHOHF LH $YHP n it n x i t xk n k =1 k itx x (t ) = M e = M e = M e n k =1
( )
iux e k
t 1RW P u = GHFL x (u ) = n x (u ) = e
2 N m, n
nmui n2u 2 2
M (
n k =1
) 'H OD OHJHD QRUPDO
WLP F M
( )= e
iux e k
mui
2u 2 2
GHFL
VDX x (t ) = e
mti
2t 2 2n
$FHDVWD HVWH IXQF LD FDUDFWHULVWLF D XQHL UHSDUWL LL QRUPDOH
GHFL IXQF LD GH UHSDUWL LH FRUHVSXQ] WRDUH HVWH QRUPDO

5 VSXQV 9RP XWLOL]D WRW PHWRGD IXQF LHL FDUDFWHULVWLFH $YHP n i t xk itx x (t ) = M e = M e n k =1
( )
n n t t nu x (u ) = M eiux = e GH XQGH UHYHQLQG OD YDULDELOD t x (t ) = e n = e $P n k =1 RE LQXW IXQF LD FDUDFWHULVWLF D UHSDUWL LHL &DXFK\ GHFL x HVWH R YDULDELO DOHDWRDUH UHSDUWL]DW &DXFK\
VDX FX QRWD LD u =
( )
8QLWDWHD GH vQY DUH 5 VSXQV FRUHFW D 5H]ROYDUH 3HQWUX JUDIXO GLQ ILJXUD VFULHP PDWULFHD FRQH[LXQLORU GLUHFWH 0 1 0 0 1 0 0 1 1 0 C = 0 0 0 1 0 1 0 0 0 1 0 0 1 0 0 5 VSXQV FRUHFW D 5H]ROYDUH 3HQWUX JUDIXO GLQ ILJXUD FX PDWULFHD FRQH[LXQLORU GLUHFWH C DVRFLDW GHWHUPLQ P PDWULFHD GUXPXULORU D &RQVWUXLP OLQLD 1 D PDWULFHL D SRUQLQG GH OD OLQLD 1 D PDWULFHL C 2EVHUY P F c12 = 1 L
c15 = 1 UHVWXO HOHPHQWHORU ILLQG HJDOH FX ]HUR $WXQFL DGXQ P ERROHDQ OLQLD 1 GLQ C FX OLQLLOH l1 : 0 1 l2 : 0 0 l5 : 0 0
2 L 5 DOH PDWULFLL C 0 0 1
1 1 0 1 0 0
__________________________
7UHFHP OD SDVXO GLQ DOJRULWP L DGXQ P ERROHDQ OLQLD l1(2 ) FX OLQLLOH 3 L 4 GLQ C
(2 ) (2 ) (2) GLIHU GH l1 SULQ HOHPHQWHOH JHQHUDWH SH SR]L LLOH c13 = 1 L c14 = 1 2EVHUY P F OLQLD l1
l1(2 ) : 0 1 1 1 1
l1(2 ) : 0 1 0 0 1 l3 : l4 : 1 0 0 0 1
0 0 0 1 0
__________________________
l1(3 ) : 1 1 1 1 1
l1
(D )
2EVHUY P F VD RE LQXW R OLQLH FX WRDWH HOHPHQWHOH HJDOH FX 1 GHFL OLQLD 1 D PDWULFLL D YD IL
:1 1 1 1 1
3HQWUX OLQLD 2 D PDWULFHL D REVHUY P F c 23 = 1 c 24 = 1 UHVWXO HOHPHQWHORU ILLQG HJDOH FX ]HUR $GXQ P ERROHDQ OLQLD 2 GLQ C FX OLQLLOH 3 L 4

l2 : 0 0 1 1 0 l3 : 0 0 0 1 0 l4 : 1 0 0 0 1
__________________________
(2 ) (2) = 1 L 2EVHUY P F OLQLD l2 GLIHU GH OLQLD 2 SULQ HOHPHQWHOH JHQHUDWH GH SR]L LLOH c21
(2) (2) c25 = 1 $GXQ P ERROHDQ l2 FX OLQLLOH 1 L 5
(2 ) l2 : 1 0 1 1 1
(2 ) l2 : 1 0 1 1 1 0 1 0 0 1 l1 : l5 : 0 0 1 0 0
__________________________
(3) : 1 1 1 1 1 l2 (D ) $P RE LQXW WRDWH HOHPHQWHOH HJDOH FX 1 GHFL l2 :1 1 1 1 1
6LPLODU SHQWUX OLQLLOH L RE LQHP PDWULFHD D
1 1 D = 1 1 1
1 1 1 1 1
1 1 1 1 1
1 1 1 1 1
1 1 1 1 1
5 VSXQV FRUHFW $ 5H]ROYDUH *UDIXO G DUH FLUFXLWH F FL H[LVW i astfel nct d ii = 1 GH H[HPSOX d 22 = 1 5 VSXQV FRUHFW $ 5 VSXQV FRUHFW F 5H]ROYDUH 1 &XP WLP F JUDIXO DUH FLUFXLWH YRP IRORVL PHWRGD vQPXO LULL ODWLQH 0DWULFHOH M (1) L M ( ) YRU
IL
(1)
0 0 = 0 x 4 x1 0
x1 x 2 0 0 0 0
0 x 2 x3 0 0 x5 x3
0 x2 x4 x3 x 4 0 0
x1 x5 0 0 x 4 x5 0

~ M (1)
0 0 =0 x1 0
0
x2 0 0 0 0
0 x3 0 0 x3
0 x4 x4 0 0
x5 0 0 x5 0
0
M (2 )
0 x 2 x 4 x1 = x3 x 4 x1 0 0
M (3 )
0 x 2 x3 x 4 x1 = 0 0 x x x x 5 3 4 1
x 2 x 4 x5 0 x3 x 4 x5 0 x 4 x1 x 2 x 4 x1 x5 0 0 x1 x 2 x3 x 4 0 0 x1 x 2 x 4 x5 x1 x5 x3 x 4 x 2 x 4 x1 x5 0 0 x 2 x 4 x5 x3 x 2 x3 x 4 x5 0 0 x3 x 4 x1 x 2 x3 x 4 x1 x5 x 4 x1 x 2 x3 0 0 0 x 4 x1 x5 x3 0 0 0 0 x1 x 2 x3 x1 x 2 x 4 x1 x5 x3 x 2 x3 x 4 0 0 0 x 4 x5 x3 0 x5 x3 x 4 0
M (4 )
0 0 0 0 = 0 0 0 0 0 x x x x x 5 3 4 1 2
0 x1 x 2 x3 x 4 x5 x 2 x 4 x1 x5 x3 0 x 2 x3 x 4 x1 x5 0 0 0 0 0 0 0 0 0 x1 x 2 x 4 x5 x3
Q JUDIXO GDW H[LVW GUXPXUL KDPLOWRQLHQH 5 VSXQV FRUHFW 5 VSXQV FRUHFW

8QLWDWHD GH vQY DUH 5 VSXQV FRUHFW E 5H]ROYDUH (WDSHOH L VXQW VLVWHPDWL]DWH vQ WDEHOXO GH PDL MRV
V x1 x2 x3
x1
0
x2
5 0
x3
8 6 0
x4
18 10 9 0
x5
12
x6
21 23
16 9 0 0 0 0

26 26
x4 x5
x6
mi(1) mi(2 ) mi(3 )

23 20 20
11 8
0

16 16 16
9 9 9
21 21 21
,WHUD LLOH VH RSUHVF F FL DP RE LQXW mi(3 ) = mi(2 ) (WDSD 'HWHUPLQ P VXFFHVLXQHD GUXPXOXL PLQLP GH OD x1 OD x6 FRORDQD OXL x2
$GXQ P OLQLD mi(3 ) FX OLQLD 1 YDORDUHD PLQLP HVWH 26 DUFXO YD IL (x1 , x 2 ) L VH RE LQ SH $GXQ P OLQLD mi3 FX OLQLD 2 YDORDUHD PLQLP HVWH 21 DUFXO FRUHVSXQ] WRU YD IL (x 2 , x 6 ) L
VH RE LQH SH FRORDQD OXL x6
'HFL GUXPXO PLQLP YD IL d : {x1 , x2 , x6 } 5H]ROYDUH 9HULILF P GDF IOX[XO LQL LDO FRQVWLWXLH XQ IOX[ UHDOL]DELO DGLF : 5 5 vQGHSOLQHWH FRQGL LD GH
P UJLQLUH D IOX[XOXL GHFL SHQWUX RULFH 2E LQHP
(x , x )
i j
DYHP 0 xi , x j pij i, j { 1,2,...,6}
0 < ( x1 , x4 ) = 2 < p14 = 7 0 < ( x2 , x6 ) = 1 < p26 = 4
0 < ( x1 , x2 ) = 2 < p12 = 3 0 < ( x1 , x3 ) = 5 < p13 = 8
0 < ( x3 , x5 ) = 2 < p35 = 6 0 < ( x4 , x6 ) = 5 < p46 = 10
0 < ( x3 , x2 ) = 1 < p32 = 5 0 < ( x3 , x4 ) = 2 < p34 = 5
3HQWUX FRQGL LD GH FRQVHUYDUH ( ) xi X

k =2
0 < ( x5 , x4 ) = 1 < p54 = 3 0 < ( x5 , x6 ) = 3 < p56 = 5
xk , x j
(xk , x j )
(x j , xh )
h =1
x j , xh
DYHP

Vrfuri )OX[ FDUH LQWU vQ YkUIXO xi Flux care iese n vrful xi
x2 x3 x4 x6
3 5 5
3 5 5
6H REVHUY F L 3URSR]L LD HVWH YHULILFDW DGLF
i =2
( x1 , xi ) =
(x j , x6 ) = 9
j =2
GHFL IOX[XO LQL LDO HVWH 0 = 9 7UHFHP OD 3DVXO ,, GLQ DOJRULWPXO )RUG)XONHUVRQ 'HVWLQD LD x6 D SXWXW IL PDUFDW $OHJHP GUXPXO d1 : { x1 , x3 , x5 , x6 } SHQWUX FDUH
= min{ 8 5,6 2,5 3}= 2 L 1 = 9 + 2 = 11 $UFXO ( x5 , x6 ) VD VDWXUDW
)LJ
x6 D SXWXW IL PDUFDW $OHJHP GUXPXO = min{ 7 2,10 5}= 5 2 = 11 + 5 = 16 $UFHOH (x1 , x 4 ) ( x4 , x6 ) VD VDWXUDW
'HVWLQD LD
d 2 : {x1 , x 4 , x6 }
)LJ
3 = 16 + 1 = 17 $UFXO ( x1 , x2 ) VD VDWXUDW
x1 , x 2 , x6 } = min {3 2, 4 1} = 1 'HVWLQD LD x6 D SXWXW IL PDUFDW $OHJHP GUXPXO d 3 : {
)LJ
= min {8 7,5 1, 4 2} = 1 4 = 17 + 1 = 18 $UFXO (x1 , x3 ) VD VDWXUDW
'HVWLQD LD
x6
SXWXW
IL
PDUFDW
$OHJHP
GUXPXO
d 4 : {x1 , x3 , x 2 , x6 }
)LJ
2EVHUY P F GHVWLQD LD QX VD PDL SXWXW PDUFD 'HFL IOX[XO HVWH PD[LP = 18

8QLWDWHD GH vQY DUH 5 VSXQV FRUHFW G 5H]ROYDUH D=S0it UHJLP GH GREkQG VLPSO
D1 =S01i1t1 S01 = 2.000 XP p1 = 9% i1 = 0,09 W ]LOH D 2 =S02i2t2 S02
36 DQL 360 = 5.000 XP p2 = 10% i2 = 0,1 W OXQL 3 DQL 12 1 DQL 2
D3 =S03i3t3 S03 = 10.000 XP p3 = 12% i3 = 0,12 W VHPHVWUX D1 =18 XP D 2 =125 XP D3 =600 XP
t=
S0k ik tk
k=1 3
S0k ik
k=1
3

t=
D1 +D 2 +D3
S0k ik
k=1

D1 +D 2 +D3 = 743
S0k ik = 2.000 0,09 + 5.000 0,1 + 10.000 0,12 = 1.880

k=1
QORFXLP vQ YRP J VL VFDGHQ D PHGLH vQORFXLWRDUH D FHORU WUHL VFDGHQ H t = 743 = 0,3953 DQL 1.880
t = 0,3953 360 = 142,30 ]LOH
5H]ROYDUH
Sn =S0 (1+i ) S0 = Sn (1+i )

n -4
-n
Q DQL p = 10% i = 0,1 S4 =58.564 XP

S0 = 58.564 (1+0,1)
S0 = 40.000 XP
5 VSXQV FRUHFW D 5H]ROYDUH 'HFL S L 6ROX LD UD LRQDO

S
8+ 5 12
5 = 10000( 1 + 0,05)8 1 + 0,05 = 10000 1,058 1,020833 = 15082 ,35 12

5 VSXQV FRUHFW E 5H]ROYDUH 'HFL S L

= 10000 1,05
8+ 5 12
6ROX LD FRPHUFLDO S
8+
5 12
= 15077,97 XP
8QLWDWHD GH vQY DUH 5H]ROYDUH n cazul scontului simplu comerciaO K a = K (1 jt )

q2 = 10% j2 = 0,1
K a = 130.000 1 0,1 1 = 126.750 XP 4 5H]ROYDUH 6 XP p = 8% i = 0,08 = 5 DQL M
K = S0 (1 + i ) . XP
5H]ROYDUH 6 XP p = 8% i = 0,08 = 5 DQL M M

K = S0 (1 + i ) . XP
K1 = S0 (1 + i ) 1 . . XP 6FRQW FRPSXV UD LRQDO 146.932,8 Ka = K t Ka = = 125.971, 2u.m (1 + j ) (1 + 0,08)2

K = S0 (1 + i ) . XP K1 = S0 (1 + i ) 1 . . XP 146.932,8 6FRQW FRPSXV UD LRQDO K a = K t K a = = 121.432,1u.m (1 + j ) (1 + 0,1)2

K = S0 (1 + i ) . XP
K1 = S0 (1 + i ) 1 . . XP 6FRQW FRPSXV FRPHUFLDO 146.932,8 = 126.666, 2u.m. Ka = K Ka = 1 + jt 1 + 0,08 2

K = S0 (1 + i ) . XP
K1 = S0 (1 + i ) 1 . . XP 6FRQW FRPSXV FRPHUFLDO K a = 146.932,8 = 126.666.2u.m. 1 + 0,08 2 Ka = K 1 + jt K a = 146.932,8 = 122.444u.m. 1 + 0,1 2
5H]ROYDUH t = 22 + 29 + 31 = 82 ]LOH tmodificat = 82 + 2 = 84 ]LOH S M M
SSC = Kjt = 15.000 0,12 84 360 SSC = 419,9 XP

0,6 84 = 20,9u.m. 100 360
&RPLVLRQ GH DFFHSWDUH = 15.000
&RPLVLRQ SH HIHFW XP 16,8 7D[ SH FRPLVLRQ IL[ 12,5 = 2,1u.m. 100

$*,2 7$; '( 6&217 727$/ 66& &RPLVLRQ GH DFFHSWDUH &RPLVLRQ GH DFFHSWDUH WD[ SH FRPLVLRQ IL[ XP 3URFHQWXO GH VFRQW VLPSOX FRPHUFLDO PRGLILFDW HVWH GDW SULQ q 84 T AGIO=15.000 100 360 9DORDUHD VFRQWDW K a = K AGIO K a = 15.000 455, 4 = 14.544,6 XP 5 VSXQV D 5H]ROYDUH t = 22 + 29 + 31 = 82 ]LOH tmodificat = 82 + 2 = 84 ]LOH S M M SSC = Kjt = = 15.000 0,12 84 360 SSC = 419,9 XP &RPLVLRQ GH DFFHSWDUH = 15.000
0,6 84 = 20,9u.m. 100 360
&RPLVLRQ SH HIHFW XP 16,8 7D[ SH FRPLVLRQ IL[ 12,5 = 2,1u.m. 100 $*,2 7$; '( 6&217 727$/ 66& &RPLVLRQ GH DFFHSWDUH &RPLVLRQ GH DFFHSWDUH WD[ SH FRPLVLRQ IL[ XP 3URFHQWXO GH VFRQW VLPSOX FRPHUFLDO PRGLILFDW HVWH GDW SULQ q 84 T AGIO=15.000 100 360 9DORDUHD VFRQWDW K a = K AGIO K a = 15.000 455, 4 = 14.544,6 XP )LH T SURFHQW UHDO GH VFRQW T M LDU T SURFHQW HIHFWLY VDX GH UHYHQLUHGH VFRQW T M $YHP UHOD LLOH $*,2 7D[ SH FRPLVLRQ IL[ . MW $*,2 7D[ SH FRPLVLRQ IL[ .D MW $WXQFL SURFHQWXO UHDO GH VFRQW $*,2 7D[ SH FRPLVLRQ IL[ XP . MW T SURFHQW HIHFWLY VDX GH UHYHQLUHGH VFRQW $*,2 7D[ SH FRPLVLRQ IL[ XP .D MW T 5 VSXQV FRUHFW $ 5 VSXQV FRUHFW ) 5 VSXQV FRUHFW F

8QLWDWHD GH vQY DUH 5 VSXQV FRUHFW F

S P = 2000 (1 + 0,1) + 5000 (1 + 0,1) + 7000 = 14.920 XP
2 3
5H]ROYDUH
9DORDUHD DFWXDO AP = 2000 + 5000 + 7000 = 11209,616 XP 2 3 1,1 1,1 1,13 5 VSXQV FRUHFW F 5H]ROYDUH 9DORDUHD DFWXDO AP = 2000 + 5000 + 7000 = 11209,616 XP 3 1,1 1,12 1,13 5 VSXQV FRUHFW D
SP 3
5H]ROYDUH = 7000 (1 + 0,08 )(1 + 0,1) + 7000 (1 + 0,1) + 7000 = 23016 XP
9DORDUHD DFWXDO 7000 AP = 7000 + 7000 + = 18106, 294 XP 3 1,07 1,07 1,08 1,07 1,08 1,1 5 VSXQV FRUHFW F 5H]ROYDUH 9DORDUHD DFWXDO 7000 AP = 7000 + 7000 + = 18106, 294 XP 3 1,07 1,07 1,08 1,07 1,08 1,1 5 VSXQV FRUHFW D 9H]L UHOD LD 5 VSXQV FRUHFW D 9H]L UHOD LD 5 VSXQV FRUHFW D 9H]L UHOD LD 8QLWDWHD GH vQY DUH 5H]ROYDUH d1 = V0 i = 10000 0,05 = 500 3ULPXO DPRUWLVPHQW Q1 = V0
VDX Q1 = T d1 = 2320,12 $PRUWLVPHQWH Q p = (i + 1)Q p 1 Q2 = 2436,13 Q3 = 2557,92

(1 + i )n 1
= 2320,12
5H]ROYDUH 6H FDOFXOHD]
Q1 = V0 i (1 i ) 4 0,05 0,955 = 40.000 = n (1 i )[1 (1 i ) ] 0,95[1 0,955 ]
= 40.000
0,05 0,77378 = 7201 0,95 0, 2262192
5H]ROYDUH 'LQ V0 = 25000 L Q UH]XOW Q = 5H]ROYDUH 'LQ V0 = 25000 L Q UH]XOW Q =
V0 25.000 = = 6250 n 4
V0 25.000 = = 6250 n 4 )RORVLP UHOD LD V p = V p 1 Q p DWXQFL V2 = V1 Q = 12500

8QLWDWHD GH vQY DUH 5 VSXQV FRUHFW 5H]ROYDUH l WLLQG F n px = x + n L IRORVLQG WDEHOH GH PRUWDOLWDWH DYHP lx
15
p40 =
l55 77.603 = 0,91 l40 84.855
5 VSXQV FRUHFW F 5H]ROYDUH

t qx
= 1 t px L FXP
px =
x t t DWXQFL t qx = x x
5 VSXQV FRUHFW ) 5 VSXQV FRUHFW E 5 VSXQV FRUHFW E 8QLWDWHD GH vQY DUH 5 VSXQV FRUHFW 3 XP 5H]ROYDUH N P = Sax = S x +1 Dx
P=S N 41 181.816 1.000.000 = 15.084.709 XP = D40 12.053

5 VSXQV FRUHFW 3 XP 5H]ROYDUH )RORVLP UHOD LD L RE LQHP N N 76 = 489253,5 XP P = 5.000 61 D60 5 VSXQV FRUHFW 3 XP 5H]ROYDUH )RORVLP UHOD LD L RE LQHP N N 75 = 40777 XP P = 5.000 60 D60 5 VSXQV FRUHFW 3 XP 5H]ROYDUH )RORVLP UHOD LD L RE LQHP N P = 5.000 61 = 27250 XP D60 8QLWDWHD GH vQY DUH 5 VSXQV FRUHFW D 6ROX LH 'HRDUHFH W ! Q DWXQFL N 42455,5 R25 (35 ) = 100000 60 = 100000 = 1555488,38 XP FRUHVSXQ] WRDUH DFKLW ULL FHORU 2729, 4 D25 GH UDWH DQXDOH GH F WUH DVLJXUDW L D QLFL XQHL UDWH GH F WUH DVLJXUDWRU 9H]L 8QLWDWHD GH vQY DUH 5 5 5 5 5 5 5 VSXQV FRUHFW D VSXQV FRUHFW E VSXQV FRUHFW D VSXQV FRUHFW ) VSXQV FRUHFW ) VSXQV FRUHFW F VSXQV FRUHFW F

%,%/,2*5$),(
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Redactor: Constantin FLOREA Tehnoredactor: Marcela OLARU Coperta: Magdalena ILIE Coli tipar: 9,75 Format: 16/6186 Editura Fundaiei Romnia de Mine Bulevardul Timioara nr.58, Bucureti, Sector 6 Tel./Fax: 021/444.20.91; www.spiruharet.ro e-mail: editurafrm@yahoo.com
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Conf. univ. dr. RODICA IOAN Lector univ. dr. MANUELA GHICA Lector univ. dr.

ILEANA RODICA NICOLA Lector univ. dr. VLAD COPIL

MATEMATICI FINANCIARE I ACTUARIALE

Rspunderea pentru coninutul i originalitatea textului revine exclusiv autorului/autorilor.

UNIVERSITATEA SPIRU HARET

MATEMATICI FINANCIARE I ACTUARIALE

EDITURA FUNDAIEI ROMNIA DE MINE Bucureti, 2012

136 136 139 155

7(0$  (OHPHQWH GH WHRULD SUREDELOLW LORU L VWDWLVWLF PDWHPDWLF FX DSOLFD LL vQ HFRQRPLH

8QLWDWHD GH vQY DUH  12 ,81, ,1752'8&7,9( '( 7(25,$ 352%$%,/,7 ,/25

7LPSXO DORFDW XQLW LL  RUH

1RW P HYHQLPHQWHOH HOHPHQWDUH FX w1 , w2 ,..., wn , iar n acest

)RUPXOD SUREDELOLW LL WRWDOH )LH

P ( Ai  A ) = P ( Ai ) P ( A Ai ) L LQkQG VHDPD GH  UH]XOW

L ( Ai )iI R PXO LPH FHO PXOW QXP UDELO GH HYHQLPHQWH 'DF

,QHJDOLWDWHD OXL %RROH )LH (, , P ) un cmp de probabilitate

7HVWH GH HYDOXDUHDXWRHYDOXDUH  )LH (, , P ) XQ FkPS GH SUREDELOLWDWH L A, B  6H WLH F P( A | B) = 0, 4  P( A B ) = 0, 2

C  )LH (, , P ) un cmp de probabilitate atunci ( ) A  P ( A ) = ... D 1 + P( A) E 1 P( A) F 2 P( A) G P ( A)

8QLWDWHD GH vQY DUH  9$5,$%,/( $/($72$5(

7LPSXO DORFDW XQLW LL  RUH

'HILQL LD  )LH L GRX YDULDELOH DOHDWRDUH GHILQLWH SULQ () = xn SHQWUX An  n = 1,2,...

 'DF L VXQW LQGHSHQGHQWH DWXQFL pij = pi q j 

9DULDELOD DOHDWRDUH DUH WDEORXO GH GLVWULEX LH x1 y1 x1 y2  xi y j  xn ym : p12  pij  pnm p11

HVWH DEVROXW FRQYHUJHQW  

n M k H[LVW L H[LVW  DWXQFL k =1 n n M k = M ( k ) k =1 k =1 

 3URSULHW LOH 3 L 3 FRQGXF OD 3  )LH k k = 1,..., n n YDULDELOH DOHDWRDUH GLVFUHWH L ck  n

2 2 DOHDWRDUH GLVFUHWH SHQWUX FDUH H[LVW M L M  $WXQFL

LQGHSHQGHQWH L GDF M ( ) L M () H[LVW  DWXQFL M () H[LVW L

YDULDELOH DOHDWRDUH GLVFUHWH

2 = M 2 2 M ( ) + M ( ) =M M ( ) = a + b FX a L b FRQVWDQWH DWXQFL 3  'DF 2 2

n particular, pentru b = 0 DYHP D 2 (a ) = a 2 D 2 ( )  LQGHSHQGHQWH L c1 ,..., cn  n FRQVWDQWH $WXQFL n n 2 2 D 2 ck k = ck D ( k ) k =1 k =1 

3  )LH ( k )1 k n  n YDULDELOH DOHDWRDUH GLVFUHWH GRX FkWH GRX

XQ FkPS GH SUREDELOLWDWH L R YDULDELO

VH QXPHWH PRPHQW DEVROXW GH RUGLQ r DO YDULDELOHL DOHDWRDUH 

      

      

 p1 j  p1m

 pij  pim

 pnj  pnm

'HFL p1. = P ( = x1 ) L UHSUH]LQW FRORDQD OXL x1 DPG

VXPD SUREDELOLW LORU GH SH

y y ... y j ... ym : 1 2 , p.1 p.2 ... p. j ... p.m

$QDORJ VH SRDWH GHILQL UHSDUWL LD OXL FRQGL LRQDW GH IDSWXO F = xi  L DQXPH

n continuare, vom nota simbolic (, ) D evenimentul punctul

P ((, ) D ) = F (b, d ) F (a, d ) F (b, c ) + F (a, c )

HVWH HFKLYDOHQW FX {a < b} {c < d } GHFL

D (a, d ) . n acest caz, evenimentuO

'DF H[LVW R IXQF LH UHDO

f GHILQLW L LQWHJUDELO SH 5 5 DD vQFkW f

1RW P DFHDVW GHULYDW SULQ f ( x, y )

k , s  DO VLVWHPXOXL (, )  9RP QXPL PRPHQW FHQWUDW GH RUGLQXO k , s DO

) PRPHQW LQL LDO GH RUGLQ

VLVWHPXOXL (, ) QXP UXO k , s = M M ( ) M () $YHP

(x M ( )) ( y M ()) f (x, y )dxdy

formule care n cazul variabilelor aleatoare discrete devin k ,s = xik y sj pij i j 

 ndrumar pentru verificare/autoverificare

9DULDELOD DOHDWRDUH + DUH WDEORXO GH GLVWULEX LH x1 + y1 x1 + y2  xi + y j  xn + ym + : p12 pij pnm   p11

a FRQVWDQW 6 VH GHWHUPLQH FRQVWDQWD a DD vQFkW F V ILH IXQF LH GH UHSDUWL LH

pentru x < 0 0 f ( x ) = a sin x pentru 0 x 0 pentru x >

f ( x )dx = a sin xdx = 2a = 1  DGLF D

f ( x )dx = a sin xdx = a = 1  DGLF D

f ( x )dx = a sin xdx = 2a = 2  DGLF D

f ( x )dx = a sin xdx = 2a = 1  DGLF D

0 pentru x < 0 1 f ( x ) = sin x pentru 0 x 2 pentru x > 0

7(0$ (OHPHQWH GH WHRULD SUREDELOLW LORU L VWDWLVWLF PDWHPDWLF FX DSOLFD LL vQ HFRQRPLH

8QLWDWHD GH vQY DUH 12 ,81, ,1752'8&7,9( '( 7(25,$ 352%$%,/,7 ,/25

7LPSXO DORFDW XQLW LL RUH

)RUPXOD SUREDELOLW LL WRWDOH )LH

P ( Ai A ) = P ( Ai ) P ( A Ai ) L LQkQG VHDPD GH UH]XOW

L ( Ai )iI R PXO LPH FHO PXOW QXP UDELO GH HYHQLPHQWH 'DF

,QHJDOLWDWHD OXL %RROH )LH (, , P ) un cmp de probabilitate

7HVWH GH HYDOXDUHDXWRHYDOXDUH )LH (, , P ) XQ FkPS GH SUREDELOLWDWH L A, B 6H WLH F P( A | B) = 0, 4 P( A B ) = 0, 2

C )LH (, , P ) un cmp de probabilitate atunci ( ) A P ( A ) = ... D 1 + P( A) E 1 P( A) F 2 P( A) G P ( A)

8QLWDWHD GH vQY DUH 9$5,$%,/( $/($72$5(

7LPSXO DORFDW XQLW LL RUH

'HILQL LD )LH L GRX YDULDELOH DOHDWRDUH GHILQLWH SULQ () = xn SHQWUX An n = 1,2,...

'DF L VXQW LQGHSHQGHQWH DWXQFL pij = pi q j

9DULDELOD DOHDWRDUH DUH WDEORXO GH GLVWULEX LH x1 y1 x1 y2 xi y j xn ym : p12 pij pnm p11

HVWH DEVROXW FRQYHUJHQW

n M k H[LVW L H[LVW DWXQFL k =1 n n M k = M ( k ) k =1 k =1

3URSULHW LOH 3 L 3 FRQGXF OD 3 )LH k k = 1,..., n n YDULDELOH DOHDWRDUH GLVFUHWH L ck n

2 2 DOHDWRDUH GLVFUHWH SHQWUX FDUH H[LVW M L M $WXQFL

LQGHSHQGHQWH L GDF M ( ) L M () H[LVW DWXQFL M () H[LVW L

2 = M 2 2 M ( ) + M ( ) =M M ( ) = a + b FX a L b FRQVWDQWH DWXQFL 3 'DF 2 2

n particular, pentru b = 0 DYHP D 2 (a ) = a 2 D 2 ( ) LQGHSHQGHQWH L c1 ,..., cn n FRQVWDQWH $WXQFL n n 2 2 D 2 ck k = ck D ( k ) k =1 k =1

3 )LH ( k )1 k n n YDULDELOH DOHDWRDUH GLVFUHWH GRX FkWH GRX

VH QXPHWH PRPHQW DEVROXW GH RUGLQ r DO YDULDELOHL DOHDWRDUH

p1 j p1m

pij pim

pnj pnm

'HFL p1. = P ( = x1 ) L UHSUH]LQW FRORDQD OXL x1 DPG

$QDORJ VH SRDWH GHILQL UHSDUWL LD OXL FRQGL LRQDW GH IDSWXO F = xi L DQXPH

HVWH HFKLYDOHQW FX {a < b} {c < d } GHFL

k , s DO VLVWHPXOXL (, ) 9RP QXPL PRPHQW FHQWUDW GH RUGLQXO k , s DO

formule care n cazul variabilelor aleatoare discrete devin k ,s = xik y sj pij i j

ndrumar pentru verificare/autoverificare

9DULDELOD DOHDWRDUH + DUH WDEORXO GH GLVWULEX LH x1 + y1 x1 + y2 xi + y j xn + ym + : p12 pij pnm p11

a FRQVWDQW 6 VH GHWHUPLQH FRQVWDQWD a DD vQFkW F V ILH IXQF LH GH UHSDUWL LH

f ( x )dx = a sin xdx = 2a = 1 DGLF D

f ( x )dx = a sin xdx = a = 1 DGLF D

f ( x )dx = a sin xdx = 2a = 2 DGLF D

f ( x )dx = a sin xdx = 2a = 1 DGLF D

1 4 2 2 E P 0 < = sin udu = 4 20 4 1 F P 0 < = sin udu = 1 4 20

8QLWDWHD GH vQY DUH 6&+(0( &/$6,&( '( 352%$%,/,7$7(

7LPSXO DORFDW XQLW LL RUH

6FKHPD SUREDELOLVWLF GHVFULV VH QXPHWH VFKHPD OXL 3RLVVRQ

*UDILFXO GHQVLW LL f x, m, 2 HVWH FHO GLQ ILJ

)XQF LD GH UHSDUWL LH HVWH

IXQF LD OXL /DSODFH YDORULOH DFHVWHL IXQF LL VH

UHSDUWL LH (; m, 2 ) 3HQWUX YRP FDOFXOD FDUDFWHULVWLFLOH QXPHULFH HVHQ LDOH

x n 1e x dx HVWH IXQF LD *DPD D OXL (XOHU FX Q XQ

QXPLW GHQVLWDWHD UHSDUWL LHL 6WXGHQW GXS : *RVVHW FX s = n 1 JUDGH GH OLEHUWDWH

&XUED WHRUHWLF D DFHVWHL GHQVLW L HVWH FHD GLQ ILJXUD

(D HVWH DVHP Q WRDUH FX FXUED GHQVLW LL QRUPDOH GDU GLIHULW

a b q= GHFL M ( ) = np N N 'H DVHPHQHD M 2 = M ( ( 1)) + M ( ) GDU

8QLWDWHD GH vQY DUH (/(0(17( '( 67$7,67,& 0$7(0$7,&

7LPSXO DORFDW XQLW LL RUH

( ) HVWH PDUH LDU

VH QXPHWH HILFLHQ D OXL 6H REVHUY F 0 en * 1 'DF

R FRQVLGHU P FD XQ SXQFW vQ VSD LXO GH VHOHF LH QGLPHQVLRQDO

5H]ROYDUH 9HULILF P GDF

pq HVWH R HVWLPD LH D OXL p $YHP M = p D 2 = GHFL n n n n

1 n ( xk m ) XQGH n 2 k =1 YDULDELOHOH DOHDWRDUH xi 1 i n VXQW LQGHSHQGHQWH L DX DFHHDL UHSDUWL LH FD 6 VH GHWHUPLQH

HILFLHQ D OXL * 5H]ROYDUH $YHP

HVWH R HVWLPD LH DEVROXW FRUHFW n SUREDELOLWDWHD p 6 DU W P F HD HVWH L R HVWLPD LH HILFLHQW

5HSDUWL LD GH WLS %HUQRXOOL $P Y ]XW F

5HSDUWL LD QRUPDO FX GHQVLWDWHD GH SUREDELOLWDWH f ( x, m ) =

(FXD LD YHURVLPLOLW LL PD[LPH

k e k = 0,1,... SH ED]D XQHL k!

HVWH R HVWLPD LH HILFLHQW SHQWUX . ntrDGHY U M * =

2 k n ln f (k , ) n k e n f (k , ) = n 1 = k! k =0 k =0 GHFL PLQLPXO GLVSHUVLHL HVWH n

n 0LQLPXO GLVSHUVLHL SHQWUX IXQF LL GH HVWLPD LH DEVROXW FRUHFWH HVWH 1 2 n ln f (k , ) n f (k , ) k =0 GDU

7(0$ (OHPHQWH GH WHRULD JUDIXULORU

8QLWDWHD GH vQY DUH *5$)85, ,

7LPSXO DORFDW XQLW LL RUH

$FHVWD DUH UHSUH]HQWDUHD JHRPHWULF

HVWH FRQH[ LDU JUDIXO

'HILQL LD 6H QXPHWH VXEJUDI G = ( X , ) DO JUDIXOXL

n Fig. 5.4b. este prezentat subgraful G JHQHUDW GH QRGXULOH {x1 , x2 , x3 , x5 }

LDU vQ )LJXUD F HVWH SUH]HQWDW JUDIXO SDU LDO G I U DUFHOH (x 2 , x3 ) L

x1 , x 2 ,..., x n } $VRFLHP )LH XQ JUDI G = (X , ) FX X = {

C DOH F UXL HOHPHQWH VXQW

g + (xi ) = cij g (xi ) = c ki

'HILQL LD 3XWHUHD GH DWLQJHUH p (xi ) a vrfului xi X n