National Repository of Grey Literature 4 records found  Search took 0.01 seconds. 
Capital requirements for insurance companies under Solvency II and its quantification
Kožár, Martin ; Pleška, Martin (advisor) ; Mazurová, Lucie (referee)
Title: Capital requirements imposed on insurance companies in Solveny II and their quantification Author: Bc. Martin Kožár Department: Department of probability and mathematical statistics Supervisor: Mgr. Martin Pleška Abstract: This thesis studies project Solvency II, which is focused on the integrated regulation of insurance market in the European Union. It pre- sents basic division and capital requirements arising from it. It describes division of the project into the three areas, refered to as pillars in practice. The thesis summarizes the basic methods for measuring the risk (Value at Risk, Tail Value at Risk), necessary in the calculation of the solvency capital requirements. The thesis studies the method of calculation of the solvency capital requirement SCR and the minimum capital requirement MCR. The calculation of the SCR is focused mainly on the method of the calculation of the capital requirement using the standard formula. Lastly, capital requi- rements are calculated using concrete data set. Keywords: Solvency II, solvency capital requirement SCR, minimum capital requirement MCR 1
Munich chain ladder method
Janáková, Veronika ; Pleška, Martin (advisor) ; Jedlička, Petr (referee)
Title: Munich chain ladder method Author: Bc. Veronika Janáková Department: Department of probability and mathematical statistic Supervisor: Mgr. Martin Pleška Supervisor's e-mail address: martin.pleska@cz.pwc.com Abstract: The insurance company is obliged to create technical reserves to cover the risk from insurance activities. One of the main reserves in non-life insurance is the IBNR reserve - the reserve to cover the damages that already exist, but that have not been reported to the insurance company yet. The content and the general aim of this thesis is to provide a better orientation in the method used in the estimation of the reserve IBNR - the Munich Chain Ladder Method. Munich Chain Ladder Method was created as a modification of the standard Chain Ladder calculation - one of the most used methods in the estimation of the IBNR reserve. The thesis focuses on the reasons that led to the modification of standard Chain Ladder calculation and explains the calculation of the modified method. It presents the application ot the method on the real data as well as the comparison with the results of the classical and less complicated Chain Ladder method. Keywords: IBNR reserve, chain ladder, Munich chain ladder 1
Capital requirements for insurance companies under Solvency II and its quantification
Kožár, Martin ; Pleška, Martin (advisor) ; Justová, Iva (referee)
This thesis studies project Solvency II, which is focused on the integrated regulation of insurance market in the European Union. It presents basic division and capital requirements arising from it. It describes division of the project into the three areas, refered to as pillars in practice. The thesis summarizes the basic methods for measuring the risk (Value at Risk, Tail Value at Risk), necessary in the calculation of the solvency capital requirements. The thesis studies the method of calculation of the solvency capital requirement SCR and the minimum capital requirement MCR. The calculation of the SCR is focused mainly on the method of the calculation of the capital requirement using the standard formula. Lastly, capital requirements are calculated using concrete data set.
Credit Risk Valuation
Pleška, Martin ; Benková, Markéta (referee) ; Charamza, Pavel (advisor)
According to the rules stated in the Basel II document banks are obliged to calculate risk capital on the basis of expected value of credit risk and in particular on the basis of some of its characteristics among which is Value at Risk (VaR) also ranked. It can be calculated for example by the method stated in Creditmetrics paper. In this thesis we will focus on this method of calculation of VaR which is considered to be a measure of credit risk. Determination of expected value of portfolio which credit risk we are concerned about is in this paper demonstrated by two methods. First one is the method of discounted cash řow and the second one is the method of risk costs. Estimations of VaR are being performed through the use of simulation of distribution of the value of the portfolio. The work is amended by a particular calculation with real data.

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