National Repository of Grey Literature 172 records found  beginprevious100 - 109nextend  jump to record: Search took 0.01 seconds. 
Econometric Analysis of Financial Data
Baniar, Matúš ; Zichová, Jitka (advisor) ; Cipra, Tomáš (referee)
Econometric Analysis of Financial Data Author: Matúš Baniar Department: Department of Probability and Mathematical Statistics Supervisor: RNDr. Jitka Zichová, Dr. Abstract: In some occasions, financial data can be represented as a combination of cross-sectional and time-series information. Hence it could be convenient to consider a system of econometric equations for modeling such data sets. At the beginning of this thesis, we describe general definitions and we talk about different types of variables from the perspective of exogeneity. Later, we describe some specific cases of these equations: SUR system, simultaneous equation models and the model of vector autoregression. For selected models, we also discuss estimation methods and their properties. In the final section, the described approach is applied to real financial data making use of appropriate software. Keywords: exogeneity, SUR system, simultaneous equations, VAR
Solvency Internal models
Mertl, Jakub ; Cipra, Tomáš (advisor) ; Mazurová, Lucie (referee) ; Jedlička, Petr (referee)
Title: Solvency Internal models Author: Mgr. Ing. Jakub Mertl Abstract: The subject of thesis is assessment of calculation methods on capital adequacy of currently implemented regulation in insurance industry called Solvency II. The aim of the thesis is to build up a partial internal model fulfilling the condition of Solvency II. The thesis deals with the premium and reserve risks that are essential part of non-life business. Different approaches of risk assessment are described and aggregation of those risks as well. An important part of the thesis is a numerical example illustrating presented methods.
Excess of loss reinsurance with reinstatements
Čápová, Petra ; Mazurová, Lucie (advisor) ; Cipra, Tomáš (referee)
This thesis deals with the calculation of the premium for model of excess of loss reinsurance with reinstatements (XL-reinsurance with reinstatements). In the first part except the description of the basic model, we devote to derivation of the formula for calculating the pure premium. Furthermore, we show the detailed calculation procedure of the pure premium including the derivation of the probability function for the composite distribution of the total reinsurer's participation in claims here. The thesis also describes the method of PH transformation, which is used to determine the risk adjusted premium. In the second part we show these procedures on concrete examples for various probability distributions of the amount of claims and the number of claims. Powered by TCPDF (www.tcpdf.org)
Autocorrelation and decomposition methods in economic time series analysis
Filka, Jakub ; Zichová, Jitka (advisor) ; Cipra, Tomáš (referee)
The goal of this bachelor thesis is to give a basic theoretical background for working with time series with the usage of autocorrelation and decomposition methods, as well as to apply these methods on real data in selected software. The interpretation of the results is closely related to the comparison of advantages and disadvantages of the methods. We have used the software Wolfram Mathematica and NCSS. The main contribution of the thesis is the connection of both theoretical and practical approach, which was not performed similarly in Czech or Slovak literature in the time of elaborating the thesis. Keywords: time series, autocorrelation methods, decomposive methods, Wolfram Mathematica Powered by TCPDF (www.tcpdf.org)
Risk measures in finance and insurance
Krch, Ivan ; Cipra, Tomáš (advisor) ; Mazurová, Lucie (referee)
The main aim of this thesis is to examine risk measures which are used in finance and insurance. This work is focused on describing their mathematical characterizations and their relationships. In this thesis are discussed coherent risk measures, spectral risk mea- sures and distorted risk measures. Considerable attention is given to value at risk which is connected to a certain extent with all risk measures which are mentioned above. Attention is also aimed on using of these risk measures on illustrative examples which make their characteristic clear. Further there are demonstrated risk measures for quantification risk of portfolio based on real data. 1
Computing the aggregate claims distribution
Dlouhá, Veronika ; Pešta, Michal (advisor) ; Cipra, Tomáš (referee)
In this bachelor thesis I study the distribution of aggregate claims. First I introduce the topic and present main models. Then, I show some distributions used for modeling number and amound of claims with estimates of their parameters. Next I get to compound distribution and its basic charakteristics. In other parts of the thesis I study the probability of aggregate claims using Panjer recursion and fast Fourier transform and apply the thoery to examples. Finally I mention some methods to approximate aggregate claims using known distribution.
Some modifications of models ARCH for financial time series
Nekvinda, Matěj ; Cipra, Tomáš (advisor) ; Zichová, Jitka (referee)
This work deals with modelling time series, especially their volatility, by methods based on the ARCH model. In the beginning, we describe the general features of financial time series, afterwards we focus on the ARCH model modifications. The described modifications are GARCH, EGARCH, GJR-GARCH and briefly GARCH-M, IGARCH, FIGARCH and QGARCH. Along with the models, there is a description of their behaviour, which frequently reflects some features of financial time series. We also mention the process of practical financial time series analysis. In the end, we demonstrate the application of GARCH, EGARCH and GJR-GARCH models for modelling values of FTSE 100 index together with diagnostic tests and prediction. Powered by TCPDF (www.tcpdf.org)
Some quantitative aspects of life annuities
Šťástka, Petr ; Cipra, Tomáš (advisor) ; Mazurová, Lucie (referee)
The aim of this diploma thesis is describe the most common methods of financing pension plans, focusing on some of the methods of fund financing pension plans. To describe the individual methods, their numerical illustration and allow comparison, it is necessary to dispose of necessary instruments. Therefore in the thesis there are constructed the cohort life tables for the Czech Republic. The thesis also deals with the modelling life annuities in continuous time, in particular, with the shape of im- mediate pension anuity factor for Gompertz law of mortality. Namely, this factor is one of the parameters entering the calculation of the individual methods of fund fi- nancing for pension plans.
Penzijní modely
Kalaš, Martin ; Cipra, Tomáš (advisor) ; Branda, Martin (referee)
The thesis is concerned with the problem of sustainable spending towards the end of the human life cycle, which is a substantial quantitative problem in the pension framework. We gradually build a model, which coherently links the three key factors of retirement planning: uncertain length of human life, uncertain investment returns and spending rates. Within the framework of our intuitive model, we apply the method of moment matching to derive an approximation for the probability of individual's retirement ruin. The accuracy of presented approximation is analyzed via extensive Monte Carlo simulations. A numerical case study using Czech data is provided, including calculated values for the probability of ruin and maximal sustainable spending rate under various combinations of wealth-to-spending ratios and investment portfolio characteristics.
Mortality projections by cause
Štádlerová, Kateřina ; Kořistka, Jan (advisor) ; Cipra, Tomáš (referee)
The thesis focuses on the mortality projections by causes of death. The thesis includes also the application of such knowledge on the data of the Czech population. The mortality projections are used nowadays more and more often due to the population ageing. The results of this thesis may be interesting both for financial institutions such as insurance companies and for the purposes of certain areas of government policy with regards to the pension planning. So far not many articles have been published in the Czech language, nor are there any published results of similar projections using the data derived from the Czech environment. Powered by TCPDF (www.tcpdf.org)

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