National Repository of Grey Literature 45 records found  1 - 10nextend  jump to record: Search took 0.01 seconds. 
Modeling the frequency of unreported claims at the policy level
Králová, Eva ; Mazurová, Lucie (advisor) ; Hendrych, Radek (referee)
In this thesis we study policy-level models for unreported claim counts. We assume that the total number of claims on a policy follows a Poisson or negative binomial dis- tribution. The parameters of these distributions depend on the risk exposure introduced in the thesis, we also describe possible methods of calculating the risk exposure. We derive distributions for the number of reported and unreported claims, both of which are dependent on the report lag time of a claim. To estimate the parameters of these distributions, we use the maximum likelihood method. We demonstrate the performance of the models via a simulation study. 1
Recursive least squares method: Selected applications
Mičuda, Timotej ; Hendrych, Radek (advisor) ; Hudecová, Šárka (referee)
This bachelor's thesis introduces, derives and implements recursive least squares me- thod. The recursive least squares method is analogy to ordinary least squares for linear regression exercise. Method uses recursive procedure to update coefficients. The goal of this work is to introduce the recursive method algorithm and to become familiar with its benefits. We will use the method for three different simulations, where we show selected properties and modifications. Also we apply the method for estimation of real data in connection with CAPM model. 1
Dependent zeros
Hanousek, Jan ; Pešta, Michal (advisor) ; Hendrych, Radek (referee)
This thesis investigates a specific type of non-negative time series containing a sig- nificant proportion of zeros. The goal of this work is to create a stochastic model which would be an appropriate representation of such time series. After examining existing theory about stochastic processes and the estimation of their parameters, we propose our own final models. Their suitability is tested using real-world data and the procedure shows that each model has its own advantages and limitations. Overall, the results are satisfactory, proving the credibility of the models and their applicability in practice and paving the way for possible further research on this topic. 1
Selected approaches to seasonal adjustment of economic time series
Grätzer, Martin ; Hendrych, Radek (advisor) ; Maciak, Matúš (referee)
This thesis deals with the issue of seasonal adjustment of economic time series and their subsequent predictions. In the theoretical part we define the time series and its properties and describe the individual methods we will use: simple approaches, modeling using a qualitative variable, Holt-Winters method, Schlicht method and ETS methods. In the practical part we apply the presented methods to real economic time series. We will discuss the advantages and disadvantages of using the method and also look at the behavior of the error component. Subsequently, we will compare them according to the ability to predict the subsequent development of a given time series. 1
Forecasting mortality: Selected actuarial applications
Hric, Patrik ; Hendrych, Radek (advisor) ; Mazurová, Lucie (referee)
This thesis deals with calculation of solvency capital requirement for life longevity risk. We start with defining selected demographic terms. Afterwards we introduce some stochastic mortality models, namely Lee-Carter and Cairns- Blake-Dowd model, which will be applied to real data. Subsequently we review mentioned models, regarding parameters, estimates, forecast and also diagno- sis. The theoretical part is closed by a brief description of Solvency II directive, scheme of solvency capital requirement and also method of life longevity risk calculation. In application part we demonstrate particular calculations related to stochastic mortality models resulting in determining solvency capital requ- irement for life longevity risk based on the data from Czech Statistical Office. Applied methods are mutually compared. 1
Stochastic mortality models within the quantification of selected actuarial risks
Šešulka, Marek ; Hendrych, Radek (advisor) ; Mazurová, Lucie (referee)
The thesis focuses on the stochastic mortality models in the context of actuarial risks. In the theoretical part, the thesis defines five mortality models with approaches to prediction. After that, it follows the description of selected actuarial risks in the context of mortality. Hedging of longevity risk is obtained through a financial instrument called a longevity bond. Pricing of that bond is delivered via the Wang transformation approach. In the empirical part of the thesis, there are carried out estimates, interpretations, and comments for models based on the Czech mortality data. Later, prediction tests are executed for an individual model, both sex and two chosen ages. The last part of the empiric section deals with the data driven pricing of longevity bond and the price of risk.
Combining multivariate volatility forecasts in portfolio optimization
Šípka, Stanislav ; Hendrych, Radek (advisor) ; Hudecová, Šárka (referee)
The selection of the best-performing model is always a challenge when solving financial-economic problems. The final model might prove to be suboptimal even after a short time if the economic climate changes suddenly. This thesis aims to construct a final model capable of estimating large-scale covariance matrices via the utilization of time-varying weights. A set of multivariate GARCH mod- els to be used as an input in the final combined estimate is used to introduce a weighting scheme based on the metrics of risk-adjusted return of the individ- ual model portfolios. As large-scale modeling often faces problems connected with the underlying dimensionality, the composite likelihood approach to model parameter estimation is proposed as a solution and compared to the standard maximum likelihood and its SVD modification. The resulting weighted covari- ance matrix prediction is used to construct optimal portfolios and their properties are compared in an empirical study. The thesis is concluded by noting the real-life limitation and possible improvements of the defined investing methodology. 1
Econometric systems of simultaneous equations in life insurance
Hendrych, Radek ; Cipra, Tomáš (advisor) ; Prášková, Zuzana (referee)
In present work we deal with theoretical and practical issues related to econometric systems of (linear) simultaneous equations. In the first chapter we introduce to theoretical aspects of this problem. We devote considerable space to estimation procedures and comparisons of their properties, mention questions of identification, an inconsistency of OLS-estimates for the simultaneous modeling, tests of hypotheses specific to this area, dynamic systems and constructions of forecasts in models. In the second chapter we introduce selected basic concepts relevant to life insurance. In the third chapter we show the practical application of theoretical knowledge in the event of an econometric model of financial flows in the life insurance company operating on the Czech market. We compare ordinary estimation procedures (2SLS and 3SLS approach), perform some tests, which serve us to verify selected information on the studied model. We show the possibility of using residual bootstrap, including examples of use in the construction of confidence intervals. Finally we analyze several predictions of the estimated model of the life insurance company for predetermined scenarios for the development of selected variables, which is very important from practical point of view.
Quantitative Methods of Risk Control
Marcinek, Daniel ; Hurt, Jan (advisor) ; Hendrych, Radek (referee)
This thesis deals with stock modelling using ARCH and GARCH time series. Important aspect of stock modelling is to capture volatility correctly. Volatility in finance is usually defined as a standard deviation of asset returns. Many different models, which are summarized in the first part of this thesis, are used to model volatility. This thesis focus on multivariate volatility models including multivariate GARCH models. An approach to constructing a conditional maximum likelihood estimate to these methods is given. Discussed theory is applied on real financial data. In numeric application there is a construction of a volatility estimates for two specific stocks using models described in the first part of this thesis. Using the same financial data various bivariate models are compared. Based on comparison using maximum likelihood a specific model for these stocks is recommended. Powered by TCPDF (www.tcpdf.org)
Analysis of extreme values
Vyhlídka, Jan ; Hendrych, Radek (advisor) ; Antoch, Jaromír (referee)
The goal of this thesis is to introduce basic concepts of the extreme value theory. The first chapter describes two fundamentally different approaches - block maxima and peaks over threshold models. Furthermore, it presents generalized extreme value distribution and generalized Pareto distribution. Moreover, relevant theorems and characteristics that are tied to these probabilistic distributions are discussed. The second chapter is a survey of various methods of parameter estimation of discussed distributions. The last chapter shows a simple application of how extreme value theory can be applied in finance on selected shares listed on the Prague Stock Exchange.

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10 Hendrych, Radek
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