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Acceleration of calculations in life insurance
Kuzminskaya, Kseniya ; Janeček, Martin (advisor) ; Vitali, Sebastiano (referee)
One of the major issues in practical calculation in life insurance - typically value of liabilities, value of the company, pricing,... - is that the calculations run times are very long. This work should investigate possible approaches how to speed up the calculation (cluster analysis, flexing,...). If the results are positive, it can have crucial practical applications 1
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Interest Rate Models - Practical Aspects
Hakala, Michal ; Janeček, Martin (advisor) ; Sitař, Milan (referee)
Topic of the master thesis is practice of interest rate models. Literature dedicated to the interest rate models usually presents theory in very general form. Theory presented in general form leads to a gap between theory and practice. Author tries to fill this gap. Thesis describes basic theory and presents practical computations, which are relevant to generating interest rate scenarios. Contribution is given by derivation of formulas and computational methods in form directly applicable for implementation of presented models. It is common practice to validate quality of interest rate scenarios. Author presents several tests and implements them in programming language Python. Tests are implemented as application with graphical user interface.
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Evaluation methods of life indurance products
Fojtík, Jan ; Janeček, Martin (advisor) ; Lozsi, Imrich (referee)
The thesis deals about methods widely used for life insurance products evaluation from the clients perspective. These methods of evaluation are important mainly for comparisons of several insurance products. One of goals of the thesis is to analyze existing methods used for evaluation of insurance products and discuss their suitability for comparing life insurance products. These methods are based mainly on cost analyses because they were originally developed especially for investments projects comparisons. The main goal of the thesis is to create new indices for comparing life insurance products. These new indices are supposed to resolve imperfections of regularly used evaluation methods. They are also designed to cover all functions of life insurance therefore they are supposed to provide with more coherent information for comparisons. The indices are based on knowledge of life insurance products, probability, demography, financial and insurance calculus.
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Possible ways of determining value of Life Insurance Company
Zaderlíková, Šárka ; Janeček, Martin (advisor) ; Bílková, Diana (referee)
This thesis is focused on describing chosen methods used in liabilities valuation of Life Insurance Company. This is the basis for a valuation of whole Insurance Company. Next goal is real valuation of liabilities and the whole company. The value of liabilities is computed with the Market Consistent Embedded Value methodology and valuation of the company is expresed with Appraisal Value, which is currently one of the most widely used methods for valuation of a life Insurance Company. The valuation is based on values of a fictious company, but the used insurance portfolio corresponds with real life data. The valuation is computed in pessimistic, middle and optimistic variant of company development. Closing this thesis is a sensitivity analysis of assumptions, influencing value of MCEV, where a change of the costs and commisions proved to be of most significance.
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