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Methods of Calculation of Fair Value in Pension Insurance with a State Premium
Koudelka, Pavel ; Finfrle, Pavel (advisor) ; Mandl, Petr (referee)
The supplementary pension insurance with state contribution is a specific product of our insurance market which fulfills the definition of the insurance contract according to the International Accounting Standards in almost all cases. This diploma thesis describes the pension insurance in the Czech Republic and the present state and plans of the International Accounting Standards for accounting concerning insurance contracts { specially accounting concerning fair value of liabilities. Further, we mentioned the risk neutral approach which has been used for pricing of nancial market instruments for a quite long time. This is the basis for the suggested model of the fair value calculation of the liabilities of a pension fund where two-factor model of the instantaneous intensity of the interest rate is used.
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Finite reinsurance
Žďárský, Pavel ; Bohumský, Petr (advisor) ; Mandl, Petr (referee)
This thesis is divided into six chapters. The introduction reminds the appendages of traditional reinsurance. Definition, functions and clear generalization of both types and common provisions of finite reinsurance contracts is summarized in the second chapter. The third chapter is engaged in the available regulatory rules which relates with finite reinsurance. There is a preparatory act of the Czech Insurance law, the American standard FAS 113 and the European standard IFRS 4 described. Text is concentrates in different requirements on risk transfer of these standards. The fourth chapter describes risk transfer methods, which have been used until recently. Next, there is made a proposal of a new method, method of partial risk transfer, which eliminates significant shortcomings of the currently used methods. Features of partial risk transfer methods, comparing to other methods are described on two practical examples. There is a possible way of partial risk transfer accounting delineated in the fifth chapter. The conclusion is the summary of benefits of the new method.
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An Analysis of Formulae for Capital Adequacy of Non-Life Insurance Companies
Hůdová, Klára ; Mandl, Petr (advisor) ; Justová, Iva (referee)
This diploma thesis compares methods for capital adequacy of non-life insurance companies and shows their possible improving. The thesis denotes determining capital requirement according to Schnieper due to the ruin probability. The Schnieper's model uses covariances between total risk and individual risks, that threatend the insurance company, to describe dependences between the risks. This model is extended by using knowled ge recited at MFF UK. We use logarithm-linear model for prediction of claims. The method of determining the whole capital requirement and the capital alocated for individual risks is applied to coucrete data. We briefiy describe the Risk Based Capital formula .
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Semi-markov model for credit risk management
Benková, Markéta ; Mandl, Petr (advisor) ; Laušmanová, Monika (referee) ; Keprta, Stanislav (referee)
With the arrival of the New Basel Capital Accord, which was acknowledged by most of Czech banks during the years 2007 and 2008, the importance of internal ratings for the assessment of the health of the whole financial sector has grown tremendously. Internal ratings are now used for the calculation and allocation of capital, as well as for the determination of interest rates and margins. It is the changes of internal ratings which are obvious applications of the multi-states models. Through the use of methods usual for the Semimarkovian chains analysis, it is possible to analyze the structure of the internal ratings changes, to monitor the periods between successive changes, and to focus also on the transition matrices themselves. The important part of this work is the comparison of given parameters as observed during steady times, and during the nancial crises, which dates from the fall of the Lehman Brothers in September 2008.
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Prediction error in non-life claims reserves
Divišová, Kateřina ; Justová, Iva (advisor) ; Mandl, Petr (referee)
This thesis deals with a description of three claims reserving methods - with stochastic models for Chain ladder, Bornhuetter/Ferguson and multiplicative method. There are mentioned their assumptions, parameter estimates, their properties and formulas for loss reserves in the first part. The second part of the text is devoted to formulas for the mean squared error of prediction and its estimate. Finally, a numerical example shows comparison of these methods.
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The economic capital and the price of risk in a pension fund
Čupák, Matúš ; Finfrle, Pavel (advisor) ; Mandl, Petr (referee)
In the present work we study the economic capital of pension funds and their possible extension into the new concept of Solvency II. The main task is to examine the risks that are characteristic for pension fund activity. We use several modified stress simulations, which we model using a virtual model of pension fund. Primarily we focus on changes in net asset value (NAV) which is used in standard formula for calculation of the solvency capital requirement (SCR). In conclusion, we evaluate the possible impact of applications Solvency II to pension funds, the resulting economic capital and solvency of modeled pension fund.
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Stress testing in quantitative analysis of securitized products
Maťašová, Dominika ; Myška, Petr (advisor) ; Mandl, Petr (referee)
In the present work we study the securitized products of financial markets with focus on collateralized debt obligations. In first part the thesis deals with the reasons behind launching these products, the portfolio, tranches and further on mechanisms how these structures are working. In the second part the thesis describes the valuation methods for which the Markov chains and copula functions are used. Further on follows the practical part with output from the quantitative analysis and at the end the thesis describes the stress testing of particular parametres.
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The Application of the Markov Chains in Credit Risk Models
Bořánek, Jan ; Mandl, Petr (referee) ; Benková, Markéta (advisor)
Credit risk management has become the key instrument for better portfolio diversification and related minimalization of possible loss. Upon the credit risk management we can estimate amount of company's loss brought with creditworthiness of its obligors. Lots of models dealing with credit risk have been developed and most of them are based on Markov Chains theory. This theory also makes up the basis of CreditMetrics, the model which we introduce. Rating migration matrix is the basic input into this model. Two chapters are concerned with constructing and modifying of such matrices. Other chapters deal at firs with general simulation and data analysis on the real credit portfolio come after. CD with input data and computational procedure in Mathematica is also added. The code is pasted as an appendix, too.
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