Název:
Sekuritizace rizik v životním pojištění
Překlad názvu:
Risk securitization in life insurance
Autoři:
Stacho, Miroslav ; Mandl, Petr (oponent) ; Přecechtělová, Tereza (vedoucí práce) Typ dokumentu: Diplomové práce
Rok:
2009
Jazyk:
cze
Abstrakt: In the presented work we focus on securitization of two major technical risks in life insurance - longevity risk and catastrophic mortality risk. We show some particular examples of issued bonds and some theoretical constructions of mortality linked derivatives. We mention several models applicable for projection of mortality and requirements on these models. Problems connected with projection will be discussed. We describe methods used for pricing these securities, ie. pricing by transformation of probability distribution.