Original title: Sekuritizace rizik v životním pojištění
Translated title: Risk securitization in life insurance
Authors: Stacho, Miroslav ; Mandl, Petr (referee) ; Přecechtělová, Tereza (advisor)
Document type: Master’s theses
Year: 2009
Language: cze
Abstract: 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.

Institution: Charles University Faculties (theses) (web)
Document availability information: Available in the Charles University Digital Repository.
Original record: http://hdl.handle.net/20.500.11956/27653

Permalink: http://www.nusl.cz/ntk/nusl-282847


The record appears in these collections:
Universities and colleges > Public universities > Charles University > Charles University Faculties (theses)
Academic theses (ETDs) > Master’s theses