Original title: Rizikové přirážky v testu postačitelnosti rezerv životního pojištění
Translated title: Risk Margins in the Liability Adequacy Test for Life Insurance
Authors: Sotona, Petr ; Senft, Tomáš (advisor) ; Mandl, Petr (referee)
Document type: Master’s theses
Year: 2009
Language: cze
Abstract: In the present thesis we study risk margins in the liability adequacy test for life insurance. First we look at the theory of risk margins and liability adequacy test. We discuss desirable characteristics of the risk margins and the methods used to their evaluation. We show risk margins from di erent aspects and views as well. In second part of the thesis we introduce the model of product for endowment and we describe contractual cash flows. We also construct generation mortality tables for use in described model. Afterwards we evaluate risk margin for mortality risk using stochastic modelling. Finally we compare calculated risk margin with value of the margin calculated by current approach recommended to calculation of LAT in the Czech Republic and analyse results.

Institution: Charles University Faculties (theses) (web)
Document availability information: Available in the Charles University Digital Repository.
Original record: http://hdl.handle.net/20.500.11956/20789

Permalink: http://www.nusl.cz/ntk/nusl-479741


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