Název:
Analýza aproximací technických rezerv v Solventnosti II
Překlad názvu:
The analysis of approximations of technical reserves in Solvency II
Autoři:
Kvardová, Lucie ; Justová, Iva (vedoucí práce) ; Mandl, Petr (oponent) Typ dokumentu: Diplomové práce
Rok:
2009
Jazyk:
cze
Abstrakt: In the present work we study the alternatives in the valuation of technical provisions under the Solvency II. We are concerned on set of proposals which are about the usage of proxies released in the fourth Quantitative Impact Study. The proxy is an approach for the calculation of the best estimate for those companies which do not have the sufficient statistical data in order to carry out a proper actuarial calculation. This work is based on application of proxy to the traditional actuarial techniques. There is also a description of supervisors procedure how to derive market parameters based on claims development scheme of each insurance company. The next chapter is focused on model error calculation and gives us an information whether the proxy method is proper and reliable. There is also a need of risk margin calculation to meet the insurers obligations. This work also enumerates a number of risk margin's proxies.