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National Repository of Grey Literature 3 records found  Search took 0.00 seconds. 
Risk quantification in annuity insurance
 Berdák, Vladimír ; Mazurová, Lucie (advisor) ; Branda, Martin (referee)
The thesis examines the impact of individual risks on an annuity product. It focuses on the deffered whole life annuity and on two basic risks, which affect the overall loss the most. These are interest rate risk and longevity risk. We choose standard deviation (σ), value at risk (VaR) and expected shortfall (ES) at different confidence levels for target risk measures. Hoeffding decomposition is used to split the overall loss. Then Euler allocation principle will show the distribution of individual risks for different entry ages.
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Risk quantification in annuity insurance
 Berdák, Vladimír ; Mazurová, Lucie (advisor) ; Branda, Martin (referee)
The thesis examines the impact of individual risks on an annuity product. It focuses on the deffered whole life annuity and on two basic risks, which affect the overall loss the most. These are interest rate risk and longevity risk. We choose standard deviation (σ), value at risk (VaR) and expected shortfall (ES) at different confidence levels for target risk measures. Euler allocation principle and Hoeffding decomposition are used to split the overall loss. These methods will show the distribution of individual risks for different entry ages.
Detailed record
Applications of Markov chains
 Berdák, Vladimír ; Beneš, Viktor (advisor) ; Kadlec, Karel (referee)
The goal of the thesis is the use of Markov chains and applying them to algorithms of the method Monte Carlo. Necessary theory of Markov chains is introduced and we are aiming to understand stationary distribution. Among MCMC methods the thesis is focused on Gibbs sampler which we apply to the hard-core model. We subsequently simulate distribution of ones and zeros on vertices of a graph. Statistical characteristics of the number of ones are estimated from realizations of MCMC and presented in figures.
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