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Some aspects of calculating solvency of insurance companies according to the principles of Solvency II
Hradecký, Ondřej ; Janeček, Martin (advisor) ; Černý, Michal (referee)
The diploma thesis focuses on the topic of the future regulatory regime of the insurance and reinsurance market of the European Union called Solvency II. Currently the most discussed issue without a final structure is an extensive set of legislative and technical changes not only in the area of solvency treatment. Primarily, the work focuses on the standard formula calculation of capital requirements that reflect the solvency position of companies on the market. The first part deals with the theoretical description of the calculating methods of the required capital levels under current and future rules on the basis of available official documents. Further the general overview of the Solvency II is presented, a more detailed description of the valuation techniques of balance sheet items for the purposes of Solvency II, dealing with company's own funds and possible ways to optimize the asset portfolio are also included. Some theoretical descriptions of computational procedures applied on a fictitious life insurance company are presented in the second, more practical part of the diploma thesis.
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Eight ICT trends that will change libraries
Černý, Michal
Informační společnost i rychle se rozvíjející ICT proměňují vše kolem nás – od vzdělávání, přes dopravu až třeba právě po knihovny. Příspěvek představí osm technologií, které do deseti let začnou měnit knihovny téměř k nepoznání: Internet věcí; big data; veřejné multimediální displeje; firemní sociální sítě; cloud; nové mobilní sítě; zpracování přirozeného jazyka či sémantické technologie. Co bude tato změna znamenat pro knihovny? Jak se změní jejich postavení v informační společnosti?
Video: MP4
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System model of organizations management
Černý, Michal ; Mildeová, Stanislava (advisor) ; Dalihod, Martin (referee)
Necessary for the existence of every successful organization is achieving its objectives. In order to achieve these objectives, the organization must be properly managed. In today's rapidly changing times, one of the key areas of managerial work is also use various tools to support management and decisive actions. One of these tools include model development and subsequent implementation of the model simulations. Models provide the ability to experiment with various decisions, and thereby provide a basis for establishing appropriate policies and strategies. And these models properties can be used in the management of organizations. For creation of models exist many different approaches. One of these approaches is systems approach, which is including system dynamics. The task of this text was to establish a framework for the formation of systemic management model any organization that would help managers to improve management of the organization. To achieve this goals is necessary to develope general model of organization elements, describe their possible links and determine methodology of creating a system model of the organization.
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Price of Volatility of Financials Assets
Gříšek, Lukáš ; Černý, Michal (advisor) ; Chrobok, Viktor (referee)
This diploma thesis describes problem of change-points in volatility of the time-series and their impact on price of nancial assets. Those change-points are estimated by using statistical methods and tests. Change-point estimation was tested on simulated datas and real world driven datas. Simulation helped to discover signi cant characteristics of change-point test, those data were simulated with using stochastic calculus. Google share prices and prices of call options were chosen to analyse impact of volatility change on those prices. Also implied volatility and its impact to call option price was analysed.
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Constraint Programming as Means for Solving Discrete Problems
Janečková, Jitka ; Fábry, Jan (advisor) ; Černý, Michal (referee)
Application of constraint programming (CP) is one of the possible ways of solving discrete problems. It can be used for both search for feasible solution and optimization. CP offers a whole range of approaches for either a solution search or for acceleration of the process of its search -- from search algorithms or consistency techniques to propagation algorithms, which are basically only a combination of the two preceding methods. For optimization we most often use branch and bound approach, which differs in some aspects from a method of the same name used in mathematical programming (MP). Comparison of CP and MP is interesting in many other aspects. With CP the formulation of problems is more flexible, which allows for creation of often simpler and smaller models. On the other hand, its disadvantage is a limited use: Constraint satisfaction (optimisation) problem, as we call the constraint programming problem, cannot contain any discrete variables. CP is suitable especially for problems with a lot of constraints and only few variables, ideally only two. In the beginning, the paper introduces the basic terms of constraint programming, then it describes algorithms and techniques used for solving discrete problems and compares CP with mathematical programming.
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The Bankruptcy Rules in Linear Ordered Structures
Muchna, Jan ; Pánková, Václava (advisor) ; Černý, Michal (referee)
The bankruptcy problem involves the distribution of perfectly divisible goods. Particular attention is paid to the situations, where the amount of goods available is not enough to cover the demand. An example of real life situations that can be solved using various bankruptcy rules may be a division of a heritage or when a company goes bankrupt and its estates are sold to satisfy interested parties' claims. This paper introduces to the problem a linear structure of the participants, meaning that participants are now satisfied one after another in a preset order. It applies the equal awards (CEA) and the equal losses (CEL) solutions on the revised problem. Since their axiomatization is no longer valid, both solutions are extended and new characterizations are given in the thesis. The thesis contains a series of original proofs for both extended solutions and whole problem is examined in the setting of the well-known river sharing problem.
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