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Modelling the Loss Development in Time with Aid of Copulas
Obdržálková, Ludmila ; Šváb, Jan (advisor) ; Justová, Iva (referee)
There is proposed and described stochastic approach of calculation of IBNR reserve based on modelling loss development in time using copulas in this thesis. The first chapter determinates basic terms of copula theory and gives compact summary of most widely known copula families. Particular steps of calculation of IBNR reserve follow in the second chapter. The calculation is demonstrated numerically over the casco insurance. The resultant distribution is compared with distribution obtained by Mack's model for the Chain ladder method.
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Investment of Czech Pension Funds
Obdržálková, Ludmila ; Hurt, Jan (advisor) ; Zichová, Jitka (referee)
Xazev prace: Invesfovam penzijnich iondu C'H Au tor: Ludmila. Obdrzalkova Katedra (ustav): Katedra pravdepodobnosli a inatematicke .statistiky Vedouci bakalarske prace: Doc. RNDr. .Inn Hurt, CSc. e-n ia,il vcdoucfho: Jau.Hurt'tMiifi'.cuni.c/ Abstrakt: V predlozeiie pnici stiulujcinc investovani pen/ijiu'cli fondu Coske republiky zc t.fi hlcdi.sok - vvnosnosti. ri/ika a likvidity. Popisujrmt1 inve.siicni strategii {}onzijin'ch fondu, rizikasouviseJR-i s invc^slovani'in, invcsticni ])ort.fo- lia pcnzijni'ch fondu a invest irnf limity aoiruvenf. ktere jsou pro ne stanovciiy zakoncin o jx'nzijniiu ])fi]K)jisten(. V uvodnfch dvou kapitolach se navic se- zn^ininjrine s Icgisla.t.iviii lipravon ]xnizijiii'lio ])ri])ojistr'ni a aktuaine aktivno ]>u,sobk'inii iicnzijninii fondy v Coske republico. Klicova slova: invcstovani, pcnzijni fond, portfolio Title: Investinent of Czech Pension Funds Author: Ludmila Obdrzalkova Depii.rtnient: Department of Probability and Mathematical Statistics Supervisor: Doc. UNDr. .Jan Hurt. ("Sc. Supervisor's e-ma.il address: Jan.lhul'O.'inff.cuiii.cz Abstract: In this thesis \vestndy investment of Czech pension funds from the three point of view: profitability, risk, and liquidity. \Ve describe investment strategy of pension funds, investment related risks, investment portfolios oi...
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Modelling the Loss Development in Time with Aid of Copulas
Obdržálková, Ludmila ; Justová, Iva (referee) ; Šváb, Jan (advisor)
There is proposed and described stochastic approach of calculation of IBNR reserve based on modelling loss development in time using copulas in this thesis. The first chapter determinates basic terms of copula theory and gives compact summary of most widely known copula families. Particular steps of calculation of IBNR reserve follow in the second chapter. The calculation is demonstrated numerically over the casco insurance. The resultant distribution is compared with distribution obtained by Mack's model for the Chain ladder method.
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Investment of Czech Pension Funds
Obdržálková, Ludmila ; Zichová, Jitka (referee) ; Hurt, Jan (advisor)
Xazev prace: Invesfovam penzijnich iondu C'H Au tor: Ludmila. Obdrzalkova Katedra (ustav): Katedra pravdepodobnosli a inatematicke .statistiky Vedouci bakalarske prace: Doc. RNDr. .Inn Hurt, CSc. e-n ia,il vcdoucfho: Jau.Hurt'tMiifi'.cuni.c/ Abstrakt: V predlozeiie pnici stiulujcinc investovani pen/ijiu'cli fondu Coske republiky zc t.fi hlcdi.sok - vvnosnosti. ri/ika a likvidity. Popisujrmt1 inve.siicni strategii {}onzijin'ch fondu, rizikasouviseJR-i s invc^slovani'in, invcsticni ])ort.fo- lia pcnzijni'ch fondu a invest irnf limity aoiruvenf. ktere jsou pro ne stanovciiy zakoncin o jx'nzijniiu ])fi]K)jisten(. V uvodnfch dvou kapitolach se navic se- zn^ininjrine s Icgisla.t.iviii lipravon ]xnizijiii'lio ])ri])ojistr'ni a aktuaine aktivno ]>u,sobk'inii iicnzijninii fondy v Coske republico. Klicova slova: invcstovani, pcnzijni fond, portfolio Title: Investinent of Czech Pension Funds Author: Ludmila Obdrzalkova Depii.rtnient: Department of Probability and Mathematical Statistics Supervisor: Doc. UNDr. .Jan Hurt. ("Sc. Supervisor's e-ma.il address: Jan.lhul'O.'inff.cuiii.cz Abstract: In this thesis \vestndy investment of Czech pension funds from the three point of view: profitability, risk, and liquidity. \Ve describe investment strategy of pension funds, investment related risks, investment portfolios oi...
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