National Repository of Grey Literature 172 records found  1 - 10nextend  jump to record: Search took 0.01 seconds. 
Multivariate Volatility Modeling
Jurák, František ; Zichová, Jitka (advisor) ; Cipra, Tomáš (referee)
This thesis deals with the formulation and estimation of the multivariate GARCH model. It mentions the various parameterizations of the multivariate GARCH model and discusses the relationships between them. The necessary and sufficient conditions for covariance stationarity of the multivariate GARCH model are presented, as is the maximum likelihood estimation of the parameters of the model. The thesis also includes estimation of the parameters of the bivariate GARCH(1,1) model for real time series using EViews. 1
Multiline aggregate XL-reinsurance
Šuchová, Martina ; Mazurová, Lucie (advisor) ; Cipra, Tomáš (referee)
This paper focuses on simulation modeling of the total aggregate reinsurer claim S when considering XL.reinsurance for multiple insurance lines. In the first part, this re- insurance structure is defined. In the second part of the paper, the collective model is approached, as well as the definition of copulas (comonotony copula, independence co- pula, Clayton's or Gumbelt's copula), and Sklar's theorem. The last part discusses a simulation study that shows the simulation of aggregate claims when considering inde- pendence as well as dependence of insurance industries. The simulation study outlines the theoretical approach in the introduction, explaining the heuristic algorithm it uses in simulating dependent industries. The conclusion of the study depicts one of the practical applications, and the outputs of the simulations. 1
Additivity of Chain-Ladder method for projection of technical provisions in non-life insurance
Němec, Adam ; Cipra, Tomáš (advisor) ; Kříž, Pavel (referee)
This bachelor thesis deals with the subject of additivity of projections obtained by the Chain Ladder method in the corresponding cumulative development triangles. The reader first gets acquainted with the Chain Ladder method itself and then one presents basic theoretical insights concerning the additivity of projections and the related projection inequality. It also discusses practical interpretation, which it demonstrates us- ing real reinsurance data. Moreover, standard errors of projections in triangles are briefly described in a separate chapter using basic theory of probability and applied in the given numerical study. 1
Claim inflation in car insurance
Neumann, Vojtěch ; Kříž, Pavel (advisor) ; Cipra, Tomáš (referee)
This thesis explores the practical use of generalized linear models. The aim of the thesis is to analyze the claims inflation for Motor Third Party Liability Insurance. For this purpose, current data from a Czech insurance company are provided. In the thesis, a generalized linear model is constructed in detail based on specified criteria. From the model, the effect of inflation is identified and its value for the given period is determined. 1
Multivariate volatility forecasts for large portfolios
Vágner, Jan ; Cipra, Tomáš (advisor) ; Prášková, Zuzana (referee)
One deals with the estimation and consequent forecast of the integrated covariance matrix in the context of high-frequency stock price data and high dimensionality regarding the number of analyzed assets. We present several methods for the integrated covariance estimation and then use these estimates as a basis for forecasting models. We mainly focus on the multivariate extensions of the HAR model. Finally, in the empirical study, we compare different model-estimator combinations (based on 5-min interval observation and 50 assets) using economic and statistical evaluation. Economic evaluation is based on portfolio optimization, including transaction costs. 1
Transient behavior of bonus-malus systems
Tichá, Tereza ; Mazurová, Lucie (advisor) ; Cipra, Tomáš (referee)
This thesis deals with bonus-malus systems in car insurance. First of all, the basic no- tation is introduced and the principles are described on the basis of which these systems can be modeled using homogeneous Markov chains. The development of bonus-malus systems is usually evaluated using various characte- ristics such as relativity or elasticity, which are calculated on the basis of a stationary distribution. However, these calculations only make sense if the stationarity is reached in a reasonable time. However, for real systems, this time is much longer than the time the driver spends in the portfolio. Therefore, an alternative possibility of evaluation using the age correction of the stationary distribution is propo- sed. Finally, the use of stationary and age-corrected distributions is compared for specific examples in the practical part. 1
Distributed lag models
Dian, Patrik ; Cipra, Tomáš (advisor) ; Hudecová, Šárka (referee)
The aim of this bachelor thesis is to unite the theory about distribu- ted lag models and autoregressive distributed lag model, which includes lagged dependent variables and application of these models on real data. The properties of these models are also presented. Dynamic models are highly used for financial and economic data because of their ability to capture lagged effect on dependent variable. As a similar topic there are mentioned models of intervention analysis which are used to examine the external effects on time series and to model the in- terventions using indicator variables. Finally, applications of mentioned models on two data sets are introduced and analysis of the effect of coronavirus pandemic on time series is demonstrated. 1
Causality in multiple time series
Kusenda, Ondrej ; Pešta, Michal (advisor) ; Cipra, Tomáš (referee)
The bachelor thesis describes causality in multiple time series. Mul- tiple time series are formulated by using vector autoregressive models (VAR). The general properties of the VAR model are defined in the thesis . Model cre- ation involves VAR order selection, estimation of its parameters and checking the properties of the VAR model. The basic concepts of the Granger and instan- taneous Granger causality and theorems for the classification of these relations are defined in the thesis. Tests for the Granger and instantaneous Granger causality are described on suitable models. Subsequently, theoretical knowledge is applied to real data, which are available in the database in the program R. The practical part of the bachelor thesis is performed in the program R. 1
Vector autoregression
Jelenčiak, Jakub ; Cipra, Tomáš (advisor) ; Prášková, Zuzana (referee)
Vector autoregression model VAR belongs to the most used multiple time series models mainly in field of financial econometrics. The main role of this text is to survey basic theory of VAR models and to illustrate application of theory on real data. At first the properties of multiple time series and basic linear models are described. Then we focus on the VAR model, more specifically on its description, construction and application. In the construction subsection our primary focus is on the order identification, model estimation by OLS method and diagnostics. In the diagnostics basic assumptions of the model are checked, more specifically stationarity, correlation of the residuals and normality. In applications we focus on explanation and description of Granger causality. In the last section previously described theory is applicated on real data in two examples. On them we illustrate construction of the VAR model. Furthermore, in the second example we also analyze causality and discuss the results. 1
Modelling mortality differentials by age
Šuléřová, Natálie ; Mazurová, Lucie (advisor) ; Cipra, Tomáš (referee)
This diploma thesis deals with sex-specific mortality modelling, that is modelling in two populations - female and male, with emphasis on models considering the inter- dependence between these populations. Four models were theoretically described in the thesis - independent Lee-Carter model, the common factor model, the augmented com- mon factor model and the credibility model. All models were then applied to real mortality data in the female and male population of the Czech Republic and compared with each other. Mortality rates for Czech females and males were predicted by selected models. Finally, the effect of including a common factor in mortality modelling was analyzed in comparison with independent modelling in both populations as the difference in a lia- bility value arising from selected life insurance products. 1

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