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Interest rate spreads on government bonds
Antoniewiczová, Petronella ; Žák, Kamil (advisor) ; Hurt, Jan (referee)
This work deals with the breakdown of government bonds yields on the risk components. More specifically it deals with cost of liquidity capital, loss of illiquidity and expected default losses. In the beginning we explain the characteristics of bonds, particularly government bonds, further we deal with some of elements which may break up the government bonds yields. Finally, we implement the interest rates of bonds of three EU member states.
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Výpočet rizikového kapitálu pro investiční životní pojištění
Coufal, Tomáš ; Lukášek, Josef (advisor) ; Mazurová, Lucie (referee)
Title: Risk capital calculation in invesment life insurance Author: Bc. Tomáš Coufal Department/Institute: Department of Probability and Mathematical Statis- tics Supervisor of the master thesis: Mgr. Josef Lukášek Supervisor's e-mail address: Josef.Lukasek@allianz.cz Abstract: Unit linked insurance is a modern and flexible life insurance product. The last decade was marked by the raising popularity of unit linked insurance. The discussions conserning the impact of the new directive Sol- vency II on the life insurance business focus mainly on the traditional life insurance. This paper examines the issue of the calculation of the risk capital for unit linked insurance. Analysis of the impact of different death guaran- tees, forms of premium payment, time to maturity and dynamic policyholder bahaviour on the risk capital is presented. Keywords: Unit linked insurance, Solvency II, Risk capital, Solvency capital requirement
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Capital requirements for insurance companies under Solvency II and its quantification
Kožár, Martin ; Pleška, Martin (advisor) ; Justová, Iva (referee)
This thesis studies project Solvency II, which is focused on the integrated regulation of insurance market in the European Union. It presents basic division and capital requirements arising from it. It describes division of the project into the three areas, refered to as pillars in practice. The thesis summarizes the basic methods for measuring the risk (Value at Risk, Tail Value at Risk), necessary in the calculation of the solvency capital requirements. The thesis studies the method of calculation of the solvency capital requirement SCR and the minimum capital requirement MCR. The calculation of the SCR is focused mainly on the method of the calculation of the capital requirement using the standard formula. Lastly, capital requirements are calculated using concrete data set.
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Oceňování aktiv a pasiv v účetnictví komerčních pojišťoven dle české legislativy a IAS/IFRS
Weiglová, Iveta
The objective of this thesis is to compare measurement of assets and liabilities in the financial statements of insurance companies according to Czech legislation and International Financial Reporting Standards. The theoretical element contains an overview of measurement bases for assets and liabilities according to Czech accounting regulation, IAS/IFRS and Solvency II and analysis of impacts of amendments to Czech Accounting Act and Act on insurance relating to this issue. The theoretical findings are then applied to financial statements of a particular insurance company and the impacts of different measurement methods on significant items of financial statements are identified.
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Zhodnocení finančního zdraví komerčních pojišťoven v rámci seskupení G8 a Evropské unie
Hrabalová, Eliška
The diploma thesis explores assessing financial soundness of insurance companies present on the insurance markets of the European Union and G8. The aim of this thesis is to evaluate financial performance of selected insurance companies in a selected time period 2004 - 2014 by using ratio analysis. The thesis focuses on life insurance companies and development of insurance markets as a consequence of the financial crisis. In connection to the development of insurance markets the thesis examines the financial crisis and its impacts as a regulation of the selected formations, mainly through regulatory framework Solvency II. Development of insurance markets is demonstrated by the indicator of return on assets. At the end of the diploma thesis, a discussion with experts on this issue is included and an overall evaluation of financial soundness is provided as well.
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Counterparty risk in reinsurance
Kohout, Marek ; Cipra, Tomáš (advisor) ; Pešta, Michal (referee)
The main goal of this Bachelor thesis is to present a survey of methods for cal- culating the required capital to cover the default risk of reinsurers in the frame- work of the regulatory system Solvency II in EU. The methods are based on so-called common shock principle which is preferred in the case of portfolios with a smaller number of heterogeneous counterparties (e. g. reinsurers). In difference from (Hendrych and Cipra, 2018) the case with flexible weights of particular reinsurers given by their LGD (loss given default) is considered. One discusses the results of extensive numerical study comparing particular methods. 1
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Reinsurance optimization using stochastic programming and risk measures
Došel, Jan ; Branda, Martin (advisor) ; Cipra, Tomáš (referee)
Title: Reinsurance optimization using stochastic programming and risk measures Author: Jan Došel Department: Department of Probability and Mathematical Statistics Supervisor: RNDr. Martin Branda, Ph.D., Department of Probability and Mathe- matical Statistics Abstract: The diploma thesis deals with an application of a stochastic progra- mming in a reinsurance optimization problem in terms of a present regulatory framework of the insurance companies within the European Union, i.e. Solvency II. In this context, the reinsurance does not only transfer a portion of the risk to the reinsurer but also reduces an amout of required capital. The thesis utilizes certain risk measures and their properties, premium principles and non-linear in- teger programming. In the theoretical part, there are basic terms from Solvency II, reinsurance, risk measures and the comonotonicity of random variables descri- bed and the optimization problem itself is derived. The approach is then applied in the practical part on data of Czech Insurers' Bureau using the GAMS software. Finally, a stability of the solution is tested depending on several parameters. Keywords: reinsurance optimization, stochastic programming, Solvency II, risk measures 1
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Development of the Czech insurance market from the point of view of the life insurance
Vazačová, Zuzana ; Ducháčková, Eva (advisor) ; Mazáček, David (referee)
This thesis analyzes the development of the Czech insurance market from the point of view of the life insurance in the last 8 to 10 years. The thesis is divided into 4 chapters. The thesis defines the theoretical concepts of life insurance and insurance market. The development indicators of the insurance market are described, more precisely are characterized six of them. Last but not least, external and internal factors that have an impact on the development of life insurance in the Czech Republic are explained. Greater attention is paid to those who are currently active on the Czech insurance market. The last chapter focuses on current trends in life insurance. The chapter also includes interviews and a summary of possible future developments in the insurance market.
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Solvency II: solvency in insurance
Čáha, Pavel ; Cipra, Tomáš (advisor) ; Mazurová, Lucie (referee)
This thesis is dedicated to Solvency II, a regulatory framework for insurance and reinsurance companies effective in European Union. Firstly, it explains the notion solvency and also describes the principles of the regulation itself. Another part is focused on the calculation of solvency capital requirement and minimal capital requirement, using standard formula. The capital requirements are derived on the level of risk modules and their submodules. Furthermore, the topic of technical reserves is discussed and emphasis is placed on the derivation of mean square error of prediction. Described methods are Chain-Ladder and Bornhuetter-Ferguson. The last part of the thesis includes the calculation of capital requirements for real data. A program SolvencyII.xlsx that shows particular derivations is enclosed.
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Solvency Internal models
Mertl, Jakub ; Cipra, Tomáš (advisor) ; Mazurová, Lucie (referee) ; Jedlička, Petr (referee)
Title: Solvency Internal models Author: Mgr. Ing. Jakub Mertl Abstract: The subject of thesis is assessment of calculation methods on capital adequacy of currently implemented regulation in insurance industry called Solvency II. The aim of the thesis is to build up a partial internal model fulfilling the condition of Solvency II. The thesis deals with the premium and reserve risks that are essential part of non-life business. Different approaches of risk assessment are described and aggregation of those risks as well. An important part of the thesis is a numerical example illustrating presented methods.
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