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Credit Risk Modelling for Insurance Solvency Purposes
Bošeľa, Michal ; Hurt, Jan (referee) ; Lozsi, Imrich (advisor)
In this work we study credit risk pricing models from an information based pespective. This perspective implies that to distinguish which model is applicable, structural or reduced form, one needs to understand what information is available to the modeler. We also deal with a new information-based framework for credit risk modelling that is concerned with how to model the market ltration by use of the concept of partial information. This framework avoids the use of inaccesible stopping times. The pricing of several credit risk derivatives is discussed in an information-based framework. Applications of the information-based approach to insurance claims reserves and credit portfolio risk are discussed as well.
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Evaluation methods of life indurance products
Fojtík, Jan ; Janeček, Martin (advisor) ; Lozsi, Imrich (referee)
The thesis deals about methods widely used for life insurance products evaluation from the clients perspective. These methods of evaluation are important mainly for comparisons of several insurance products. One of goals of the thesis is to analyze existing methods used for evaluation of insurance products and discuss their suitability for comparing life insurance products. These methods are based mainly on cost analyses because they were originally developed especially for investments projects comparisons. The main goal of the thesis is to create new indices for comparing life insurance products. These new indices are supposed to resolve imperfections of regularly used evaluation methods. They are also designed to cover all functions of life insurance therefore they are supposed to provide with more coherent information for comparisons. The indices are based on knowledge of life insurance products, probability, demography, financial and insurance calculus.
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