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Finite reinsurance
Žďárský, Pavel ; Mandl, Petr (referee) ; Bohumský, Petr (advisor)
This thesis is divided into six chapters. The introduction reminds the appendages of traditional reinsurance. Definition, functions and clear generalization of both types and common provisions of finite reinsurance contracts is summarized in the second chapter. The third chapter is engaged in the available regulatory rules which relates with finite reinsurance. There is a preparatory act of the Czech Insurance law, the American standard FAS 113 and the European standard IFRS 4 described. Text is concentrates in different requirements on risk transfer of these standards. The fourth chapter describes risk transfer methods, which have been used until recently. Next, there is made a proposal of a new method, method of partial risk transfer, which eliminates significant shortcomings of the currently used methods. Features of partial risk transfer methods, comparing to other methods are described on two practical examples. There is a possible way of partial risk transfer accounting delineated in the fifth chapter. The conclusion is the summary of benefits of the new method.
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The analysis of approximations of technical reserves in Solvency II
Kvardová, Lucie ; Mandl, Petr (referee) ; Justová, Iva (advisor)
In the present work we study the alternatives in the valuation of technical provisions under the Solvency II. We are concerned on set of proposals which are about the usage of proxies released in the fourth Quantitative Impact Study. The proxy is an approach for the calculation of the best estimate for those companies which do not have the sufficient statistical data in order to carry out a proper actuarial calculation. This work is based on application of proxy to the traditional actuarial techniques. There is also a description of supervisors procedure how to derive market parameters based on claims development scheme of each insurance company. The next chapter is focused on model error calculation and gives us an information whether the proxy method is proper and reliable. There is also a need of risk margin calculation to meet the insurers obligations. This work also enumerates a number of risk margin's proxies.
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Risk securitization in life insurance
Stacho, Miroslav ; Mandl, Petr (referee) ; Přecechtělová, Tereza (advisor)
In the presented work we focus on securitization of two major technical risks in life insurance - longevity risk and catastrophic mortality risk. We show some particular examples of issued bonds and some theoretical constructions of mortality linked derivatives. We mention several models applicable for projection of mortality and requirements on these models. Problems connected with projection will be discussed. We describe methods used for pricing these securities, ie. pricing by transformation of probability distribution.
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Classification Ratemaking
Valášková, Zuzana ; Mandl, Petr (referee) ; Mazurová, Lucie (advisor)
In the present work we will study methods, which are used to find a premium in nonlife insurance according to the grouping risks into the risk groups. These risk groups are constructed according to the concrete indices. All work consists of the three main sections. At the end you can find example, where all methods are applied. First section explains the basic methods which can be used in ratemaking: the weighted least square method, the method of marginal totals and the method of Bailey - Simon. The second section studies more sophisticated method for ratemaking: The generalized linear models. The third section studies the credibility estimations used in ratemaking, which are important and used today.
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