|
|
Actuarial approach to credit risk modelling
Benešová, Milena ; Mandl, Petr (referee) ; Benková, Markéta (advisor)
This thesis deals with one of the models for the credit risk measurement - the model CreditRisk+. The theoretical part describes the theory which is the basis for this model. Further, the thesis demonstrates an applicative example of calculation distribution of default losses. The model uses Poisson distribution as the distribution of the number of defaults from this we can proceed to the distribution of default losses which is output from this model. The theoretical part also presents two variants of this model. The first of this variant is the calculation of the distribution of default losses with fixed default rates. The main asset of this model is the second variant which calculates with the variable default rates. The applied part deals with the recurrence relation which is described with the model-makers. This thesis deals with the combination of CreditRisk+ with the another model known as CreditMetrics, too. The calculation is realized on the basis of Monte Carlo's simulation of the future portfolio. The aim of this part is to demonstrate how this model is applicable in practise.
|
|
|
Separation of pension fund assets to administrator and clients parts
Rada, Jakub ; Mandl, Petr (referee) ; Středová, Marcela (advisor)
Důchodový systém prochází v posledních letech řadou reforem, jejichž dopad se projeví na všech účastnících tohoto systému. Tato diplomová práce se zabývá současným stavem penzijního připojištění v ČR a především pak jeho změnou, kterou přinese oddělení majetku klientů penzijních fondů od majetku akcionářů. Dále je zde rozebrán rizikově neutrální přístup pro oceňování instrumentů obchodovaných na finančních trzích. Z něj pak vychází námi vytvořený model pro výpočet současné hodnoty budoucích zisků generovaných platnými smlouvami, které připadají na akcionáře. Tento model nám poslouží i k modelaci současné hodnoty objemu prostředků klienta penzijní společnosti, v závislosti na jím zvolené investiční strategii.
|
|
|
Risk Margins in the Liability Adequacy Test for Life Insurance
Sotona, Petr ; Mandl, Petr (referee) ; Senft, Tomáš (advisor)
In the present thesis we study risk margins in the liability adequacy test for life insurance. First we look at the theory of risk margins and liability adequacy test. We discuss desirable characteristics of the risk margins and the methods used to their evaluation. We show risk margins from di erent aspects and views as well. In second part of the thesis we introduce the model of product for endowment and we describe contractual cash flows. We also construct generation mortality tables for use in described model. Afterwards we evaluate risk margin for mortality risk using stochastic modelling. Finally we compare calculated risk margin with value of the margin calculated by current approach recommended to calculation of LAT in the Czech Republic and analyse results.
|
|
|
Multidimensional Bonus Malus Systems in Non-life Insurance
Drábková, Miroslava ; Mazurová, Lucie (referee) ; Mandl, Petr (advisor)
Bonus-malus systems are tariff systems which determine premium depending on clairn history of insured risks in previous periods. The thesis deals with computation of part of risk which falls on policy holders and on insurance company. There is used the Bayesian approach in the first part. A portfolio is assumed in which the risk parameter of each policy holder is a random variable. There is established a model with two kinds of policy holders too, every kind has a given distribution of the risk parameter again. There are mentioned some bonus-malus systems used in the world in third-party liability insurance in the second part. It is shown how to modify the systems which do not satisfy the Markovian condition to a model which satisfies this condition. It is useful for next calculations. A portfolio is assumed again in which the risk parameter of each policy holder is a random variable and it is computed part of risk which falls on policy holders and on insurance company. The calculations are supplemented by concrete numerical iII ustrations.
|
|
| |
|
| |
|
| |
|
|
Risk Analysis in Life Insurance
Bučková, Michaela ; Mandl, Petr (referee) ; Rollerová, Jana (advisor)
The purpose of this diploma thesis is to offer the global review of current risks in the eld of life insurance business. In the rst part we focused on segmentation and description of these risks and possibilities of managing such risks. The second part deals with the role of ALM in the life insurance company. It shows the usage of widely used models of ALM on a numerical exercise. We chose to use models created in Excel spreadsheet for this part. The nal part gives a short insight to the area of accounting and appraisal rules of for assets and liabilities in life insurance companies.
|
|
|
An Analysis of Formulae for Capital Adequacy of Non-Life Insurance Companies
Hůdová, Klára ; Justová, Iva (referee) ; Mandl, Petr (advisor)
This diploma thesis compares methods for capital adequacy of non-life insurance companies and shows their possible improving. The thesis denotes determining capital requirement according to Schnieper due to the ruin probability. The Schnieper's model uses covariances between total risk and individual risks, that threatend the insurance company, to describe dependences between the risks. This model is extended by using knowled ge recited at MFF UK. We use logarithm-linear model for prediction of claims. The method of determining the whole capital requirement and the capital alocated for individual risks is applied to coucrete data. We briefiy describe the Risk Based Capital formula .
|
|
|
Calculation of the Credit Value at Risk
Zamazal, David ; Mandl, Petr (referee) ; Benková, Markéta (advisor)
Thesis describes calculation of the credit value at risk for portfolio composed of traditional bank loans. The risk is measured by incurred expected and unexpected losses at the end of some time horizon. Thesis is splitted into two parts - theoretical part and computational part. The most known and most widely used models are described in the first part, in conjunction with definition of their main input parameters - probability of default, exposure at default, loss given default and correlation between debtors. Detailed theoretical description of two chosen methods comes after - CreditMetrics method and Vasicek's method. The examined portfolio is characterized in the computational part, along with other input parameters, essential for evaluation. Then model implementation into software Mathematica is described, evaluation run and the results. Eventually both methods are compared.
|
guest ::
RSS feed.