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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.
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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.
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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 .
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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.
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Methods of Calculation of Fair Value in Pension Insurance with a State Premium
Koudelka, Pavel ; Mandl, Petr (referee) ; Finfrle, Pavel (advisor)
The supplementary pension insurance with state contribution is a specific product of our insurance market which fulfills the definition of the insurance contract according to the International Accounting Standards in almost all cases. This diploma thesis describes the pension insurance in the Czech Republic and the present state and plans of the International Accounting Standards for accounting concerning insurance contracts { specially accounting concerning fair value of liabilities. Further, we mentioned the risk neutral approach which has been used for pricing of nancial market instruments for a quite long time. This is the basis for the suggested model of the fair value calculation of the liabilities of a pension fund where two-factor model of the instantaneous intensity of the interest rate is used.
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The Use of Genetic Tests in the Insurance Industry. Alzheimerś Disease in Long-Term Care Insurance.
Jaroš, Filip ; Mandl, Petr (referee) ; Bohumský, Petr (advisor)
The dissertation can be viewed at as a contribution to the discussion about using genetic information in the insurance industry. The debate is fully being held in the United Kingdom and other countries. It is only a matter of time when the discussion will be launched in the Czech Republic. Macdonald's and Pritchard's model (2000) of Alzheimer's disease in long-term care insurance is applied to the Czech pattern of mortality. A calculation of the expected present value of benefits is shown on an illustrative example of long-term care insurance. A quantification of adverse selection which is perceived as a reason for differentiation of ratings depending on the genetic profile of a policy applicant is a mathematical conclusion of the study. The appendix deals with the broader ethic and economical matter of the problem discussed.
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