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Risk Margins in the Liability Adequacy Test for Life Insurance
Sotona, Petr ; Senft, Tomáš (advisor) ; Mandl, Petr (referee)
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.
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Prediction of the Need of Money in Economics from the Point of View of Central Bank
Senft, Tomáš
This diploma thesis deals with modeling and forecasting of the daily series of currency in circulation, which is one of the main autonomous factors influencing the liquidity of financial markets. Reasons for its modeling are explained and three constructed stochastic models are presented. There are ARIMA and GARCH models based on Box-Jenkins methodology and STS model. STS model is structured time series model using Kalman equations. Forecasts of models are combined together and statistically compared. The results show that the combination of STS and ARIMA models is the best model for forecasting of the daily series of currency in circulation and it has the same forecasting performance as the current model-judgement practice in the Czech National Bank. The model might be also applied at least as a supportive tool for the liquidity management.
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Risk Margins in the Liability Adequacy Test for Life Insurance
Sotona, Petr ; 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.
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Strategic analysis
Senft, Tomáš ; Krause, Josef (advisor) ; Mikan, Pavel (referee)
The aim od this bachelors thesis is to create a strategic analysis of the company Al-Namura s.r.o. This company is focused on producing non-alcoholic beverages and wholesale with beverages. In the first part of the thesis teoretical terms and basic processes of strategic analysis are introduced. In the second part these processes are applied to create the strategic analysis of the company. Thanks to these metods we identify opportunities and threats and strengths and weaknesses. Results of each analysis are apply in SWOT analysis, which give us basics to create strategic recommendations.
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Risk Margins in the Liability Adequacy Test for Life Insurance
Sotona, Petr ; 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.
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Prediction of the Need of Money in Economics from the Point of View of Central Bank
Senft, Tomáš
This diploma thesis deals with modeling and forecasting of the daily series of currency in circulation, which is one of the main autonomous factors influencing the liquidity of financial markets. Reasons for its modeling are explained and three constructed stochastic models are presented. There are ARIMA and GARCH models based on Box-Jenkins methodology and STS model. STS model is structured time series model using Kalman equations. Forecasts of models are combined together and statistically compared. The results show that the combination of STS and ARIMA models is the best model for forecasting of the daily series of currency in circulation and it has the same forecasting performance as the current model-judgement practice in the Czech National Bank. The model might be also applied at least as a supportive tool for the liquidity management.
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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.
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Prediction of the Need of Money in Economics from the Point of View of Central Bank
Senft, Tomáš ; Hurt, Jan (referee) ; Koňák, Michal (advisor)
This diploma thesis deals with modeling and forecasting of the daily series of currency in circulation, which is one of the main autonomous factors influencing the liquidity of financial markets. Reasons for its modeling are explained and three constructed stochastic models are presented. There are ARIMA and GARCH models based on Box-Jenkins methodology and STS model. STS model is structured time series model using Kalman equations. Forecasts of models are combined together and statistically compared. The results show that the combination of STS and ARIMA models is the best model for forecasting of the daily series of currency in circulation and it has the same forecasting performance as the current model-judgement practice in the Czech National Bank. The model might be also applied at least as a supportive tool for the liquidity management.
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