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National Repository of Grey Literature 2 records found  Search took 0.00 seconds. 
Business risks in insurance and their quantification
 Szarková, Lucia ; Ducháčková, Eva (advisor) ; Oborilová, Mária (referee)
Diploma thesis Business risks in insurance and their quantification describes the business risks to which insurance companies are exposed in their activities. Thesis is focused on market risk and quantification of market risk in insurance companies. It includes determination of the specifications for the activities of insurance companies, regulation and characteric of business risks in insurance. Large part of the thesis deals with the method of Value at Risk as a tool to measure market risk as well as individual methods to calculate it. In the conclusion, thesis describes the processes of quantification of market risk in Generali PPF Holding and in Česká poisťovňa, which gives a practical insight into the issues of market risk in insurance companies.
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Modelování přírodních katastrof
 Zuzák, Jaroslav ; Zimmermann, Pavel (advisor) ; Masec, Frant (referee)
This thesis introduces various approaches to natural catastrophe risk assessment in (re)insurance environment. Most emphasis and further elaboration is put on probabilistic models in comparison to the standard model as proposed by Solvency II. The outcomes of natural catastrophe modeling play an important role in the design of proper actuarial models related to catastrophe risk. More specifically it is shown that they can be entirely understood in a wider actuarial context, namely risk theory. Within the Solvency II framework, probabilistic model outcomes are translated by means of the proposed decomposition methodology putting them into a similar language of the standard formula in order to create the ability to compare different results implied by either probabilistic model or standard formula. This enables both comparison of the implied dependence structure of probabilistic model to standardized correlations assumed in Solvency II, and scenario year loss factors of Solvency II to implied damage factors of probabilistic models in defined cresta zones. The introduced decomposition methodology is illustrated by flood and windstorm model outcomes calculated on exposure data of Czech insurance companies and compared to the respective standard formula parameters and outcomes. Finally, other applications of the proposed decomposition methodology are introduced, such as measurement of diversification effect or blending of different results calculated by different models or even approaches to natural catastrophe risk assessment.
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