|
|
Výpočet rizikového kapitálu pro investiční životní pojištění
Coufal, Tomáš ; Lukášek, Josef (advisor) ; Mazurová, Lucie (referee)
Title: Risk capital calculation in invesment life insurance Author: Bc. Tomáš Coufal Department/Institute: Department of Probability and Mathematical Statis- tics Supervisor of the master thesis: Mgr. Josef Lukášek Supervisor's e-mail address: Josef.Lukasek@allianz.cz Abstract: Unit linked insurance is a modern and flexible life insurance product. The last decade was marked by the raising popularity of unit linked insurance. The discussions conserning the impact of the new directive Sol- vency II on the life insurance business focus mainly on the traditional life insurance. This paper examines the issue of the calculation of the risk capital for unit linked insurance. Analysis of the impact of different death guaran- tees, forms of premium payment, time to maturity and dynamic policyholder bahaviour on the risk capital is presented. Keywords: Unit linked insurance, Solvency II, Risk capital, Solvency capital requirement
|
|
|
Výpočet rizikového kapitálu pro investiční životní pojištění
Coufal, Tomáš ; Lukášek, Josef (advisor) ; Mazurová, Lucie (referee)
Title: Risk capital calculation in invesment life insurance Author: Bc. Tomáš Coufal Department/Institute: Department of Probability and Mathematical Statis- tics Supervisor of the master thesis: Mgr. Josef Lukášek Supervisor's e-mail address: Josef.Lukasek@allianz.cz Abstract: Unit linked insurance is a modern and flexible life insurance product. The last decade was marked by the raising popularity of unit linked insurance. The discussions conserning the impact of the new directive Sol- vency II on the life insurance business focus mainly on the traditional life insurance. This paper examines the issue of the calculation of the risk capital for unit linked insurance. Analysis of the impact of different death guaran- tees, forms of premium payment, time to maturity and dynamic policyholder bahaviour on the risk capital is presented. Keywords: Unit linked insurance, Solvency II, Risk capital, Solvency capital requirement
|
|
|
Some aspects of calculating solvency of insurance companies according to the principles of Solvency II
Hradecký, Ondřej ; Janeček, Martin (advisor) ; Černý, Michal (referee)
The diploma thesis focuses on the topic of the future regulatory regime of the insurance and reinsurance market of the European Union called Solvency II. Currently the most discussed issue without a final structure is an extensive set of legislative and technical changes not only in the area of solvency treatment. Primarily, the work focuses on the standard formula calculation of capital requirements that reflect the solvency position of companies on the market. The first part deals with the theoretical description of the calculating methods of the required capital levels under current and future rules on the basis of available official documents. Further the general overview of the Solvency II is presented, a more detailed description of the valuation techniques of balance sheet items for the purposes of Solvency II, dealing with company's own funds and possible ways to optimize the asset portfolio are also included. Some theoretical descriptions of computational procedures applied on a fictitious life insurance company are presented in the second, more practical part of the diploma thesis.
|
guest ::
