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Technical reserves of non-life insurance in the internal solvency models
Thomayer, Jiří ; Mertl, Jakub (advisor) ; Pešta, Michal (referee)
Title: Technical reserves of non-life insurance in the internal solvency model Author: Bc. Jiří Thomayer Department: Department of Propability and Mathematical Statistics Supervisor: Mgr. Ing. Jakub Mertl Abstract: In this work we study and describe calculation of solvency capital using the standard formula contained in the Directive of the European Union (Solvency II), which should be put into practice in Europe on 1 January 2013. This calcu- lation is described in quantitative impact study 5. We describe a general approach to risk measurement and we show some particular practical measures used to risk measurement. We explain under what conditions the standard formula or its parts can be replaced by internal model. Next, we show disadvantages of using the stan- dard formula and we propose possible internal model to calculate risk premiums and risk reserves in non-life insurance. Finally we apply the proposed model for calculation risk reverses in non-life insurance in practice. Keywords: Standard formula, Risk measurement, Solvency II, Internal model;
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Non-proportional Reinsurance in Solvency II
Havlíková, Tereza ; Justová, Iva (advisor) ; Mazurová, Lucie (referee)
Title: Non-proportional Reinsurance in Solvency II Author: Tereza Havlíková Department: Department of Probability and Mathematical Statistics Supervisor: RNDr. Ing. Iva Justová, Ph.D. Supervisor's e-mail address: iva justova@hotmail.com Abstract: The aim of this thesis is to analyse non-proportional reinsurance of non-life insurance. Taking into account the latest Quantitative Impact Study QIS 5, we calculate the capital requirement under Solvency II and we focus on the premium and reserve risk. The first part of this work describes basic concepts and formulas. Furthermore, in the main part we describe the standard formula for the calculation of the capital requirement from which we derive a formula for the calculation of the capital requirement but this time taking into account the impact of reinsurance. In the last chapter, we apply the approach on an example, in which we examine the influence of parameters on the capital requirement. Keywords: non-proportional reinsurance, Solvency II, non-life underwriting risk 1
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Interest rate spreads on government bonds
Antoniewiczová, Petronella ; Žák, Kamil (advisor) ; Hurt, Jan (referee)
This work deals with the breakdown of government bonds yields on the risk components. More specifically it deals with cost of liquidity capital, loss of illiquidity and expected default losses. In the beginning we explain the characteristics of bonds, particularly government bonds, further we deal with some of elements which may break up the government bonds yields. Finally, we implement the interest rates of bonds of three EU member states and we will illustrate on Vasicek's model how to imitate part of risk free interest
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Non-life Underwriting Risk in Solvency II - Undertaking Specific Parameters
Šimková, Barbora ; Justová, Iva (advisor) ; Mazurová, Lucie (referee)
of the bachelor's thesis Title: Non-life Underwriting Risk in Solvency II - Undertaking Specific Parameters Author: Barbora Šimková Department: Department of Probability and Mathematical Statistics Supervisor: RNDr. Ing. Iva Justová Ph.D. Abstract: The thesis deals with methods by which it is possible to calculate specific estimate of standard deviation of risk in non-life premium risk. Premium risk is the risk caused by lack of insurance, when the undertaking does not have sufficient cover for future losses. Calculation methods are based on static methods and they comprise the knowledge taught at MFF UK. The thesis analyzes methods of calculating specific parameters and it explains how to calculate capital requirement for non-life premium and reserve risk; capital requirement reflects parameters of risk. An assessment of cap- ital requirements that uses specific parameters for an undertaking is in conclusion of the thesis. The evaluation is performed on a group of insurance companies from dif- ferent countries that used replacement of specific parameters in the calculation of risk premiums in Solvency II. Keywords: non-life underwriting risk, Solvency II, undertaking specific parameters
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Interest rate spreads on government bonds
Antoniewiczová, Petronella ; Žák, Kamil (advisor) ; Hurt, Jan (referee)
This work deals with the breakdown of government bonds yields on the risk components. More specifically it deals with cost of liquidity capital, loss of illiquidity and expected default losses. In the beginning we explain the characteristics of bonds, particularly government bonds, further we deal with some of elements which may break up the government bonds yields. Finally, we implement the interest rates of bonds of three EU member states.
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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
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Non-life Underwriting Risk in Solvency II - Undertaking Specific Parameters
Šimková, Barbora ; Justová, Iva (advisor) ; Mazurová, Lucie (referee)
of the bachelor's thesis Title: Non-life Underwriting Risk in Solvency II - Undertaking Specific Parameters Author: Barbora Šimková Department: Department of Probability and Mathematical Statistics Supervisor: RNDr. Ing. Iva Justová Ph.D. Abstract: The thesis deals with methods by which it is possible to calculate specific estimate of standard deviation of risk in non-life premium risk. Premium risk is the risk caused by lack of insurance, when the undertaking does not have sufficient cover for future losses. Calculation methods are based on static methods and they comprise the knowledge taught at MFF UK. The thesis analyzes methods of calculating specific parameters and it explains how to calculate capital requirement for non-life premium and reserve risk; capital requirement reflects parameters of risk. An assessment of cap- ital requirements that uses specific parameters for an undertaking is in conclusion of the thesis. The evaluation is performed on a group of insurance companies from dif- ferent countries that used replacement of specific parameters in the calculation of risk premiums in Solvency II. Keywords: non-life underwriting risk, Solvency II, undertaking specific parameters
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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
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Technical reserves of non-life insurance in the internal solvency models
Thomayer, Jiří ; Mertl, Jakub (advisor) ; Pešta, Michal (referee)
Title: Technical reserves of non-life insurance in the internal solvency model Author: Bc. Jiří Thomayer Department: Department of Propability and Mathematical Statistics Supervisor: Mgr. Ing. Jakub Mertl Abstract: In this work we study and describe calculation of solvency capital using the standard formula contained in the Directive of the European Union (Solvency II), which should be put into practice in Europe on 1 January 2013. This calcu- lation is described in quantitative impact study 5. We describe a general approach to risk measurement and we show some particular practical measures used to risk measurement. We explain under what conditions the standard formula or its parts can be replaced by internal model. Next, we show disadvantages of using the stan- dard formula and we propose possible internal model to calculate risk premiums and risk reserves in non-life insurance. Finally we apply the proposed model for calculation risk reverses in non-life insurance in practice. Keywords: Standard formula, Risk measurement, Solvency II, Internal model;
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