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Annuity modelling in MTPL
Eštóková, Agáta ; Kočová, Karolína (advisor) ; Cipra, Tomáš (referee)
Title: Annuity modelling in MTPL Author: Bc. Agáta Eštóková Department: Department of Probability and Mathematical Statistics Supervisor: Mgr. Karolína Kočová Supervisor's e-mail address: kkocova@koop.cz Abstract: This diploma thesis focuses on the possibilities of using generational mortality tables for third party liability insurance, mainly for bodily injured. It describes the construction of generational mortality tables and the creation of RBNS claims reserves. Besides the demonstration of these models, the work analyzes the results of calculating reserves in accordance with generational mortality tables and actual mortality tables of the Czech Republic. An impor- tant element in provision calculating is the simulation of future life expectancy of the insured, i.e. random generation of life expectancy based on generational mortality data. Characteristics of the distribution of reserves are derived from simulations. Furthermore, we compare the results of stochastic and determi- nistic approach of computing the reserves. Keywords: third party liability insurance, RBNS, annuity, generational morta- lity tables.
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Some quantitative aspects of life annuities
Šťástka, Petr ; Cipra, Tomáš (advisor) ; Mazurová, Lucie (referee)
The aim of this diploma thesis is describe the most common methods of financing pension plans, focusing on some of the methods of fund financing pension plans. To describe the individual methods, their numerical illustration and allow comparison, it is necessary to dispose of necessary instruments. Therefore in the thesis there are constructed the cohort life tables for the Czech Republic. The thesis also deals with the modelling life annuities in continuous time, in particular, with the shape of im- mediate pension anuity factor for Gompertz law of mortality. Namely, this factor is one of the parameters entering the calculation of the individual methods of fund fi- nancing for pension plans.
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Annuity modelling in MTPL
Eštóková, Agáta ; Kočová, Karolína (advisor) ; Cipra, Tomáš (referee)
Title: Annuity modelling in MTPL Author: Bc. Agáta Eštóková Department: Department of Probability and Mathematical Statistics Supervisor: Mgr. Karolína Kočová Supervisor's e-mail address: kkocova@koop.cz Abstract: This diploma thesis focuses on the possibilities of using generational mortality tables for third party liability insurance, mainly for bodily injured. It describes the construction of generational mortality tables and the creation of RBNS claims reserves. Besides the demonstration of these models, the work analyzes the results of calculating reserves in accordance with generational mortality tables and actual mortality tables of the Czech Republic. An impor- tant element in provision calculating is the simulation of future life expectancy of the insured, i.e. random generation of life expectancy based on generational mortality data. Characteristics of the distribution of reserves are derived from simulations. Furthermore, we compare the results of stochastic and determi- nistic approach of computing the reserves. Keywords: third party liability insurance, RBNS, annuity, generational morta- lity tables.
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