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National Repository of Grey Literature 2 records found  Search took 0.00 seconds. 
Bayesian Approaches to Stochastic Reserving
 Novotová, Simona ; Pešta, Michal (advisor) ; Branda, Martin (referee)
In the master thesis the issue of bayesian approach to stochastic reserving is solved. Reserving problem is very discussed in insurance industry. The text introduces the basic actuarial notation and terminology and explains the bayesian inference in statistics and estimation. The main part of the thesis is framed by the description of the particular bayesian models. It is focused on the derivation of estimators for the reserves and ultimate claims. The aim of the thesis is to show the practical uses of the models and the relations between them. For this purpose the methods are applied on a real data set. Obtained results are summarized in tables and the comparison of the methods is provided. Finally the impact of a prior distribution on the resulting reserves is showed. Powered by TCPDF (www.tcpdf.org)
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Pricing with interest rate trees
 Novotová, Simona ; Starinská, Katarína (advisor) ; Branda, Martin (referee)
This thesis deals with interest rate trees, their construction and use in pricing. At the beginning, work deals with various types of interest and selected financial derivatives, which need to be properly priced. For pricing, it is necessary to know the evolution of interest rates, which is simulated by various stochastic models. Next section offers summary of the models. For two models (Rendelman-Barter and Hull-White model) the construction of a binomial and trinomial tree is studied. The work describes a two-phase algorithm, which is used for generation of trinomial tree. Interest rates obtained from the constructed tree are used for the valuation of bond options.
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