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Multivariate extreme value theory
Šiklová, Renata ; Mazurová, Lucie (advisor) ; Omelka, Marek (referee)
In this thesis we will elaborate on multivariate extreme value modelling, re- lated practical and theoretical aspects. We will mainly focus on the dependence models, the extreme value copulas in particular. Extreme value copulas effec- tively unify the univariate extreme value theory and the copula framework itself in a single view. We familiarize ourselves with both of them in the first two chapters. Those chapters present generalized extreme value distribution, gen- eralized Pareto distribution and Archimedean copulas, that are suitable for the multivariate maxima and the threshold exceedances description. These two top- ics will be addressed in the third chapter in detail. Taking into consideration rather practical focus of this thesis, we examine the methods of data analysis extensively. Furthermore, we will employ these methods in a comprehensive case study, that will aim to reveal the importance of extreme value theory application in the Catastrophe Insurance. 1
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Multivariate extreme value theory
Šiklová, Renata ; Mazurová, Lucie (advisor) ; Omelka, Marek (referee)
In this thesis we will elaborate on multivariate extreme value modelling, re- lated practical and theoretical aspects. We will mainly focus on the dependence models, the extreme value copulas in particular. Extreme value copulas effec- tively unify the univariate extreme value theory and the copula framework itself in a single view. We familiarize ourselves with both of them in the first two chapters. Those chapters present generalized extreme value distribution, gen- eralized Pareto distribution and Archimedean copulas, that are suitable for the multivariate maxima and the threshold exceedances description. These two top- ics will be addressed in the third chapter in detail. Taking into consideration rather practical focus of this thesis, we examine the methods of data analysis extensively. Furthermore, we will employ these methods in a comprehensive case study, that will aim to reveal the importance of extreme value theory application in the Catastrophe Insurance. 1
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Impact of hurricane Katrina on global insurance market
Blabla, Jan ; Ducháčková, Eva (advisor) ; Daňhel, Jaroslav (referee)
This thesis examines the problem of impact of catastrophic natural events on insurance and reinsurance markets, with special focus on 2005 hurricane Katrina. It aims to analyze and evaluate the consequences of large scale economic loss on global insurance market. First part of the thesis describes the event and its implications. Impact on oil and gas industry and others is discussed. Main section is focused on repercussions of this event for both local and global insurance markets. Influence on selected subjects and new trends observable after Katrina are considered. Changes to alternative risk transfer instruments after 2005 are investigated.
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Catastrophic risk in the insurance and new financial products and derivates for it´s solution
Koráb, Pavel ; Daňhel, Jaroslav (advisor) ; Hanzlík, Karel (referee)
Focus of this thesis is on catastrophic events in the world in the last two decades, on large economic losses they had caused and it examines the issue of insurance and reinsurance market. The first part is focused on the definition of disaster in insurance, basic risk management methods and role of insurance and reinsurance companies. In the second part is examined the development of catastrophes number, extent of their impact and the development in the year 2011. There is also described run through and impact of several significant events in last ten years. The third part examines the area of alternate risk transfer to capital markets by catastrophe risk-linked securities.
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Teroristické riziko a komerčné poistenie
Komanická, Vladimíra ; Dědková, Eva (advisor) ; Daňhel, Jaroslav (referee)
Diplomová práce poukazuje na důležité riziko, kterému čelí pojišťovny a zajišťovny. První kapitola analyzuje definiční prvky rizika terorizmu, kritéria a faktory pojistitelnosti pro účely poskytnutí pojistné / zajistné ochrany. Dále poukazuje na nový rozměr škod, vysokou korelací a hlavně nepředvídanost rizik, které mají za následek neochotu pojišťovacích společností upisovat teroristické riziko. Druhá kapitola má za cíl najít možná řešení financování následků tohoto rizika a to prostřednictvím jiných (tržních nebo netržních) mechanizmů. Závěrečná kapitola poukazuje na významnost škod na základě konkrétního příkladu útoku na World Trade Center 11. září 2001.
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