Analýza aproximací technických rezerv v Solventnosti II
The analysis of approximations of technical reserves in Solvency II
diplomová práce (OBHÁJENO)
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Trvalý odkaz
http://hdl.handle.net/20.500.11956/27654Identifikátory
SIS: 56790
Kolekce
- Kvalifikační práce [11190]
Autor
Vedoucí práce
Oponent práce
Mandl, Petr
Fakulta / součást
Matematicko-fyzikální fakulta
Obor
Finanční a pojistná matematika
Katedra / ústav / klinika
Katedra pravděpodobnosti a matematické statistiky
Datum obhajoby
22. 9. 2009
Nakladatel
Univerzita Karlova, Matematicko-fyzikální fakultaJazyk
Čeština
Známka
Velmi dobře
In the present work we study the alternatives in the valuation of technical provisions under the Solvency II. We are concerned on set of proposals which are about the usage of proxies released in the fourth Quantitative Impact Study. The proxy is an approach for the calculation of the best estimate for those companies which do not have the sufficient statistical data in order to carry out a proper actuarial calculation. This work is based on application of proxy to the traditional actuarial techniques. There is also a description of supervisors procedure how to derive market parameters based on claims development scheme of each insurance company. The next chapter is focused on model error calculation and gives us an information whether the proxy method is proper and reliable. There is also a need of risk margin calculation to meet the insurers obligations. This work also enumerates a number of risk margin's proxies.