Název práce: Metodiky Solvency II v životním pojištění Autor: Martina Benešová Katedra (ústav): Katedra pravděpodobnosti a matematické statistiky Vedoucí bakalářské práce: RNDr. Pavel Finfrle, Ph.D e-mail vedoucího: finfrle@generalippf.eu Abstrakt: Tato diplomová práce se zabývá problematikou solventnosti pojišťoven v souvislosti s konceptem regulatorního rámce Solvency II. Na začátku práce jsou shrnuté základní body o Solvency I, dále je větší pozornost věnovaná vlastnostem Solvency II a jednotlivým kategoriím rizik, jejichž správná kvantifikace je pro Solvency II klíčová. V další části jsou představeny metody na výpočet kapitálové dostatečnosti - interní a částečné interní modely a podrobněji pak standardní model. Klíčové dvě kapitoly práce se pak detailně zabývají rizikem storen v ži- votním pojištění. Rozebrána je standardní metodika výpočtu kapitálového poža- davku, a je navržen stochastický model, který ji rozšiřuje zahrnutím informace o diverzitě odbytových cest. Monte Carlo simulací je demonstrována nižší rizikovost pojišťovny s širším polem zprostředkovatelů. Klíčová slova: solventnost, Solvency II, kapitálové požadavky, riziko storen Title: The methods of Solvency II for life insurance Author: Martina Benešová Department: Department of Probability and Mathematical Statistics Supervisor: RNDr. Pavel...

The aim of this thesis is to evaluate present experiences with enterprise risk management implementation and to provide potential solutions for futher risk management development. It also includes minor aims clarifying often falses, which are done by companies. At the beginning of the thesis there are presented common principles with qualitative and quantitative methods. Then the implemenation part is following where methods and conditions of enterprise risk management are described. For succesful system implementation is then described risk culture, where corporate governance is firstly mentioned. A diference among risk management and enterprise risk management is shown in a next chapter compiling financial management and risk management. Own Solvency II experiences, RVA concept, risk management deficiencies and transition from risk measurement to risk management are closing the thesis. The conclusion of the thesis only summarises aims' fulfillment and said hypotheses are confirmed. Enterprise risk management has to be based on common risk management acceptation as a mainstream of the company that has to be fully supported by risk management department.

Cílem této diplomové práce je popsat a zhodnotit různé přístupy používané ke sledování solventnosti pojišťoven. V úvodní části jsou vysvětleny základní pojmy z oblasti pojišťovnictví jako riziko, risk management, pojištění a také jsou zde uvedeny specifika hospodaření pojišťoven a možná rizika působící na pojišťovny. V dalších kapitolách jsou přiblíženy principy jednotlivých přístupů, kterými jsou klasický přístup přes míru solventnosti, RBC přístup a dále z moderních přístupů to jsou simulační modely prezentované metodami DFA a scenario testing. V poslední kapitole jsou popsány připravované projekty regulace solventnosti Solvency II a Swiss Solvency Test. Na závěr jsou zhodnoceny výhody a nevýhody uvedených přístupů a jejich dopad na pojistitele.

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Zugl.: München, Univ., Diss., 2009, u.d.T.: Rittmann, Marion : Neuausrichtung der Versicherungsaufsicht (Solvency II)

Zugl.: Hannover, Univ., Diss. 2009

The diploma thesis deals with the risk management in the insurance practice. The thesis is divided into two parts -- the literature review and the empirical part. In the first section are identified risks endangering the insurance company in their business activities. There are described arrangements risks prevention and elimination. There are also given the basic risks quantification methods. The thesis also describes the system of risk management in Solvency II directive. Basic processes, procedures and methods of the risk management in AXA insurance company are described in the empirical section. In addition is performed a quantification of risks of the selected insurer. Based on this quantification of risks and the risk management analysis, there are suggested further methods and arrangements which may lead to improved risk management for selected insurer.

The diploma thesis deals with current issues of risk management in a selected insurance company. The thesis is conceptually divided into two parts the literature recherche and the empirical part. The first section introduces the individual risks and the basic methods of the quantification of the risks which affect the functioning of commercial insurances. A new system of European insurance regulation, Solvency II, is also described. The empirical part of the diploma thesis deals with the risk quantification of the selected insurance company according to the standard and internal model. The thesis is concluded with the evaluation of the risk management in the selected insurance company and of the company preparedness for the regulatory regime Solvency II. Based on this quantification, the recommendations are put forward to improve the risk management of the selected insurer.

Title: Reinsurance optimization using stochastic programming and risk measures Author: Jan Došel Department: Department of Probability and Mathematical Statistics Supervisor: RNDr. Martin Branda, Ph.D., Department of Probability and Mathe- matical Statistics Abstract: The diploma thesis deals with an application of a stochastic progra- mming in a reinsurance optimization problem in terms of a present regulatory framework of the insurance companies within the European Union, i.e. Solvency II. In this context, the reinsurance does not only transfer a portion of the risk to the reinsurer but also reduces an amout of required capital. The thesis utilizes certain risk measures and their properties, premium principles and non-linear in- teger programming. In the theoretical part, there are basic terms from Solvency II, reinsurance, risk measures and the comonotonicity of random variables descri- bed and the optimization problem itself is derived. The approach is then applied in the practical part on data of Czech Insurers' Bureau using the GAMS software. Finally, a stability of the solution is tested depending on several parameters. Keywords: reinsurance optimization, stochastic programming, Solvency II, risk measures 1

This master thesis aims to describe problematics of the stochastic modeling of time structures of interest rates with Vasicek, CIR and Hull-White models and the use of these models in valuation of liabilities and time value of options and guaranties in life insurance. In the theoretical part of the thesis there are fundamentals of stochastic calculus, stochastic models of interest rates and introduction to problematics of life insurance defined. Furthermore, the last practical part of the thesis demonstrates impact of particular models on the value of liabilities in relation to clients and on the value of TVOG of real European life insurance Company.