This diploma thesis deals with technical reserves in non-life insurance, in particular with provisions for future claim payments for damages that have occurred, but has not yet been reported to the insurance company. This type of provision is known by the acronym IBNR. After the introductory section containing a general introduction to the issue of claims reserving in non-life insurance different approaches to modeling of IBNR reserves are briefly presented. Subsequently, full attention is given to Chain-ladder method, which is most frequently used in the actuarial practise for the purpose of claims reserving. This method is then presented progressively from its simplest form of a simple computing algorithm followed by Mack's stochastic model to the last theoretical part of this part describing extended form of Chain-ladder method with relations between different groups of insurance portfolio included. In the very last section, all the lessons are demonstrated on real data to give readers an idea of how the process of claims reserving works is in the common actuarial practice.

The thesis provides comprehensive overview of financial placement in insurance companies including practical aspects and assessment of impact of financial crisis on investment strategy of insurance companies. The aim is to emphasise importance of statutory audit as a guarantee of trueness and fairness of financial statements. The thesis also describes most common audit methods applied in financial placement area.

Technical provisions represent one of the most important item of liabilities in accounting of an insurance company. Technical provisions reperesent liabilities for clients of the insurance companies. The exact amount of these provisions is not known in advance. The main reason for generating technical provisions by insurance companies is to fulfill the liabilites arising from insurance and reinsurance contracts in the future. The first chapter of this thesis deals with the principle of the provisions in accounting in general. The next chapters deals with the provisions generated according to IFRS and the czech law. The most extensive chapter describes the technical provisions from the perspective of the czech law for insurance companies. The examples of the technical provisions are the integral part of the thesis.

Technical provisions represent the liabilities of the insurance company to its clients. In contrast to other liabilities the exact volume of technical provisions is not predetermined. This thesis is focused on technical provisions in non-life insurance, mainly on claims provisions, that are the most significant type of provisions in non-life classes of business. The aim is to analyse methods leading to the estimate of the value of ultimate claims arising from insurance events, that happened during the given time period. Claims provision is the part of ultimate claims, that has not already been paid. The speciality of some insurance classes as well as several factors, that may influence the correct estimate of claims provisions, are also analysed. The goal of this thesis is to present various possible ways, how to deal with these factors in order to prevent distortions of the estimate of ultimate claims. Finally the evaluation of the exactness of estimates and consequences, that the incorrect estimate may cause, are presented.

This diploma thesis deals with the investment life insurance. Investment life insurance combines the classical life insurance and the investments in open-end mutual funds. It is a widely discussed financial product, especially for its high expensiveness. Nevertheless, the investment life insurance holds a significant share of the insurance market. The aim of this diploma thesis is the analysis and exploration of investment life insurance market in Czech Republic. The thesis consists of theoretical and practical part. In theoretical part the basic concepts of this insurance product are defined. Theoretical part further contains the theory related to time series analysis and the description of mutual funds. Practical part deals with the five most significant insurance companies in Czech Republic, compares various mutual funds and analyses the selected mutual fund in detail. The forecast of selected mutual fund price development was performed. It turned out that the price forecasting is complicated because of variety of factors affecting the price behaviour. Further, the calculations of insurance premiums and technical provisions were performed. MS Excel was used for the calculations and the time series analysis was performed using the statistical software Eviews. Diploma thesis assists the readers with the orientation in the investment life insurance problematics.

歐盟保險業新監理架構Solvency II 於第5 次量化衝擊研究完成後計畫將在近年正式施行，我國保險業監理制度是否朝採用Solvency II 架構的方向前進仍未為定論，但必頇先行瞭解採行此制度可能對業界造成的影響。 本研究以2010 年8 月時CEIOPS 對Solvency II 所進行的第5 次量化衝擊研究QIS5 設立的標準與原則，對公司的資產與負債做假設後，以公帄價值法衡量壽險公司各部位資產位與負債，包括準備金的公帄價值衡量，並利用QIS5 所提供之計算工具標準法計算四家台灣壽險公司在2009 年底時的清償資本要求SCR。而QIS5 是在金融風暴後不久，當時環境使得利率極低，為了估算在利率環境較正常的情況下，本研究以2007 年底之利率做敏感度分析，重新計算各公司之資產與負債狀況與清償資本要求SCR。 研究結果發現在本研究假設下，負債面的準備金提存不足，保險公司以經濟 資本角度來衡量已經屬於破產狀態。投資型分離帳戶以外的準備金計算與目前準備金計提的方式除了頇以公帄價值衡量保險責任的最佳估計外，另外需要計提風險邊際，此數額約為最佳估計總額的12.4%至30.2%，保險公司自有資本不足有很大的因素是由於此部分準備金的計提。 也發現所計算出的SCR 中所最大的比率為利率風險或匯率風險，在假設以較 高利率環境做敏感度分析後發現壽險公司淨值仍然為負數，且所需要的SCR 與之前所得結果相差不大，顯示壽險公司負債部位對利率敏感度相當高，即使曝險部位變少，對於未來的利率變動仍需要準備相當大的資本以防範虧損。 / After the completion of the Fifth Quantitative Impact Study (QIS5) for the new insurance industrial regulation framework- Solvency II, European Union planned to implement the project in few years. No matter that the regulatory system of insurance industry in Taiwan will follow the trend or will not, it is a must that we should estimate the impacts on the whole industry before making the decisions. This study have an aim to estimate the Solvency Capital Requirements of 4 life insurance companies in Taiwan in the same principles with QIS5, which were took place in August 2010 by CEIOPS. In order to calculate the SCR, we made a lot of hypotheses and then estimated the fair value of the company assets and liabilities, including the fair value of technical provision. By means of the calculating helpers provided by CEIOPS used in QIS5, we found out the SCRs of these companies when they were on 31 December 2009. Then we performed the sensitivity analysis by the different interest rate which is based on the data on 31 December 2007, and recalculated the SCRs of the companies. This study had conclusions that the technical provisions were not sufficient to fulfill the obligations in aspect of the economic value. The surplus of companies were exhausted, because the technical provisions increased by fair valuation. Also, the heavy loadings of risk margins as 12.4% to 30.2% of the best estimates were the important reason of the negative own fund. We found that the capital requirements of interest risk and currency risk took great percentages of total SCRs. And the SCRs will not reduce in great amount caused by technical provisions reduced in the situation that interest rate come back to the level in 2007. It showed that the SCRs had great sensitivity to the interest risk and insurance companies should prepare sufficient own fund to prevent financial crisis caused by interest rate shock.

The traditional reserve estimation by an insurance company is based on the aggregated data. However, new trend is to utilize all the information available and analyse each claim separately. This way the application of claims specific features, such as non-proportional reinsurance or policy limits, is possible. The aim of this thesis is to construct the reserving model based on the individual claims. Following the recent legislative changes, the reserve risk has been redefined from ultimate claim horizon to a one-year risk horizon. Hence, the next task is to setup simulation model to calculate one year horizon reserve risk by updating the estimates based on new observations collected over one year. This is a typical task for Bayesian approach, therefore the model components are estimated using the tools of Bayesian statistics.

Technical provisions representthe most important item of the liabilities of insurance companies. First chapter of this thesis deals with the characteristics and the sense of provisions in any accounting entity. The next chapters are concerned with the regulation of provisions according to the current czech account and tax law and to the IAS/IFRS. The next chapter is the most extensive. This chapter describes technical provisions and rules for their creation, accountig, measurement according to the current valid law in the Czech republic. The subchapters describe the particular technical provisions and their differenties and calculation. The related topics of the reinsurance and the financial placing are presented here too. The examplas for accounting of the technical provisions int the life and the non-life insurance company are shown in the practical part of this thesis.

The financial stability of the insurers is important to fulfil its role as a risk transfer mechanism and to protect the purchasers of their products. The European Union is introducing the Solvency II to modernise the current Solvency I regime and to harmonise the different insurance legislation of the members of the European Union. Solvency II introduces an architecture consisting of three pillars, with Pillar I setting the solvency capital requirements, Pillar II the governance and risk management requirements and Pillar III the reporting requirements. The South African Regulator initiated Solvency Assessment and Management for implementation in 2016 to align the South African prudential regulatory framework to meet the Solvency II requirements for third country equivalence. The problem that this study addressed is the possible effect that the introduction of Solvency Assessment and Management may have on the sustainability of short-term insurers in South Africa. The results of a empirical component of the study indicated that small and medium short-term insurers may be negatively impacted due to the costs incurred to implement and comply with the requirements of the new regulatory framework. The effect on the South African short-term industry can be that cover is concentrated among a few large short-term insurers. / Business Management / M. Com. (Business Management)

The financial stability of the insurers is important to fulfil its role as a risk transfer mechanism and to protect the purchasers of their products. The European Union is introducing the Solvency II to modernise the current Solvency I regime and to harmonise the different insurance legislation of the members of the European Union. Solvency II introduces an architecture consisting of three pillars, with Pillar I setting the solvency capital requirements, Pillar II the governance and risk management requirements and Pillar III the reporting requirements. The South African Regulator initiated Solvency Assessment and Management for implementation in 2016 to align the South African prudential regulatory framework to meet the Solvency II requirements for third country equivalence. The problem that this study addressed is the possible effect that the introduction of Solvency Assessment and Management may have on the sustainability of short-term insurers in South Africa. The results of a empirical component of the study indicated that small and medium short-term insurers may be negatively impacted due to the costs incurred to implement and comply with the requirements of the new regulatory framework. The effect on the South African short-term industry can be that cover is concentrated among a few large short-term insurers. / Business Management / M. Com. (Business Management)