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Rizikové modely annuitních škod z neživotního pojištění / Risk models of annuity damages in non-life insurance

This thesis is focused on practical application of two methods used in non-life insurance, Nested Monte Carlo and Least squares Monte Carlo. Best estimate and 99.5% quantile was calculated using both methods and results was compared. Both methods are similar in estimates and therefore can be used for computation of capital requirement. Least squares Monte Carlo seem more favourable, because it significantly reduces computation time.

Identiferoai:union.ndltd.org:nusl.cz/oai:invenio.nusl.cz:360694
Date January 2017
CreatorsŠmarda, Tomáš
ContributorsZimmermann, Pavel
PublisherVysoká škola ekonomická v Praze
Source SetsCzech ETDs
LanguageCzech
Detected LanguageEnglish
Typeinfo:eu-repo/semantics/masterThesis
Rightsinfo:eu-repo/semantics/restrictedAccess

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