In this thesis we will focus on interest rate modelling and related practical aspects. We will explain the significance of generated scenarios of interest rate's movement for economic results of both life and non-life insurance companies. We will analyse presently known ways of approaching this matter and describe the selected models in detail. Taking into consideration the practical focus of this thesis, we will address the applied methods of model's calibration. Furthermore, we will employ these methods in an extensive numerical study, that will aim to reveal the weaknesses and strengths of particular calibration methods while implementing a specific model and to evaluate their potential application in actuarial practice. Central model of this work is CIR (Cox-Ingersoll-Ross) model.
| Identifer | oai:union.ndltd.org:nusl.cz/oai:invenio.nusl.cz:304100 |
| Date | January 2012 |
| Creators | Krýcha, Daniel |
| Contributors | Branda, Martin, Hurt, Jan |
| Source Sets | Czech ETDs |
| Language | Czech |
| Detected Language | English |
| Type | info:eu-repo/semantics/masterThesis |
| Rights | info:eu-repo/semantics/restrictedAccess |
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