Kvantifikace rizika v pojištění důchodu
| Thesis title in thesis language (Slovak): | Kvantifikace rizika v pojištění důchodu |
|---|---|
| Thesis title in Czech: | Kvantifikace rizika v pojištění důchodu |
| Thesis title in English: | Risk quantification in annuity insurance |
| Academic year of topic announcement: | 2014/2015 |
| Thesis type: | diploma thesis |
| Thesis language: | slovenština |
| Department: | Department of Probability and Mathematical Statistics (32-KPMS) |
| Supervisor: | RNDr. Lucie Mazurová, Ph.D. |
| Author: | hidden - assigned and confirmed by the Study Dept. |
| Date of registration: | 11.10.2014 |
| Date of assignment: | 15.10.2014 |
| Confirmed by Study dept. on: | 18.07.2018 |
| Date and time of defence: | 05.09.2018 08:00 |
| Date of electronic submission: | 20.07.2018 |
| Date of submission of printed version: | 20.07.2018 |
| Date of proceeded defence: | 05.09.2018 |
| Opponents: | doc. RNDr. Martin Branda, Ph.D. |
| Guidelines |
| V práci budou popsány současné přístupy ke stochastickému modelování rizika dlouhověkosti a investičního rizika v pojištění životních důchodů a jejich využití k oceňování závazků a měření rizika. |
| References |
| U. Karabey, T. Kleinow, A.J.G. Cairns: Factor risk quantification in anuity models. Insurance: Mathematics and Economics 58 (2014), 34-45.
A.J.G. Cairns, D. Blake, K. Dowd: Pricing Death: Frameworks for the Valuation and Securitization of Mortality Risk, ASTIN Bulletin 36 (2006), 79-120. A.J.G. Cairns, D. Blake, K. Dowd: A two-factor model for stochastic mortality with parameter uncertainty: theory and calibration. Journal of Risk and Insurance 73 (2006), 687-718. |