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Study of the regulatory framework Solvency 2 and of the international financial reporting standards for insurance
contracts from the actuarial point of view. Valuation methods. Internal models for the capital requirements
calculation and for the risk management of an insurance company.
A course for PhD students.
Last update: T_KPMS (25.04.2016)
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Acquaintance with the actual state of the international financial reporting standards for insurance contracts and of the solvency regulation with focus on liability valuation methods. Last update: T_KPMS (06.05.2014)
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Oral exam. Last update: Mazurová Lucie, RNDr., Ph.D. (29.10.2019)
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McNeil, A.J., Frey, R., Embrechts, P.: Quantitative Risk Management: Concepts, Techniques and Tools. Princeton University Press, 2005.
Směrnice č. 2009/138/ES o zahájení a provozování podnikatelské činnosti v oblasti pojištění a zajištění.
Heep-Altiner, M., Kaya, H., Krenzlin, B., Welter, D.: Interne Modelle nach Solvency II. Verlag Versicherungswirtschaft, Karlsruhe, 2010.
http://www.ifrs.org/Current-Projects/IASB-Projects/Insurance-Contracts/Pages/Insurance-Contracts.aspx Last update: Mazurová Lucie, RNDr., Ph.D. (29.10.2019)
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Lecture. Last update: T_KPMS (06.05.2014)
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Oral exam with written preparation. Requirements for the exam consist of the entire extent of the lecture. Last update: Mazurová Lucie, RNDr., Ph.D. (29.10.2019)
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1. Internal models for SCR calculation - risk classification, simulation, dependences 2. Financial reporting in S2 and IFRS 3. Methods of valuation of insurance liabilities 4. Principles of risk margin calculation 5. Mathematical methods in risk management of an insurance company 6. ORSA process Last update: T_KPMS (06.05.2014)
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