SubjectsSubjects(version: 945)
Course, academic year 2023/2024
   Login via CAS
Accounting and Solvency of Insurance Companies - NMFP537
Title: Účetnictví a solventnost pojišťoven
Guaranteed by: Department of Probability and Mathematical Statistics (32-KPMS)
Faculty: Faculty of Mathematics and Physics
Actual: from 2023
Semester: winter
E-Credits: 5
Hours per week, examination: winter s.:2/2, C+Ex [HT]
Capacity: unlimited
Min. number of students: unlimited
4EU+: no
Virtual mobility / capacity: no
State of the course: taught
Language: Czech, English
Teaching methods: full-time
Teaching methods: full-time
Additional information:
Guarantor: RNDr. Lucie Mazurová, Ph.D.
Class: M Mgr. FPM
M Mgr. FPM > Povinně volitelné
Classification: Mathematics > Financial and Insurance Math.
Incompatibility : NMFM410
Interchangeability : NMFM410
Is incompatible with: NMFM410
Is pre-requisite for: NMFP558
Is interchangeable with: NMFM410
Annotation -
Last update: doc. RNDr. Martin Branda, Ph.D. (13.12.2020)
Financial statements of insurance companies according to Czech accounting standards, Solvency 2 and IFRS. Measurement of financial assets. Market-consistent valuation of insurance liabilities. Risk margin. Solvency capital requirement. Standard formula of Solvency 2. Risk aggregation. Capital allocation.
Aim of the course -
Last update: RNDr. Lucie Mazurová, Ph.D. (04.10.2023)

Familiarization with the principles of financial reporting for insurance companies and with the principles of assessing the solvency of insurance companies.

Course completion requirements -
Last update: RNDr. Lucie Mazurová, Ph.D. (04.10.2023)

Conditions for obtaining credit: One test during the semester. A score of 60% is required. The test can be repeated. Submission of one home project no later than 3 days before the exam date. It can be submitted repeatedly.

Credit is a condition for taking the exam.

Literature -
Last update: doc. RNDr. Martin Branda, Ph.D. (13.12.2020)

European Parliament and Council Directive 2009/138/ES (Solventnost II).

Commission Delegated Regulation (EU) 2015/35.

International Accounting Standardsí: IFRS13, IFRS9, IFRS17.

J. Bokšová: Účetnictví komerčních pojišťoven - specifika v ČR. Wolters Kluwer ČR, 2010. (in czech)

Teaching methods -
Last update: RNDr. Jitka Zichová, Dr. (09.05.2023)

Lecture + exercises.

Requirements to the exam -
Last update: RNDr. Lucie Mazurová, Ph.D. (04.10.2023)

The exam is oral with written preparation. The requirements cover the material presented in the lecture.

Syllabus -
Last update: RNDr. Lucie Mazurová, Ph.D. (13.12.2020)

1. Financial statements of insurance companies. Balance sheet according to Czech accounting standards, Solvency 2 and IFRS.

2. Assets of insurance companies. Financial assets measured at fair value and at amortized cost.

3. Technical provisions of insurance companies. Valuation of insurance liabilities according to Solvency 2 and IFRS17. Methods of risk margin calculation: quantile methods, cost of capital method. Principles of capital allocation. Allocation of risk margin to portfolio segments.

4. Solvency capital requirement. Economic capital. Aggregation of risks by sum, aggregation by a correlation matrix.

5. Standard formula of Solvency 2, risk modules and submodules. Capital requirements for underwriting risks.

Entry requirements -
Last update: RNDr. Lucie Mazurová, Ph.D. (04.10.2023)

Basic terms from financial reports of insurance companies: premium, technical reserves, reinsurance premium, expenses. Expected value, present value of a cash flow. Basic risk measures, especially value at risk.

Charles University | Information system of Charles University |