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Mathematical methods in the solvency management and in the financial reporting of insurance companies - NMFM602

Title:	Matematické metody v řízení solventnosti a účetním výkaznictví pojišťoven
Guaranteed by:	Department of Probability and Mathematical Statistics (32-KPMS)
Faculty:	Faculty of Mathematics and Physics
Actual:	from 2014
Semester:	summer
E-Credits:	3
Hours per week, examination:	summer s.:2/0, Ex [HT]
Capacity:	unlimited
Min. number of students:	unlimited
4EU+:	no
Virtual mobility / capacity:	no
State of the course:	taught
Language:	Czech
Teaching methods:	full-time
Teaching methods:	full-time

Guarantor:	RNDr. Lucie Mazurová, Ph.D.
Class:	Pravděp. a statistika, ekonometrie a fin. mat.
Classification:	Mathematics > Financial and Insurance Math.
Is interchangeable with:	NFAP052

Opinion survey results Examination dates SS schedule Noticeboard

Annotation -

Last update: T_KPMS (25.04.2016)

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.

Aim of the course -

Last update: T_KPMS (06.05.2014)

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.

Course completion requirements -

Last update: RNDr. Lucie Mazurová, Ph.D. (29.10.2019)

Oral exam.

Literature -

Last update: RNDr. Lucie Mazurová, Ph.D. (29.10.2019)

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

Teaching methods -

Last update: T_KPMS (06.05.2014)

Lecture.

Requirements to the exam -

Last update: RNDr. Lucie Mazurová, Ph.D. (29.10.2019)

Oral exam with written preparation. Requirements for the exam consist of the entire extent of the lecture.

Syllabus -

Last update: T_KPMS (06.05.2014)

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