Principy alokace kapitálu
| Thesis title in Czech: | Principy alokace kapitálu |
|---|---|
| Thesis title in English: | Capital allocation principles |
| Key words: | alokace kapitálu, míry rizika, alokační metoda, podmínky koherence |
| English key words: | capital allocation, risk measures, allocation method, conditions of coherence |
| Academic year of topic announcement: | 2013/2014 |
| Type of assignment: | diploma thesis |
| Thesis language: | čeština |
| 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: | 19.02.2014 |
| Date of assignment: | 20.02.2014 |
| Confirmed by Study dept. on: | 18.03.2014 |
| Date and time of defence: | 06.09.2016 00:00 |
| Date of electronic submission: | 28.07.2016 |
| Date of submission of printed version: | 28.07.2016 |
| Date of proceeded defence: | 06.09.2016 |
| Reviewers: | doc. RNDr. Jan Hurt, CSc. |
| Guidelines |
| Práce podá dle literatury přehled vybraných metod alokace kapitálu spolu s jejich motivací a vlastnostmi. Bude se věnovat uplatnění těchto principů v kontextu řízení rizik a solventnosti v pojišťovnách. Vybrané metody budou ilustrovány na vhodně zvoleném pravděpodobnostním modelu. |
| References |
| Dhaene, J., Tsanakas, A., Valdez, E.A., Vanduffel, S. (2012): Optimal Capital Allocation Principles. Journal of Risk and Insurance, Vol. 79, Issue 1, 1-28.
Cummins, J.D. (2000): Allocation of Capital in the Insurance Industry. Risk Management and Insurance Review, Vol.3, No. 1, 7-27. Panjer, H.H. (2001): Measurement of Risk, Solvency Requirements, and Allocation of Capital within Financial Aglomerates, Research Report 01-14, Institute of Insurance and Pension Research, University of Waterloo, Canada |