Analýza dopadu odhadované míry úmrtnosti na solventnost pojišťovny

Abstract

The diploma thesis is focused on the assessment of mortality risk and its quantification. The aim of this work is to analyze the impact of the estimated mortality rate on solvency of life insurance by using forecasts of estimated mortality development in the future, based on historical time series data on the likelihood of death, taking into account the historical evolution and variation, which could affect the prediction. Lee-Carter model is one of most used models for prediction of mortality rate and it is also used in this paper. The individual model parameters are estimated by the method of SVD (Singular Value Decomposition) and mortality rate is estimated for male and female population on the basis of the mortality tables for the Czech Republic. In thesis it is then analyzed the impact of the estimate mortality rate on the amount of disponibile capital, which is derived from selected insurance portfolio. Finally, the minimum capital requirement is quantified in the event of changes in the evolution of mortality. The minimum capital requirement is also quantified by the Value-at-Risk at selected levels of probability.