Stanovení solventnosti pojistitele dle konceptu Solvency II a její predikce

Abstract

The goal of thesis is to determine the solvency of insurance company by Solvency II concept and its prediction for next year. This concept is focuses on calculating the Solvency Capital Requirement and Minimum Capital Requirement. At first there is described, how to calculate the solvency under current conditions, and there is introduced that new concept, which is built on three pillars and it involves other risks into the calculation of the solvency. Next, the methods, which are used to calculate of solvency and for its prediction for next time period, are characterized. In the application part, there is done solvency calculation based on the selected methods and estimation of solvency by geometric Brownian motion. At the conclusion, there is a summary of detected results.