Stanovení solventnostního kapitálového požadavku dle Solvency II
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Matušková, Petra
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Vysoká škola báňská - Technická univerzita Ostrava
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Abstract
Determination of Solvency Capital Requirement within Solvency II.
Ostrava: Department of Finance, Economic Faculty, VSB – Technical University of Ostrava, 2012. Thesis, head Ing. Martina Borovcová, Ph.D.
Thesis is focused on solvency and risk management in insurance. Thesis objective is determination of Solvency Capital Requirement for market risk within Solvency II using Value at Risk and Expected Shortfall.
First part of the thesis includes characteristics of solvency and risk management in insurance. Value at Risk and Expected Shortfall methology, including issues associated with these methods are described in the second part of the thesis. The third part is devoted to determination of Solvency Capital Requirement for market risk using Value at Risk and Expected Shortfall and evaluation of results.
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Import 11/07/2012
Subject(s)
Solvency, Solvency II, Solvency Capital Requirement, Minimal Capital Requirement, Risk, Risk management, Value at Risk, Expected Shortfall, Economic capital, Monte Carlo simulation