| Thesis title: |
Risk adjustment neživotního pojištění dle standardu IFRS17 |
| Author: |
Palowská, Petra |
| Thesis type: |
Diplomová práce |
| Supervisor: |
Marek, Luboš |
| Opponents: |
Koudelka, Jiří |
| Thesis language: |
Česky |
| Abstract: |
V lednu 2023 vstoupil v platnost nový mezinárodní standard finančního reportingu IFRS 17 o pojistných smlouvách. Standard s sebou přinesl mnoho specifik, kterými se pojišťovny musí řídit. Tato diplomová práce se věnuje významné části standardu, a to rizikové přirážce (z angl. risk adjustment) a také metodám, které jej stanovují. Popisuje přístup standardu IFRS 17 k rizikové přirážce nefinančního rizika, na které je aplikována. Metodami stanovení rizikové přirážky, kterými se tato diplomová práce zabývá jsou Value at Risk, Tail Value at Risk a Cost of Capital. |
| Keywords: |
IFRS 17; riziko; úroveň spolehlivosti; Monte Carlo; Riziková přirážka; Bootstrap |
| Thesis title: |
Risk adjustment for non-life insurance under IFRS 17 standard |
| Author: |
Palowská, Petra |
| Thesis type: |
Diploma thesis |
| Supervisor: |
Marek, Luboš |
| Opponents: |
Koudelka, Jiří |
| Thesis language: |
Česky |
| Abstract: |
In January 2023, the new international financial reporting standard IFRS 17 insurance contracts became valid. The standard introduced many specific requirements that insurance companies must comply with. This thesis focuses on a significant part of the standard—the risk adjustment—and the methods used to determine it. It describes the IFRS 17 approach to the risk adjustment for non-financial risk, to which it is applied. The methods for determining the risk adjustment discussed in this thesis are Value at Risk, Tail Value at Risk, and Cost of Capital. |
| Keywords: |
Bootstrap; IFRS 17; confidence level; Risk adjustment; Monte Carlo; risk |
Information about study
| Study programme: |
Statistika |
| Type of study programme: |
Magisterský studijní program |
| Assigned degree: |
Ing. |
| Institutions assigning academic degree: |
Vysoká škola ekonomická v Praze |
| Faculty: |
Faculty of Informatics and Statistics |
| Department: |
Department of Statistics and Probability |
Information on submission and defense
| Date of assignment: |
14. 3. 2022 |
| Date of submission: |
26. 6. 2025 |
| Date of defense: |
2025 |
Files for download
The files will be available after the defense of the thesis.