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Lecturer(s)
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Sekerka Bohuslav, prof. RNDr. CSc.
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Papoušková Monika, Ing.
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Jindrová Pavla, Mgr. Ph.D.
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Course content
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Subject and importance of the theory of hazard, probability distribution of the number of claims: binomial, Poisson, negative binomial. Distribution of the claim amount, its basic characteristics and use in general insurance in damages modelling. Modelling of the number of claims and claim amount distribution, estimation of parameters distribution, goodness of fit tests. Models of collective hazard - definition, basic characteristics, basic types of compound distribution - compound Poisson, binomial and negative binomial distribution and its basic characteristics. Approximation of the collective hazard model based on normal and translated gamma distribution, calculation of additional netto premium charges. Models of individual hazard - definition, basic characteristics, approximation based on normal distribution and calculation of additional charges. Models of direct insurer damages with the reinsurance of excess of loss and proportional reinsurance - effect of reinsurance for the direct insurer and parameters estimates of censored selection, example of the exponential and Pareto loss distribution. Distribution function and density of claims distribution with the reinsurance of excess of loss and proportional reinsurance, example of exponential and Pareto loss distribution. Bayesian credibility theory, principle of Bayesian estimation theory, prior and posterior distribution, conjugate distribution and Bayesian estimation. Concept of credible premium and factor of credibility, credible Bayesian estimations in the system of insurance, models: binomial/beta, Poisson/gamma, normal/normal. Empirical Bayes estimation of netto premium or total claim amount - models EBCT1 and EBCT2, models prerequisites, parameters estimation.
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Learning activities and teaching methods
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Monologic (reading, lecture, briefing), Dialogic (discussion, interview, brainstorming), Skills training, Work-related activities
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Learning outcomes
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The aim of the course is to explain the basic principles, methods and techniques of risk management. Teaching is focused mainly on market, credit and operational risk and modern credit portfolio management.
Students will be acquainted with theoretical methods as well as with practical skills in applying statistic packages and the table processor Excel.
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Prerequisites
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unspecified
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Assessment methods and criteria
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Oral examination, Written examination, Didactic test, Systematic monitoring
The assignment is granted upon completion of the following conditions: attendance at seminars and passing continuous tests. The examination is written and comprises of the theoretical and practical part.
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Recommended literature
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KOČIŠOVÁ, K., VOKOROKOSOVÁ, R. Manažment bankových operácií. Košice: EKF TU, 2009. ISBN 978-80-8086-118-6.
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Polouček, Stanislav. Peníze, banky, finanční trhy. V Praze: C.H. Beck, 2009. ISBN 978-80-7400-152-9.
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ROSE, P., S., HUDGINS, S., C. Bank Management & Financial Services. Boston etc.: McGraw-Hill Irwin, 2005.
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SEKERKA, B.:. Řízení bankovních rizik. Praha: Profess Consulting, 1998.
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SINKEY, J. F. Commercial Bank Financial Management. London etc.: Prentice Hall, 1998. ISBN 0-13-521048-8.
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WOTERHOUSE, P.:. Úvod do řízení úvěrového rizika. Praha: Management Press, 1994.
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