Recent Diploma (Master) Theses

Only titles of of recent master theses are listed below.
More information is available from Dean's office.

  • (Quasi) Monte Carlo methods in life insurances.
  • Problems encountered when trying to apply homogeneous Markov Chains to bonus-malus systems.
  • Mathematical methods of pension fund reisurance.
  • Selected models of the credibility theory.
  • Multiple state Markov processes with application to Long Term Care Insurance.
  • An overview of convex risk measures in finance.
  • Insurer's optimal investing process.
  • Insurer's wealth process modelling.
  • Application of copulas in modelling insurance risk.
  • Searching for rich efficient sets in Markowitz's model with self-created implementation of critical line algorithm.
  • On determination of implied covariance matrix based on Black-Scholes model.
  • Coherent measure of risk - Weighted VaR and its application.
  • Credit ratings modelling.
  • Numerical solution of stochastic differential equations with application to currency models.
  • Controlled Markov chains and their applications to ruin theory.
  • On the application of principal component analysis to the VaR estimation of fixed-income bond portfolio.
  • On mean - VaR portfolio analysis.
  • A riskless portfolio method in finance.
  • Research on the scaling hypothesis in financial data.
  • Convexity adjustment for interest rate derivatives using a martingale approach.
  • Accumulation of retirement savings in OPF as a Markov process.
  • Comparison of expectations values of return in "filter" and "by and hold" strategies.
  • On the delta-gamma method of the VaR estimation.
  • Insurance technical provision for incurred but not reported claims - modification of Chain-Ladder method.
  • Spatial modelling for insurance premium rating.
  • Robust utility maximization with constraints.
  • Mathematical methods of calculations of actuarial reserves.
  • Mathematical models of option portfolios.
  • Mathematical models of hedged investment funds.
  • Pricing of an exchange option.
  • Stochastic modelling of term structure of interest rates depending on expected Federal Open Market Committee decisions.
  • Optimization in bond portfolio.
  • Joint distribution of claim size and settlement time, and reserving methods.
  • The creation of life tables by the use of graduation for the needs of pension plans.
  • Generalized Hull-White model.
  • Bond risk management.
  • Testing relationship between random variables under the zero hypothesis that the linking copula is Gaussian.
  • Sensibility of multiple-life insurance premiums and reserves to changes in interest rates and mortality patterns.
  • Estimation's methods for the parameters of ARCH and GARCH processes.
  • Optimization of the structure of insurance company's portfolio.
  • Classical problems of actuarial mathematics.
  • Estimation of probability of ruin of a pension company.
  • Replication strategies of random liabilities stream.
  • Additivity of risk measures and the problem of decomposition of the whole portfolio premium into individual risk premiums.
  • Models of pension systems functioning.
  • Credit Default Swap pricing.
  • The concept of comonotonicity and its applications in insurance.
  • Mathematical models of pricing method of investment fund.
  • Valuation models of Collateralized Debt Obligation (CDO).
  • Linear, empirical Bayesian prediction and the problem of large claims in insurance.
  • Application of the bootstrap methodology in the reserving process of outstanding claims.
  • Estimating the parameters of the Markov chain from aggregate.
  • Generalizations of the mixture of exponential distributions in ruin theory.
  • Forecasting of life tables. Selected parametric models and non-parametric approaches.
  • Binary choice models with misclassification - an application to investigation of insurance frauds.
  • Mathematical models of pension reserves.
  • Pricing of the callable bonds.
  • Value at Risk for credit portfolio - structural approach.
  • Constant Elasticity of Variance option pricing model.
  • Modelling financial markets with Levy processes.
  • The use of discrete distributions in approximation of ruin probability function.
  • Multiple state model in health insurance.
  • Quasi-linear Bayesian prediction when conditional distribution of observations is a compound distribution.
  • Mathematical models of functioning pension institution.