Risk margin in technical reserves calculations

This thesis focuses on the comparison of the non-life insurance risk margin calculation methods. At first, the current situation on the European insurance market is described as well as possible approaches of the risk margin calculations. Next the paper deals with the cost of capital method and Value at Risk simulation approach. Apart from theoretical description of the methods there are also practical calculations based on data, which correspond to the character of some insurance lines on the Czech market, mentioned in this paper. In the final part comparison of both methods' results is described and, in addition to that, the results of the Tail Value at Risk method are also mentioned. A computational tool for the risk margins is also included in the thesis