This paper deals with the time series analysis and their development prediction of gross premium written of life and non-life insurance, in the frame of the Czech insurance market by years 2009 and 2010. The time series are defined as a sequence of data points, measured typically at successive times, spaced at time intervals. Data in this modelling are gross premium written of life and non-life insurance at years 1995 - 2008. This analysis doesn't include economic factors (for example: inflation, economic progress, economic recession, economic shocks). The gross premium written is in the analysis of Czech insurance market one of very important economic indicators. The Czech insurance market ranks with small insurance market, but the sum of gross premium written from insurance companies is in sum of year 2008 in the amount of 139 851 960 000 CZK, number of insurance contracts is 25 205 182 and number of employees in insurance companies is 14 770. The Czech insurance market consists of 56 insurance companies and district offices of foreign insurance companies (in April 30 2009). The proportion of gross premium written of life and non-life insurance is 60:40 in the frame of European Union insurance market and 40:60 in the Czech insurance market. In the future the proportion can be assumed that the situation in the Czech insurance market will be the same as in the frame of European Union insurance market The prediction of future development of gross premium written of life and non-life insurance will be presented in this paper.
