Special aspects of insurance economics (Winter)

Assistant

Dr. Peter Hieber

Amount

Masterseminar 2/0 SWS

Dates

This seminar takes place as a block seminar. The attendance at all seminar dates is required.

Dates: tba

room: tba

Content

This seminar focuses on life and pension insurance. We mainly deal with the fair valuation and risk management of equity linked life insurance products. We consider and model the different types of risk inherent in these products with a focus on financial market risks. The seminar is based on scientific papers that summarize recent results in this area.  

Target group

The seminar is suitable for Master students in Wirtschaftsmathematik or Wirtschafts-wissenschaften or finance. Previous knowledge in Personenversicherungsmathematik, Insurance Economics and Finanzmathematik 1 are helpful. 

Seminar performance

Typically, seminar papers are distributed to a group of 2 students.
The seminar performance consists of three parts:

  • A seminar presentation about a selected topic. The presentation typically includes some theoretical derivations / model introduction and some numerical part that applies the results in a realistic setup. Duration of the presentation: 90 minutes (including discussion).
  • A written formulation of the presentation documents as a support for the participants of a maximum length of two pages. Delivery of the presentation documents: at least one week before the presentation via email to peter.hieber@uni-ulm.de. The creation of the presentation documents is a performance of the whole group.
  • Active participation in this seminar.


Based on the performance, every participant will be credited with an (internal) grade.  

Seminar papers

  1. Miltersen, K.R.; Persson, S.-A.: Guaranteed Investment Contracts: Distributed and Undistributed Excess Return, Scandinavian Actuarial Journal, Vol. 4, pp. 257-279, 2003.
  2. Gatzert, N.; Holzmüller, I.; Schmeiser, H.: Creating Costumer Value in Participating Life Insurance, Journal of Risk and Insurance, Vol. 79, No. 3, pp. 645-670, 2012.
  3. Hansen, M.; Miltersen, K.R.: Minimum Rate of Return Guarantees: the Danish Case, Scandinavian Actuarial Journal, Vol. 4, pp. 280-318, 2002.
  4. Devolder, P.; de Valeriola, S.: Minimum Protection in DC Funding Pension Plans and Margrabe Options, Risks, Vol. 5, No. 5, pp. 1-14, 2017.
  5. Bernard, C.; Le Courtois, B.: Asset Risk Management of Participating Contracts, Asia-Pacific Journal of Risk and Insurance, Vol. 6, No. 2, pp. 1-23, 2012.
  6. Pézier, J.; Scheller, J.: Optimal investment strategies and performance sharing rules for pension schemes with minimum guarantees, Journal of Pension Economics and Finance, Vol. 10, No. 1, pp. 119-145, 2011.
  7. Kassberger, S.; Kiesel, R.: Fair valuation of insurance contracts under Lévy process specifications, Insurance: Mathematics and Economics, Vol. 42, pp. 419-433, 2008.
  8. Bertrand, P., Prigent, J.-L.: Portfolio insurance strategies: OBPI versus CPPI, Finance, Vol. 26, pp. 5-32.