Risk Management in Insurance

Lecturer

Prof. Dr. An Chen

Exercises

Thorsten Sehner

Dates

Biweekly lecture: Mondays (8.30-11.45, H20)

 

Important News

  • Information on registration for exam is published.
  • Information on DAV supplement is published.
  • Information on exam is published.
  • The lecture will be held in English.
  • German title of the lecture: Wert- und risikoorientierte Steuerung von Versicherungsunternehmen

Exam

First Exam: Feb 16 2018, start: 4 pm

Further Information on Exam

Please read carefully the following important announcements about the exam:

  • The exam will be open, i.e. you can also take the second without taking the first exam. But the DAV certificate (see also below: "DAV Certificate") can only be achieved in the first exam.
  • Authorized auxiliaries: Pens, ruler and a non-programmable and non-graphic calculator.
  • Due to new provisions enacted by the DAV, the first exam this term consists of two parts: A regular course part and a DAV supplement part. The following regulations apply:
  1. If you only want to get a grade for the course and are not interested in the DAV certificate, you just need to take the regular course part.
  2. If you want to get a grade for the course and want to receive the DAV certificate, you need to take the regular course part and the DAV supplement part (requirement for receiving the DAV certificate is passing the DAV supplement part and the exam as a whole).
  3. If you only want to receive the DAV certificate and are not interested in getting a grade for the course, you also need to take the regular course part and the DAV supplement part (requirement for receiving the DAV certificate is passing the DAV supplement part and the exam as a whole).

    DAV Certificate

    Within this lecture it is possible to achieve the certificate of the German actuarial society (Deutsche Aktuarvereinigung DAV) in "Wertorientiertes Risikomanagement". This certificate is a basic requirement for becoming an actuary in Germany.

    The requirement for receiving the certificate is listed above: see "Further Information on Exam".

    Information on registration for the DAV supplement part can be found below: see "Registration for Exam".

    The DAV supplement session will be held on Friday, January 19, 2018, from 2 to 6 pm in lecture hall H20 by Manuel Rach.

    Registration for Exam

    Due to three different cases given above (see "Further Information on Exam"), there are also three different registration procedures:

    1. Only grade for course and no DAV certificate: Please just register for the exam via the Hochschulportal as soon as this is possible.
    2. Grade for course and DAV certificate: Please register for the exam via the Hochschulportal as soon as this is possible and on moodle (see "Registration for the DAV Supplement Part/DAV Certificate" on moodle).
    3. Only DAV certificate and no grade for course: Please just register on moodle (see "Registration for the DAV Supplement Part/DAV Certificate" on moodle).

    The "Registration for the DAV Supplement Part/DAV Certificate" on moodle is available until Feb 9, 2018, 11:59 pm.

    Course Documents

    All documents for the lecture can be found in moodle. So please register for the lecture in moodle.

    Course Content

    This course provides an introduction to the basics of risk management in insurance. The lecture will be held completely in English. 

    Topics include:

    • Interest rate risk (yield curves, forward rates, caps and floors)
    • Occupational pension plans (defined benefit, defined contributions)
    • State preference theory (state prices, arbitrage, market completeness, Arrow-Debreu and complex securities)
    • Equity options (Introduction to option theory, Black-Scholes-Merton model)
    • Portfolio planning (Markowitz portfolio theory, CAPM, optimal investment decision, optimal consumption-savings decision)
    • Risk measures, Economic capital

      Requirements

      The lecture is oriented at master students from Wirtschaftsmathematik or Wirtschaftswissenschaften interested in insurance and actuarial science. Useful but not necessary are the lectures Insurance Economics and Personenversicherungsmathematik.

      Literature

      • John Hull (2012), Risk Management and Financial Institutions, John Wiley & Sons