Risk Management in Insurance

Lecturer

Prof. Dr. An Chen

Exercises

Thorsten Sehner

Dates

Biweekly lecture: Mondays (8.30-11.45, H20)

 

Important News

  • The lecture will be held in english.
  • German title of the lecture: Wert- und risikoorientierte Steuerung von Versicherungsunternehmen

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.

    DAV Exam

    Within this lecture it is possible to achieve the certificate of the german actuarial society (Deutsche Aktuar Vereinigung DAV) in "Wertorientiertes Risikomanagment". This certificate is a basic requirement for becoming an actuary in Germany. Requirement for the certificate is passing the final exam.

    Information on registration for the DAV exam are given in moodle.

    Literature

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