Risk Management in Insurance/Wert- und risikoorientierte Steuerung von Versicherungsunternehmen

Exercises

Thorsten Sehner

Dates

Monday: 10:15-11:45 and 12:15-13:45, H12

First lecture: Monday, Oct 15th, 2018: 12:15-13:45, H12

Important News

  • The grades for the second exam are published.
  • Information on post-exam review for the second exam is published.
  • Information on lecture hall for the second exam is published.
  • The grades for the first exam are published.
  • Information on post-exam review for the first exam is published.
  • Information on lecture hall for the first exam is published.
  • On Jan 28th, 2019, a double exercise session takes place, i.e. from 10:15 until 11:45 and from 12:15 until 13:45. Furthermore, the last exercise session on Feb 11th, 2019 takes place from 10:15 until 11:45.
  • The registration for the first and the second exam via the Hochschulportal is open. Note that the German title of the lecture is used in the system.
  • Information on dates, times and rooms of the DAV supplement and the DAV exam is published. On moodle, you can register for the DAV exam.
  • On Dec 3rd, 2018, a double exercise session takes place, i.e. from 10:15 until 11:45 and from 12:15 until 13:45.
  • Information on dates and times of the exams is published.

Further Information

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

Course Material

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. Designated topics are:

  • Risk measures, economic capital and capital allocation
  • Aspects of Solvency II
  • Financial accounting
  • Control parameters and performance indicators
  • Interest rate risk
  • State preference theory
  • Equity options and the Black-Scholes-Merton model
  • Portfolio planning and optimal decision theory

Exam

First Exam: March 1st, 2019: 12:00 (s.t.) - 14:00

Lecture hall for first exam: O28 - H22

Post-exam review (first exam):
Monday, March 11th 2019, 13:30-14:30 and Tuesday, March 12th 2019, 13:30-14:30 in Heho22/2.22

The grades for the first exam are published in the Hochschulportal!

For those students who have written the first exam only for the DAV certificate, you should have received an e-mail informing you if you have passed the exam or not. If you have not received this e-mail, please contact us.

 

Second Exam: April 26th, 2019: 14:00 (s.t.) - 16:00

Lecture hall for second exam: O28 - H22

Post-exam review (second exam):
Monday, May 06th 2019,
15:00-16:00 and Tuesday, May 07th 2019, 13:30-14:30 in Heho20/1.67

The grades for the second exam are published in the Hochschulportal!

Further information on exam:

  • The exam will be carried out in written form.
  • The exam will be open, i.e. you can also take the second without taking the first exam.
  • Authorized auxiliaries: Pens, ruler and a non-programmable and non-graphic calculator.
  • To take part in the first exam or/and in the second exam (in order to get a grade and, if you pass, the credits for the course), you have to register for the corresponding exam(s) via the Hochschulportal.

DAV Certificate

Within the lecture it is possible to achieve the certificate of the German actuarial society (DAV) in "Unternehmenssteuerung" (PO 4). Note that this certificate is equivalent to "Wertorientiertes Risikomanagement" (PO 3).

This certificate is a basic requirement for becoming an actuary in Germany.

To achieve this DAV certificate, it is required to pass the first course exam and a DAV supplement exam.

The material necessary for the DAV supplement exam will be discussed in a DAV supplement course, that will be held by Nils Sørensen.

The dates for the DAV supplement has been set as follows:

  • Friday, Dec 7th, 2018: 16:00 (s.t.) - 20:00, H10
  • Monday, Dec 10th, 2018 (canceled)
  • Friday, Dec 14th, 2018: 17:00 (s.t.) - 21:00, H10
  • Friday, Jan 11th, 2019 (canceled)

The DAV supplement exam will be carried out on

  • Tuesday, Jan 15th, 2019: 18:00 (s.t.) - 20:00, H4/5

You can register for the DAV supplement exam on moodle.

Note that you need to do the registration on moodle either if you want to get the DAV certificate and a grade for the course, or if you only want to get the DAV certificate. In the first case, you also have to register for the (first) course exam via the Hochschulportal, whereas in the second case, you just register on moodle (no further registration required to take part in the (first) course exam in March in this case).

The marking of the DAV supplement exam is finished! You should have received an e-mail informing you if you have passed the DAV supplement exam or not. If you have not received this e-mail, please contact us.

Requirements

The lecture is oriented at master students from "Mathematics and Management", "Economics" or "Finance" interested in insurance and actuarial science. Useful but not necessary are the lectures "Insurance Economics" and "Life-, Health- and Pension-Mathematics".

Literature

  • John C. Hull (2012), Risk Management and Financial Institutions, John Wiley & Sons
  • Marcus Kriele and Jochen Wolf (2016), Wertorientiertes Risikomanagement von Versicherungsunternehmen, Springer
  • Other references: see specifications in lecture slides