Risk Management in Insurance/Wert- und risikoorientierte Steuerung von Versicherungsunternehmen
Biweekly lecture: Mondays (8.30-11.45, H20)
- Information on post-exam review and exam results (grades/DAV certificate) is published.
- Information on allocation to lecture halls for first exam is published.
- 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
First Exam: Feb 16 2018, start: 4 pm
Lecture halls for first exam:
- O28 - H22: Surname beginning with: A-Schn
- O27 - H20: Surname beginning with: Schu-Z
Monday, March 5 2018, 1-2 pm and Wednesday, March 7 2018, 1-2 pm in Heho22/2.22
The grades are published in the Hochschulportal!
Furthermore, you can check on Moodle if you have achieved (passed) the DAV certificate or not (failed). For this, open the section "Grades" in the drop-down menu on the left-hand side and look for the "Feedback" within the grade item "DAV Certificate".
Second Exam: April 6 2018, 12-2 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:
- 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.
- 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).
- 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).
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 the three different cases given above (see "Further Information on Exam"), there are also three different registration procedures for the first exam:
- Only grade for course and no DAV certificate: Please just register for the exam via the Hochschulportal as soon as this is possible.
- 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).
- 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.
This course provides an introduction to the basics of risk management in insurance. The lecture will be held completely in English.
- 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
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.
- John Hull (2012), Risk Management and Financial Institutions, John Wiley & Sons