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, 12:15-13:45

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: TBA

Second Exam: TBA

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.

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 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 presumably hold in December. Further information follows.

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