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

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Thorsten Sehner


Monday: 10:15-11:45 and 12:15-13:45, N24 - 226

First lecture: Monday, Oct 14 2019: 10:15-11:45 and 12:15-13:45, N24 - 226

Last lecture: Monday, Feb 10 2020: From 10:15 on: Question time, and directly afterwards: Exercise 8, N24 - 226

Planned exercise sessions:

  1. Monday, Oct 21 2019: 12:15-13:45, N24 - 226
  2. Monday, Nov 04 2019: 12:15-13:45, N24 - 226
  3. Monday, Nov 25 2019: 12:15-13:45, N24 - 226
  4. Monday, Dec 02 2019: 12:15-13:45, N24 - 226
  5. Monday, Dec 16 2019: 12:15-13:45, N24 - 226
  6. Monday, Jan 20 2020: 12:15-13:45, N24 - 226
  7. Monday, Feb 03 2020: 12:15-13:45, N24 - 226
  8. Monday, Feb 10 2020: Directly after question time, N24 - 226

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


First Exam: Friday, March 06 2020: 10:00(s.t.)-12:00

Lecture hall for first exam: O28 - H22

Post-exam review (first exam):  Thursday, March 12 2020, 13:00-14:00 and Friday, March 13 2020, 13:00-14:00 in Heho20/1.48

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

Second Exam: Tuesday, May 26 2020

Seminar room for second exam: O28 - 2003


General further information on exam:

  • The exam will be carried out in written or in oral 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.

Requirements for Achieving DAV Certificate:

To achieve this DAV certificate, it is required to separately pass the final course exam (it does not matter if it is the first or the second exam) and a DAV supplement exam.

Note that the semester, in which you pass the final course exam, and the semester, in which you pass the DAV supplement exam, do not need to coincide.

Further note that, since the passing of both the DAV supplement exam and the final course exam is required to achieve the DAV certificate, it is necessary that you register for both, generally via:

  • For the DAV supplement exam, you register on Moodle (registration deadline: Monday, Jan 06 2020).
  • For the final course exam, you register via the Hochschulportal, as usual.

Since by the latter registration you get a grade and, if you pass, the credits for the regular lecture, it is clear that it is generally not possible to achieve the DAV certificate without getting a grade (and possibly the credits) for the regular lecture.

Exams from previous semesters that count towards the achievement of the DAV certificate upon passing:

  • First final course exam from winter term 18/19 (with grade/credits) -> only passing of DAV supplement exam still necessary (registration via Moodle)
  • DAV supplement exam from winter term 18/19 -> only passing of final course exam still necessary (registration via Hochschulportal)

If you have any questions etc. concerning the requirements for achieving the DAV certificate or if you are in an exceptional situation, please do not hesitate to write an email to thorsten.sehner@uni-ulm.de.

DAV Supplement Course and Exam:

The material necessary for the DAV supplement exam will be discussed in a DAV supplement course.

The dates for the DAV supplement course in the current term have been set as follows:

  • Monday, Dec 09 2019: 17:00-20:00, N24 - H11
  • Tuesday, Dec 10 2019: 08:30-12:00, N24 - H11
  • Friday, Dec 13 2019: 16:00-20:00, N24 - H11
  • Tuesday, Dec 17 2019: 08:30-12:00, N24 - H11 (CANCELED)

The DAV supplement exam in the current semester will be carried out on

  • Friday, Jan 10 2020: 08:00(s.t.)-10:00, O27 - H20

Further information on DAV supplement exam:

  • The exam will be carried out in written form.
  • Authorized auxiliaries: Pens, ruler and a non-programmable and non-graphic calculator.

Post-exam review (DAV supplement exam): Monday, January 13 2020: 13:00-14:00 and Tuesday, January 14 2020: 13:00-14:00 in Heho20/1.67

The marking of the DAV supplement exam is finished! You should have received an e-mail (if you have agreed to this) informing you if you have passed the DAV supplement exam or not. If you have not received this e-mail, please contact thorsten.sehner@uni-ulm.de.


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".


  • 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