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


Thorsten Sehner


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

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

Planned exercise sessions: Oct 29th, Nov 12th, Dec 3rd, Dec 17th (2018), Jan 14th, Jan 28th (2019):

  • Except for Dec 3rd, 2018: 12:15-13:45 (after the lecture), H12
  • On Dec 3rd, 2018: 10:15-11:45 and 12:15-13:45 (double session), H12

Important News

  • 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


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

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

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 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

Information on registration for the DAV supplement exam is given on moodle.


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