The course language will be English.
- All course material will be provided via moodle.
- It is strongly recommended that participants register for the course on moodle before the beginning of the semester.
Asset-Liability-Management (ALM) describes the management and controlling of liabilities and assets within an insurance company. It is based on techniques from actuarial science and financial mathematics. The course covers the most important methods, which are widely used in practice. These methods become more and more relevant for the risk-management and controlling of insurance companies (e.g. due to the "Solvency II" requirements). The course discusses models, which handle the entire insurance company, as well as models, which focus on single insurance products and the matching of insurance guarantees and the asset allocation.
Overview of the main contents:
- Fundamental model of ALM
- Actuarial Control Cycle (i.e., how to delevop suitable models)
- Stochastic models
- e.g., simulation of uni- and multivariate distributions as well as dependence structures
- e.g., stock and interest rate modeling
- Deterministic vs. stochastic models
- e.g., when is which type of models preferable
- Capital market models
- e.g., term structure of interest rate
- e.g., difference between real world and valuation model
- Asset models
- e.g., how to simulate and project a portfolio of various assets and which quantities are usually projected
- Liability models
- important aspects specific to the different types of insurances (life, non-life, health)
- portfolio aggregation, e.g. via clustering
- mortality modeling in life insurance
- e.g., Lee-Carter-Model
- non-life models
- e.g., categorization in different types of claims which require different model approaches
- Analysis of sochastic results
- In order to apply stochastic results as a basis for management decisions, the analysis (and communication) of such results is indispensable.
- Risk in insurance and Enterprise Risk Management (ERM)
- Due to the uncertainty of future developments, risk management is a central management task. This is even more true for insurers whose business is the coverage of their policyholders’ risks. The quantification of risk is an important application of insurance models.
- ERM process and the Three Lines of Defense
- Limit systems and capital allocation methods
- Economic Balance Sheet
- how does it look like and how to derive it
- Solvency II
- We discuss the Solcency regulation in the context of ALM
Within the lecture it is possible to achieve the certificate of the German actuarial society (DAV) in "Modellierung”. This certificate is a basic requirement for becoming an actuary in Germany.
This certificate can be achieved by passing the first exam or second exam.
- McNeil, A. J., Frey, R. & Embrechts, P. (2005): Quantitative Risk Management: Concepts, Techniques, and Tools