Management of Life Risk

types of life-insurance contracts; decomposition of premiums; pricing of life-insurance contracts according to IFRS and mark-to-market; actuarial models for the calculation of premium reserves (prudence vs. mark-to-market); profit allocation; regulatory aspects for life-insurances (with a focus on minimum capital requirements according to Solvency II); identification of and accounting for guarantees and embedded options; integrated management of assets and liabilities in life insurance; controlling of a life-insurance portfolio by: acceptance/rejection of contracts, limit systems, risk-adequate pricing (including Solvency II capital requirements), product design; organisation and embedding of risk management in a life-insurance; reporting of the life-insurance risk

Art der Vermittlung


Art der Veranstaltung


Empfohlene Fachliteratur

Doff, R., 2007, Risk Management for Insurers: Risk Control, Economic Capital and Solvency II, Risk Books; Babbel, D., Fabozzi, F., 1999, Investment Management for Insurers, Wiley; Scherer, B. (ed.), 2003, Asset and Liability Management Tools, Risk books

Lern- und Lehrmethode

Integrated class


The assessment of this course relies on continuous assessment (30 points) and a written final exam (70 points). The syllabus of the course outlines the rules for the continuous assessment (e.g. assignments, presentations, in-class contributions, quizzes).

Voraussetzungen laut Lehrplan

Courses of the 2nd semester



Quantitative Asset and Risk Management (Master)

Akademischer Grad


ECTS Credits






Studienjahr, in dem die Lerneinheit angeboten wird


Semester in dem die Lehrveranstaltung angeboten wird

3 WS



Lernergebnisse der Lehrveranstaltung

After the successful completion of the course, students are able to handle economic capital allocation using appropriate control measures in the field of life risk. They can organise and control a limit system. Furthermore, the students are able to develop and understand actuarial models for the calculation of premium reserves. Additionally, the students can describe the most important aspects of the regulatory framework for insurance companies (Solvency II) as well as relevant new regulations concerning the accounting system (IFRS) for life risk.

Kennzahl der Lehrveranstaltung