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

Präsenzveranstaltung

Art der Veranstaltung

Pflichtfach

Empfohlene Fachliteratur

Doff, R., 2015, Risk management for insurers: risk control, economic capital and Solvency II, Risk Books

Lern- und Lehrmethode

Interactive teaching (lecture and discussion), examples in Excel and presentations of the students.

Prüfungsmethode

The assessment of this course relies on a group project during the course on the risk assessment of complex fixed income products with derivative components under the rules of Solvency II (30 points) and a written final exam (70 points).

Voraussetzungen laut Lehrplan

Courses of the 2nd semester

Schnellinfos

Studiengang

Quantitative Asset and Risk Management (Master)

Akademischer Grad

Master

ECTS Credits

3.00

Unterrichtssprache

Englisch

Studienplan

Berufsbegleitend

Studienjahr, in dem die Lerneinheit angeboten wird

2023

Semester in dem die Lehrveranstaltung angeboten wird

3 WS

Incoming

Lernergebnisse der Lehrveranstaltung

After the successful completion of the course, students can outline the relevant aspects of the European regulatory framework for insurances (Solvency II) with a focus on life insurances. Furthermore, they are able to use methods of insurance mathematics to calculate single premiums, best estimates and solvency capital requirements for various life insurance products and comment on the results

Kennzahl der Lehrveranstaltung

0613-09-01-BB-EN-27