Management of Non-Life Risk

types of non-life insurance; decomposition of premiums and premium principles (risk measures); calculation and accounting of claim reserves (prudence vs. mark-to-market); ruin probabilities and capital requirements (with a focus on Solvency II); controlling of a non-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 non-life-insurance; reporting of the non-life-insurance risk; dynamic financial analysis in a non-life-insurance

Art der Vermittlung

Präsenzveranstaltung

Art der Veranstaltung

Pflichtfach

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

Prüfungsmethode

Student assessment for this course relies on the quality of assignments, their presentation and participation (30 points) and the result of 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

2021

Semester in dem die Lehrveranstaltung angeboten wird

3 WS

Incoming

Ja

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 non-life risk. They can characterize different types of non-life insurances. Furthermore, the students can describe the organisation and embedding of risk management in non-life-insurances and are able to calculate ruin probabilities. Additionally, they can describe the most important aspects of the regulatory framework for insurance companies and pension funds (Solvency II) as well as relevant new regulations concerning the accounting system (IFRS) for non-life risk.

Kennzahl der Lehrveranstaltung

0613-09-01-BB-EN-28