ALM and Insurance Management

Fundamental model for measuring risk capital under SII (basic understanding of the terms SCR, Minimum Capital Requirement (MCR), Own Funds (OF), Net Asset Value (NAV), Delta NAV, Best Estimate, Risk Margin, Economic Balance Sheet (EBS), factor based module, scenario based module, Standard formula, (partial) internal model ((P)IM), Undertaking Specific Parameters (USP), Solvency II LoBs, concept of correlation and diversification between risks; Basic understanding of legal framework, internal governance (Fit & Proper, Prudent Person Principle (PPP), Risk Management System) and ORSA (Own Risk and Solvency Assessment), Solvency and Financial Condition Report (SFCR), Regular Solvency Report (RSR), Quantitative Reporting Templates (QRTs), Guidelines (GL), ITS (Implementing Technical Standards), EIOPA (European Insurance and Occupational Pension Authority), Lamfalussy process, Comply or Explain, Supervisory Review Process (SRP); Simulation of ORSA projections (understanding the interdependence of positions within the EBS and effects of the SCR of different external events and internal decisions)

Mode of delivery

face to face

Type

compulsory

Planned learning activities and teaching methods

Interactive teaching (lecture and discussion), calculations examples using Excel, a quiz for self-assessment, and a game on the own risk and solvency assessment (ORSA)

Assessment methods and criteria

The course assessment consists of 30 points for an interactive ORSA game during the course and 70 points for a written final exam.

Prerequisites and co-requisites

Courses of the 2nd semester

Infos

Degree programme

Quantitative Asset and Risk Management (Master)

Cycle

Master

ECTS Credits

3.00

Language of instruction

English

Curriculum

Part-Time

Academic year

2023

Semester

3 WS

Incoming

Yes

Learning outcome

After the successful completion of the course, students are able to describe the general framework of the pan European Solvency II regime. They can categorize the requirements in the three pillars of the framework and differentiate between their aims. Not only will they be able to search the four levels of the Solvency II regime to answer relating questions, but they also can highlight the required governance structure and break down quantitative aspects of risk assessment. They are able to explain the idea behind the calculation of the Solvency Capital Requirement (SCR) and to differentiate between the factor and scenario-based approach for calculating risk modules. Furthermore, they are able to illustrate the reasoning of why the SCR is compared to the eligible own funds for calculating the solvency ratio, which is the regulatory key figure under Solvency II.

Course code

0613-09-01-BB-EN-26

ALM and Insurance Management