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



Recommended or required reading and other learning resources/tools

Level 2: Delegated Regulation (includes references to Level 1: Directive); Level 3: Guidelines and Implementing technical standards. Available at:

Planned learning activities and teaching methods

Integrated class

Assessment methods and criteria

Student assessment relies on the quality of their assignments, their presentations and their participation (30 points) and the results of the final written exam (70 points).

Prerequisites and co-requisites

Courses of the 2nd semester


Degree programme

Quantitative Asset and Risk Management (Master)



ECTS Credits


Language of instruction




Academic year



3 WS



Learning outcome

After the successful completion of the course, students are able to state the general framework of the pan European Solvency II regime. They are able to describe 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 will also have a basic understanding of the corresponding required governance structure and quantitative aspects. 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 outline 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