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

Mode of delivery

face to face



Recommended or required reading and other learning resources/tools

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

Planned learning activities and teaching methods

Integrated class

Assessment methods and criteria

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).

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 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.

Course code