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

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

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).

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 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.

Course code