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Asset and Liability Management for Actuaries

  • Teacher(s): J.Wagner
  • Course given in: English
  • ECTS Credits: 6 credits
  • Schedule: Autumn Semester 2018-2019, 4.0h. course (weekly average)
  •  séances
  • site web du cours course website
  • Related programme: Master of Science (MSc) in Actuarial Science

 

Objectives

  • Provide an understanding of an insurance company’s strategic objectives and the relevance of a sound management of assets and liabilities.
  • The course describes and profoundly discusses concepts for the management of assets and liabilities in insurance companies. Initially, asset and liability management are considered separately. Finally, asset and liability sides are combined with the purpose of developing integrated approaches.
  • Asset Management
    Introduce the most important asset classes, the construction of diversified portfolios, the asset allocation and performance management, aspects of stochastic modeling and investment regulation in insurance.
  • Liability Management
    Review and extend on the concepts of risk pricing, pooling and sharing; introduce current methods of alternative risk transfer.
  • Asset and Liability Management
    Introduce the basic techniques, valuation and accounting procedures as well as solvency regulation and risk capital models; lay the basis for developing ALM models through case study analyses.

Contents

  • Chapter 1. Introduction
    1. Core strategic topics of an insurance company
    2. Why Asset-Liability Management?
    3. Conclusion
  • Chapter 2. Asset Management
    1. Introduction
    2. Asset classes
    3. (Modern) Portfolio Theory
    4. Asset pricing models
    5. Strategic asset management and performance measures
    6. Assets return modeling and measurement of risk
    7. Insurance investment regulation
  • Chapter 3. Liability Management
    1. Risk pricing
    2. Risk pooling
    3. Risk sharing
    4. Alternative risk transfer (ART)
  • Chapter 4. Asset-Liability Management
    1. Techniques of asset-liability management
    2. Valuation and accounting
    3. Solvency regulation and risk capital models
    4. ALM modeling and case studies

References

Comprehensive set of lecture slides and notes as provided.

Additional readings as provided during the course.

Guest lectures.

Pre-requisites

  • No hard prerequisites, basic knowledge in actuarial science is expected
  • General interest in the economy and the insurance industry
  • No further particular/formal requirements

Evaluation

First attempt

Exam:
Written 3h00 hours
Documentation:
Not allowed
Calculator:
Allowed with restrictions
Evaluation:
  • Mid-term exam: 1 hour, closed-book, non-programmable calculator (no retake)
  • Final exam: 3 hours, closed-book, non-programmable calculator
  • Evaluation: If the grade of the mid-term exam is higher than the grade of the final exam, it is taken into account as follows: the final grade is given by 75% of the grade of the final exam and 25% of the grade of the mid-term exam. If the grade of the mid-term exam is lower than the grade of the final exam, it is not taken into account, i.e., the final grade is the grade of the final exam. The same holds in the case of absence at the mid-term exam.
  • Participation in class (i.e. group presentations) will be accounted for within a range from -0.5 to +1.0 points on the final grade.

Retake

Exam:
Written 3h00 hours
Documentation:
Not allowed
Calculator:
Allowed with restrictions
Evaluation:

Same conditions as regular session.



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