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Asset & Liability Management: Insurance and Pension Funds

  • Teacher(s): D.Michoud
  • Course given in: English
  • ECTS Credits: 3 credits
  • Schedule: Autumn Semester 2018-2019, 2.0h. course (weekly average)
  •  séances
  • site web du cours course website
  • Related programmes:
    Master of Science (MSc) in Finance, Orientation Asset and Risk Management

    Master of Science (MSc) in Finance : Financial Entrepreneurship and Data Science

    Master of Science (MSc) in Finance, Orientation Corporate Finance

 

Objectives

Although technical, the course aims at providing a general understanding of the main types of insurance companies and their charateristics, constraints and balance sheet management approaches.
Core techniques in asset liability management will be introduced and developped for some generic cases, and references to ALM pratices at insurance companies will be made.

The regulatory environment will also be addressed, namely Solvency II and accounting standard, and their impact considered.

Contents

The course is structured along the following topics:

1. an overview of the main insurance businesses

2. ALM techniques- static approaches

3. ALM techniques- dynamic approaches

4. ALM strategic decisions -Derivatives, ART, Unit linked products,...

5. The regulatory evironment : Solvency II

6. ALM for pension funds (invited speaker)

References

Comprehensive lecture notes will be provided, with numerous references.
Lecture slides are also made available

Pre-requisites

No hard prerequisites, basic knowledge in actuarial science is expected
General interest in the economy and the insurance industry
Having attended the course on ALM for banks would be a plus, a numerous references will be done

Evaluation

First attempt

Exam:
Written 2h00 hours
Documentation:
Allowed with restrictions
Calculator:
Allowed with restrictions
Evaluation:

The will be assignments given at the end each course (every 2 weeks). These assignments can be done in groups of up to 5 students, and will be graded.

The Exam will be a 2 hours written exam, with closed books but with authorized calculators. No laptop or cellphone will be allowed during the exam. Students are allowed to bring a single one-sided sheet of A4 paper containing formulas for their exclusive use.

The final mark will be calculated as 0.3* Avg(assignments) + 0.7*Exam mark

Retake

Exam:
Written 2h00 hours
Documentation:
Allowed with restrictions
Calculator:
Allowed with restrictions
Evaluation:

Same conditions as for the first attempt



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