Aller à : contenu haut bas recherche
 
 
EN     FR
Vous êtes ici:   UNIL > HEC Inst. > HEC App. > SYLLABUS
 
 

Asset & Liability Management: Insurance and Pension Funds

  • Enseignant(s): D.Michoud
  • Titre en français: Gestion des actifs et passifs : assurance et fonds de pension
  • Cours donné en: anglais
  • Crédits ECTS: 3 crédits
  • Horaire: Semestre d'automne 2018-2019, 2.0h. de cours (moyenne hebdomadaire)
  •  séances
  • Formations concernées:
    Maîtrise universitaire ès Sciences en finance, Orientation finance d'entreprise

    Maîtrise universitaire ès Sciences en finance, Orientation gestion des actifs et des risques

    Maîtrise universitaire ès Sciences en finance : Entrepreneuriat financier et science des données

 

Objectifs

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.

Contenus

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)

Références

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

Pré-requis

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

1ère tentative

Examen:
Ecrit 2 heures
Documentation:
Autorisée avec restrictions
Calculatrice:
Autorisée avec 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

Rattrapage

Examen:
Ecrit 2 heures
Documentation:
Autorisée avec restrictions
Calculatrice:
Autorisée avec restrictions
Evaluation:

Same conditions as for the first attempt



[» page précédente]           [» liste des cours]
 
Recherche


Internef - CH-1015 Lausanne - Suisse  -   Tél. +41 21 692 33 00  -   Fax +41 21 692 33 05
Swiss University