Insurance Management

Actuarial Topics and ALM in Insurance

Integrated course, 3.00 ECTS


Course content

In this course the scope of activities of actuaries is examined. This is done by discussing actuarial topics which are related to the pricing of and reserving for insurance products, or risk and capital management. A particular focus is set on current topics and trends. A discussion of the challenges and opportunities in an insurance company's asset and liability management is also given.

The core contents of this course include:
[1] Overview of the role and scope of activity of actuaries (pricing, reserving, marketing);
[2] Actuarial techniques in product development (incl. profit testing);
[3] Modern reserving methods (e.g. chain ladder method);
[4] Valuation of options and warranties embedded in insurance contracts;
[5] Technical cash flows as basis for insurer ALM;
[6] Selection of the investment portfolio; regulatory requirements;
[7] ALM concepts for insurance companies (e.g. sources of volatility, life vs. non-life, sensitivities, hedging).
Optional contents can include:
[8] Other modern actuarial topics (e.g. EEV/MCEV).

Learning outcomes

The graduates will receive an overview of the legal requirements, the field of tasks and basics of methodological knowledge concerning actuarial work in a composite insurance company. Deeper understanding is gained by teaching concrete case studies from practice and discussing concrete calculation examples.

Recommended or required reading and other learning resources / tools

References: Briys/de Varenne (2001): Insurance: From Underwriting to Derivatives, Wiley. Hallmann et al (2008): Steuerung von Versicherungsunternehmen, Schäffer-Poeschel. Nguyen/Romeike (2013): Versicherungswirtschaftslehre, Springer. Noack et al (2010): 100 Versicherungskennzahlen, cometis. Romeike (2003): Balanced Scorecard in Versicherungen, Gabler. Romeike et al (2008): Risikomanagement im Versicherungsunternehmen, Wiley.
Academic journals: -

Mode of delivery


Prerequisites and co-requisites

Module 11

Assessment methods and criteria

ILV: final exam, assessment of active course participation