Opleiding: Risk Management for Insurers and Pensions
Leerdoelen
This course provides an in-depth treatment of the principles of (quantitative) risk management for insurers and pensions. The course focuses first on the joint measurement, modelling and allocation of financial and insurance risks. Next, the course treats the design of risk mitigation strategies and of asset allocation strategies from a long term perspective.
Participants who complete this course will have an integrative view of risk management. Participants will be able to address risk management and asset allocation issues from a broad perspective. More specifically participants have:
- Acquired an up-to-date overview of the theory and key principles of integrated (quantitative) risk management for insurers and pensions;
- familiarised themselves with the current state-of-the-art of the academic literature on integrated (quantitative) risk management for insurers and pensions;
- trained their practical (quantitative) risk modelling skills and know how to implement the prime intergrated risk management techniques in practical examples. (The implementation of the techniques is conducted in R.)
Inhoud
The course covers the following topics:
- Introduction to risk management and Asset Liability Management (ALM);
- risk measurement;
- risk aggregation;
- solvency and economic capital allocation;
- solvency regulation;
- modelling of financial time series with ALM in view;
- extreme value theory;
- risk mitigation strategies;
- optimal portfolio choice and strategic asset allocation from the long term investors' perspective and ALM.
Aanbevolen voorkennis
This course leans heavily on probability and statistics. Furthermore, a working knowledge of R is expected beforehand.
Werkvorm
Weekly one three-hour lecture and one two-hour interactive tutorial/computer class.
