UCL - ALM OF INSURANCE COMPANIES

[ACTU2220]

[30h] 5 credits

This course is taught in the 2d semester.

Teacher(s): Céline Azizieh

Language: French

Level: Second

Aims
Main themes
Content and teaching methods
Other information (prerequisite, evaluation (assessment methods), course materials recommended readings, ...)

Aims

The aim of this course is to present the basic principles of Asset and Liability management applied to insurance companies. At the end of the course, the students must know the ALM methods and understand the main ALM problems of an insurance companies

Main themes

After an introduction to term structure of interest rates and risk measure, the main tools of ALM are presented in a deterministic and a stochastic framework.In a second part, these techniques are applied to various pratical problems of ALM in insurance. The theoretical part is completed with reference papers and exercices

Content and teaching methods

Content
The following topics will be developed:
1. The various risks of an insurance company
2. Term structure of interest rates
3. ALM tools of first generation (static deterministic analysis)
4. ALM tools of second generation (stress testing)
5. VaR and other risk measures
6. ALM tools of third generation (stochastic scenarios)
7. Economic capital
8. Solvency testing - solvency 2
9. Examples and exercises
Methods
In-class activities
X0 Lectures
X0 Exercices/PT

At home activities
X0 Exercices to prepare the lecture
X0 Paper work

Other information (prerequisite, evaluation (assessment methods), course materials recommended readings, ...)

Evaluation : Class participation and written examination, in French

Support : Slides provided through icampus