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B020933 - RISK THEORY AND SOLVENCY MODELS - MOD.A
Main information
Teaching Language
Course Content
Suggested readings
Learning Objectives
Prerequisites
Teaching Methods
Type of Assessment
Course program
Academic Year 2016-17
Coorte 2015 - Second Cycle Degree in FINANCE AND RISK MANAGEMENT
Course year
Second year - First Semester
Belonging Department
Economics and Management (DISEI)
Course Type
Single education field course
Scientific Area
SECS-S/06 - MATHEMATICAL METHODS OF ECONOMICS, FINANCE AND ACTUARIAL SCIENCES
Credits
9
Teaching Hours
72
Teaching Term
12/09/2016 ⇒ 07/12/2016
Attendance required
No
Type of Evaluation
Final Grade
Course Content
show
Course program
show
Lectureship
Mutuality
Course teached as:
B019186 - RISK THEORY AND SOLVENCY MODELS
Second Cycle Degree in FINANCE AND RISK MANAGEMENT
B019186 - RISK THEORY AND SOLVENCY MODELS
Second Cycle Degree in FINANCE AND RISK MANAGEMENT
Teaching Language
English
Course Content
The course will introduce the students to the definition, the measurement and the management of different types of risk: insurance, banking and market risk. It will be treated risk and solvency models in the financial market (Basel II) and in the insurance market (Solvency II). In particular credit risk models, life and non-life insurance models and reinsurance treaties will be presented.
Suggested readings (Search our library's catalogue)
SOLVENCY II
https://eiopa.europa.eu/activities/insurance/solvency-ii/index.html
RISK MODELS FOR LIFE INSURANCE
"Life Insurance Mathematics" 3 edition Hans Gerber ISBN= 354062242 Springer
RISK MODEL FOR NON LIFE INSURANCE
"Non-Life Insurance Mathematics" Erwin Straub ISBN=3540187871 1997 Springer Verlag
"Non-Life Insurance Mathematics: An Introduction with the Poisson Process" Thomas Mikosch ISBN=3540882324 Springer
"Practical Risk Theory for Actuaries C.D. Daykin T. Pentikainen, M Pesonen" ISBN=0412428504 1993 Chapman & Hall
REINSURANCE
"The Global Reinsurance Market" T. Holzheu R. Lechner Swiss Re http://bimemellat.ir/reinsurance-market/18.pdf
"Reinsurance Gary Patrik" http://www.casact.org/admissions/syllabus/ch7.pdf
CREDIT RISK
"A comparative analysis of current credit risk models" M. Crouhy, D. Galai, R. Mark Journal of Banking and Finance 24 (2000) http://www.financerisks.com/filedati/WP/Credit%20risk/COMPARATIVE%20CREDIT%20RISK%20MODELS.pdf
"Credit Risk Modelling and Base II", Juan Carlos garcia Céspedes ALGO Research Quarterly Vol 5 No. 1 Spring 2002 http://www.algorithmics.com/EN/media/pdfs/Algo-RA0302-ARQ-CreditRiskModelling.pdf
https://eiopa.europa.eu/activities/insurance/solvency-ii/index.html
RISK MODELS FOR LIFE INSURANCE
"Life Insurance Mathematics" 3 edition Hans Gerber ISBN= 354062242 Springer
RISK MODEL FOR NON LIFE INSURANCE
"Non-Life Insurance Mathematics" Erwin Straub ISBN=3540187871 1997 Springer Verlag
"Non-Life Insurance Mathematics: An Introduction with the Poisson Process" Thomas Mikosch ISBN=3540882324 Springer
"Practical Risk Theory for Actuaries C.D. Daykin T. Pentikainen, M Pesonen" ISBN=0412428504 1993 Chapman & Hall
REINSURANCE
"The Global Reinsurance Market" T. Holzheu R. Lechner Swiss Re http://bimemellat.ir/reinsurance-market/18.pdf
"Reinsurance Gary Patrik" http://www.casact.org/admissions/syllabus/ch7.pdf
CREDIT RISK
"A comparative analysis of current credit risk models" M. Crouhy, D. Galai, R. Mark Journal of Banking and Finance 24 (2000) http://www.financerisks.com/filedati/WP/Credit%20risk/COMPARATIVE%20CREDIT%20RISK%20MODELS.pdf
"Credit Risk Modelling and Base II", Juan Carlos garcia Céspedes ALGO Research Quarterly Vol 5 No. 1 Spring 2002 http://www.algorithmics.com/EN/media/pdfs/Algo-RA0302-ARQ-CreditRiskModelling.pdf
Learning Objectives
The course will introduce the students to the definition, the measurement and the management of different types of risk.
Prerequisites
Preliminary skills:Quantitative finance and derivates; Computational finance; Quantitative risk management
Teaching Methods
Lessons and seminars
Type of Assessment
test and oral dissertation
Course program
1. Introduction
• Risk and solvency: definitions
• Measures of risk.
• The risk management process: risk mapping and risk recognition.
• Different types of risk: insurance, banking and market risk.
2. Risk and Solvency Models in the financial market
• Basel II
• The first, second and third pillar.
• Credit, Market and Operative risk.
• Risk valuation models.
2.1 Credit risk models
• Comparative analysis of portfolio credit risk models (KMV, CreditMetrics, CreditRisk+)
• Credit risk models for non performing or defaulted loans
3. Risk and Solvency Models in the insurance market
• The Solvency II model.
• The Balance Sheet in view of Solvency II and IAS/IFRS accounting principles.
• Main differences between life and non-life insurance.
• QIS 5 and the standard formula.
• SCR, MCR e technical provisions.
• BSCR: market, health, default, life, non-life, intangible risks.
• ORSA (Own Risk and Solvency Assesment)
3.1 Risk models for Life insurance
• The future lifetime of a Life Aged “x”
• Insurance contracts.
• Net Premiums and Reserves
• Pricing and Reserving basis
• The longevity risk problem.
3.2 Risk models for Non-Life insurance
• Individual risk model
• Collective risk model
• Premium principles
3.3 Reinsurance
• Different types of reinsurance treaties.
• Proportional and non-proportional.
• Reinsurance risk premium and commercial premium.
• Excess of loss, stop of loss and catastrophe.
• Risk and solvency: definitions
• Measures of risk.
• The risk management process: risk mapping and risk recognition.
• Different types of risk: insurance, banking and market risk.
2. Risk and Solvency Models in the financial market
• Basel II
• The first, second and third pillar.
• Credit, Market and Operative risk.
• Risk valuation models.
2.1 Credit risk models
• Comparative analysis of portfolio credit risk models (KMV, CreditMetrics, CreditRisk+)
• Credit risk models for non performing or defaulted loans
3. Risk and Solvency Models in the insurance market
• The Solvency II model.
• The Balance Sheet in view of Solvency II and IAS/IFRS accounting principles.
• Main differences between life and non-life insurance.
• QIS 5 and the standard formula.
• SCR, MCR e technical provisions.
• BSCR: market, health, default, life, non-life, intangible risks.
• ORSA (Own Risk and Solvency Assesment)
3.1 Risk models for Life insurance
• The future lifetime of a Life Aged “x”
• Insurance contracts.
• Net Premiums and Reserves
• Pricing and Reserving basis
• The longevity risk problem.
3.2 Risk models for Non-Life insurance
• Individual risk model
• Collective risk model
• Premium principles
3.3 Reinsurance
• Different types of reinsurance treaties.
• Proportional and non-proportional.
• Reinsurance risk premium and commercial premium.
• Excess of loss, stop of loss and catastrophe.