ADVANCED INSURANCE AND ACTUARIAL METHODS

This course can be chosen by all students of the Master Degree Programme Economics, Finance and Sustainability, as one of the courses offered in a cluster choice for the Finance curriculum and as a free choice (elective) course for the curricula Economics-QEM and Sustainable Finance.
It aims to provide a good theoretical and quantitative knowledge on insurance and actuarial methods.
In particular, the course focuses on the following topics: life Insurance products with benefits linked to the investment performance, reserving in life and non-life insurance, pension plans, and reinsurance. The course also explores the risk and opportunities for the insurance sector arising from climate change and the transition to a sustainable economy. Finally, the course analyzes the potential role of re-insurance companies on systemic risk.

The instructional goal of this course is acquiring the knowledge and competences to understand, manage and evaluate the main life and non-life insurance products and the quantitative models that allow to evaluate them.
In detail:
a) Knowledge and understanding:
a.1) Ability to understand the riskiness of a risk portfolio and the transfer or risks, including reinsurance
a.2) Ability to understand the quantitative models for the computation of reserves in life and non-life insurance.
a.3) Ability to understand insurance products in which the benefits are linked to the investment performance.
a.4) Ability to understand the quantitative models for the evaluation and pricing of instruments based in climate risk such as weather derivatives e cat bonds.
a.5) Ability to understand the main non-life insurance products.
a.6) Ability to understand systemic risk in reinsurance

b) Ability to apply knowledge and understanding:
b.1) Ability to assess the risk of insurance products.
b.2) Ability to evaluate reinsurance treaties.
b.3) Ability to compute the reserves of life insurance products.
b.4) Ability to compute the fair value and the premium of non-life insurance contracts.
b.5) Ability to compute the reserves of non-life insurance products.
b.6) Ability to communicate to others the knowledge acquired.

c) Ability to make judgements:
c.1) Ability to evaluate and compare reinsurance agreements.
c.2) Ability to make decisions about pension plans.
c.3) Ability to choose the most suitable insurance products to cover from insurable risks.
c.4) Ability to determine if the market premium for a non-life life insurance product is correctly determined.

The following courses: Financial mathematics, Derivatives and insurance or Tecnica dei prodotti finanziari e assicurativi (especially the second part) and Statistical methods for risk analysis, are strongly suggested prerequisites.
The contents of these courses will be considered as known.

iThe contents of the course are:

1. Non-life Insurance
• Non-life Insurance Products
• Pricing and Reserving
• Climate risk insurance products
• Sustainable insurance products and impact underwriting


2. Life Insurance:
• Reserving

3. Linking Life Insurance Benefits to the investment Performance
• Participating Policies
• Unit-Linked Policies
• Financial Options in Unit-Linked and Participating Policies
• Index-Linked Policies
• Universal Life Policies

4. Reinsurance
• Reinsurance types
• Catastrophe reinsurance and insurance linked securities
• Insurance–Reinsurance Networks
• Systemic risks in reinsurance


5. Pension Plans
• Pensions and supplementary pension systems

There is no compulsory textbook for this course.

The textbook below covers part of the material presented:

A. Olivieri, E. Pitacco, Introduction to Insurance Mathematics, Springer-Verlag, 2015, second edition

Lecture notes and other material will be made available on Moodle

Grading is based on a written exam, with open-ended questions and exercises (duration: 1:30 hours).

There will be the opportunity to work in small groups on a topic, agree with the teacher, resulting in a short paper (about 10 pages) and slides for a presentation which will be held at the end of the course (+30%);

The exam is closed-notes and closed-book.

Students need to register for the exam in advance.

Lectures, flipped classes.
The course also uses educational materials available on the university's e-learning platform: moodle.unive.it

English

Students are required to register in the related course (Advanced Insurance and Actuarial Methods) web page of the university e-learning platform: moodle.unive.it
Additional information, updates and further material on the course will be provided in the web page of the course in moodle.

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