Enterprise Risk Management 15 credits

About the course

This course aims to provide knowledge in both the theoretical foundation and the practical application of quantitative methods used in finance and insurance, such as portfolio selection, investment strategies and the assessment of risk.

The course begins with an introduction to risk modeling and reserving in non-life insurance, with a focus on loss distributions and dependence modeling. Next, statistical properties of financial time series are studied together with one- and multidimensional models of these series and the definition and calculation of risk measures. Thereafter, risks and the effect of investment strategies for a life insurance company are studied with the help of simulation and stress testing. This includes implementing of a model of the life insurance company, where one of the earlier studied multi-dimensional models is used as a stochastic model for the relevant market variables. In this setting we also study interest rate sensitivity and immunization and how risk capital is calculated in accordance with the risk framework Solvency 2. Lastly, portfolio selection methods are studied. We start with classical Markowitz theory which we then generalize in different directions: taking liabilities into account, other return distributions and risk measures.

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