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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Autumn 2025
- Enterprise Risk Management
  
  Second admissions round for EU/EEA citizens
  
  HT25 / Umeå / English / On site
  
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  Starts
  1 September 2025
  
  Ends
  18 January 2026
  
  Number of credits
  15 credits
  
  Type of studies
  On site
  
  Study pace
  50%
  
  Teaching hours
  Daytime
  
  Study location
  Umeå
  
  Language
  English
  
  Application code
  UMU-58028
  
  Eligibility The course requires 90 ECTS and with at least 60 ECTS in main field of Mathematics and Mathematical Statistics and including courses in Financial Mathematics and Monte Carlo-methods and a basic course in mathematical statistics. Proficiency in English and Swedish equivalent to the level required for basic eligibility for higher studies.
  
  Selection
  Guaranteed place
  
  Application
  Application deadline was 15 April 2025. The application period is closed. Please note: This second application round is intended only for EU/EEA/Swiss citizens.
  
  Application and tuition fees
  As a citizen of a country outside the European Union (EU), the European Economic Area (EEA) or Switzerland, you are required to pay application and tuition fees for studies at Umeå University.
  
  Application fee: SEK 900
  
  Tuition fee, first instalment: SEK 38,075
  
  Total fee: SEK 38,075
  
  Details about tuition, fees and funding

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