Computational Risk Management of Equity-Linked Insurance

What it is about

The module covers the modeling and risk management of equity-linked insurance products, which combine elements of life insurance and financial derivatives. You will learn how to model and numerically treat complex guarantees, dynamic insurance behavior, and the interaction of mortality and financial risks. In the end, you will be able to perform dynamic hedging, apply numerically demanding methods, and assess and classify regulatory capital requirements.

What you will be able to do

• Understand the fundamentals of industrial modeling practice
• Conduct dynamic hedging for risk control
• Apply advanced numerical methods
• Assess and allocate regulatory capital requirements

What the module consists of

• VorlesungConveying the theoretical foundations and methodological approaches

Teaching method

• Vorlesung mit Folien und TafelExplanation of theory and derivation of mathematical results
• Selbststudium (Literatur, Übungsaufgaben, Programmieraufgaben)Consolidation of understanding and practical application