The course aims to present the financial and actuarial tools necessary for the management of insurance contracts in the life and non-life sectors.
At the end of the course the students will have a knowledge of:
a) the different nature of risk and the appropriate quantitative methodologies for its quantification;
b) the tools necessary to evaluate the insurance premia and to understand the liability side of an insurance company's balance sheet;
c) the principles of risk analysis and risk management: individual risk versus risk pooling; risk retention versus risk transfer;
d) Solvency II.
It is highly recomended a basic knowedge of financial mathemathics and statistics
Frontal lectures with practical sessions to familiarize with the techniques presented to stimulate the participation and class discussion
Oral examination
1. Risk pooling.
2.The premium (fair, pure and tariff). Single premium and periodic premium loading for expense.
3.The balance sheet structure of an insurance company. Regulatory Capital Requirements: Solvency and Minimum capital requirement.
4.Life insurance: characteristics of a life insurance policy. Mortality tables. Probabilities related to the survival of an individual of age x. Force of mortality. Models of the mortality rate dynamics.
5. Risk transfer: the basics of reinsurance.
SECOND PART
1. Pricing, Reserving, Profit of Insurance Products
2. Interest Rates and Bond-Swap Pricing
3. Profit-Sharing Mechanism ("Gestioni Separate")
4. Solvency II Overview
5. Case study: Profit-sharing mechanism and FVL/BEL
THIRD PART
1.Non-life insurance: classification and peculiarities. Distributions for the number of claims. Individual claim size modelling. Technical reserves: premium reserve and claims reserve.
2. The relevant ratios: Risk retention, Loss Ratio, Expense Ratio, Combined ratio
