Insurance methodologies and techniques | UniBG Economics & Finance
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Insurance methodologies and techniques

Year: 2
Semester: 1
Lecturer: Prof. Rosella Giacometti

Hours: 48
ECTS: 6

Educational Goals

The course aims to present the financial and actuarial tools necessary to manage insurance contracts in the life and non-life sectors. 
At the end of the course, the students will know about:

  1. The different nature of risk and the appropriate quantitative methodologies for its quantification.
  2. The tools necessary to evaluate the premia and understand the liability side of an insurance company.
  3. Principles of risk analysis and risk management: individual risk versus risk pooling; risk retention versus risk transfer.

 

Course Content

Risk and insurance. Risk pooling. The premium (fair, pure, and tariff). Single premium and periodic premium Loading for the expense. The balance sheet structure of an insurance company. Regulatory Capital Requirements.

Life insurance: characteristics of a life insurance policy. Mortality tables. Probabilities related to the survival of an individual of age x. Force of mortality. Mortality dynamics. Pricing for pure endowment, life annuities, term insurance, whole life insurance contacts. The mathematical reserve. Unit linked policies. Participating policies. 

Non-life insurance: classification and peculiarities. Distributions for the number of claims. Individual claim size modelling. Approximations for compound distribution: normal, translated gamma, and lognormal. Panjer algorithm. Tariffication and regression models. Technical reserves: premium reserve and claims reserve. 

Risk transfer: the basics of reinsurance. 

The relevant ratios: Risk retention, Loss Ratio, Expense Ratio, Combined ratio.

Teaching Methods

Frontal lectures with practical sessions to familiarize with the techniques presented to stimulate participation and class discussion.

Assessment and Evaluation

The evaluation will be 25% on assignments, 25% on project and 50% on an oral examination.