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Mathematical methods in the solvency management and in the financial reporting of insurance companies

Class at Faculty of Mathematics and Physics |
NMFM602

Syllabus

1. Internal models for SCR calculation - risk classification, simulation, dependences

2. Financial reporting in S2 and IFRS

3. Methods of valuation of insurance liabilities

4. Principles of risk margin calculation

5. Mathematical methods in risk management of an insurance company

6. ORSA process

Annotation

Study of the regulatory framework Solvency 2 and of the international financial reporting standards for insurance contracts from the actuarial point of view. Valuation methods. Internal models for the capital requirements calculation and for the risk management of an insurance company.

A course for PhD students.