IAM786 SPECIAL TOPICS: SOLVENCY IN THEORY AND PRACTICE
| Course Code: |
9700786 |
| METU Credit (Theoretical-Laboratory hours/week): |
3(0-0) |
| ECTS Credit: |
8.0 |
| Department: |
Institute Of Applied Mathematics |
| Language of Instruction: |
English |
| Level of Study: |
Graduate |
| Course Coordinator: |
|
| Offered Semester: |
Fall and Spring Semesters. |
Course Content
Solvency II and its requirements, Swiss Solvency Test, Risk Based Capital Allocation, Coherent Risk Measures: Value at Risk, Expected Shortfall, Tail dependency, Copulas, Quantitative Impact Impact Studies: Life and Non-Life branches, Internal risk models: Risk based, Factor, Analytical and Monte Carlo models, Asset Liability Management and Embedded Value for Life insurance, natural catastrophes risk, investment risk, reinsurance credit risk, premiums and reserves risk, life liability risk.
