MPF_RRVP Risk management in insurance

Faculty of Economics and Administration
Autumn 2019
Extent and Intensity
2/0/0. 4 credit(s). Type of Completion: zk (examination).
Teacher(s)
Oleg Deev, Ph.D. (lecturer)
doc. Ing. Eva Vávrová, Ph.D. (lecturer)
Guaranteed by
doc. Ing. Eva Vávrová, Ph.D.
Department of Finance – Faculty of Economics and Administration
Contact Person: Iva Havlíčková
Supplier department: Department of Finance – Faculty of Economics and Administration
Timetable
Wed 14:00–15:50 P302a
Prerequisites
Course prerequisites: BPF_POJ1 Insurance, BPF_FIMA Financial Mathematics, BPM_STA1 Statistics 1, BPM_MATE Mathematics a BPE_ZAEK Econometrics.
Course Enrolment Limitations
The course is also offered to the students of the fields other than those the course is directly associated with.
fields of study / plans the course is directly associated with
Course objectives
The main objective of the course is to introduce students to principles of risk and risk management with applications in insurance industry. During the course students will be become familiar with risk management practices and its place in insurance company operations.
Learning outcomes
After successful completion of the course, students should be able to:
− comprehend basic concepts of risk management,
− perform an analysis of property and business risks,
− provide insurance coverage suggestions based on the client’s risk analysis,
− evaluate the risk management process and system in insurance,
− compare the results for different methods of risk identification and analysis utilized by insurance companies,
− propose the ways of insurance risk mitigation/transfer via financial market.
Syllabus
  • 1. Basic definitions and concepts. Uncertainty, peril and risk. Risk classification and risk portfolio. Homogeneous and non-homogeneous risks. Risk management process. Risk handling techniques. The relationship between risk and insurance.
  • 2. Risk in microeconomic theory. Risk aversion and the risk utility function.
  • 3. Risks in insurance company operations. Classification of risks in insurance.
  • 4. Introduction to risk modeling. Basic concepts of quantitative analysis of risk. Models for loss numbers and loss sizes.
  • 5. Property perils and hazards. Natural hazards (fire, flood, windstorms). Man-made hazards (crash, vandalism, theft). Modeling of specific risks.
  • 6. Introduction to catastrophic risk modelling. Extreme value theory.
  • 7. Insurance broker operations. Risk report. Multiple-criteria decision analysis in the insurance coverage selection. Property valuation methods in insurance.
  • 8. Commercial property and liability risks. Enterprise risk management. Business interruption analysis.
  • 9. Risk measures. The notion and calculation techniques for value-at-risk. The introduction to modeling of risk dependencies.
  • 10. Insurance company business risks. Risk (economic) capital. Underwriting risks in life and non-life insurance. Measurement and mitigation of underwriting risks.
  • 11. Investment (financial) risks of insurance company. Market risks. Credit risk. Liquidity risk. Measurement and mitigation of investment risks.
  • 12. Non-financial risks of insurance company. Operational risks. Measurement and mitigation of operational risks.
  • 13. The organization of risk management in insurance company. Risk management process (strategy, identification, evaluation, monitoring, control, measurement, planning, capital management). Enterprise risk management in insurance companies.
Literature
    required literature
  • CIPRA, Tomáš. Riziko ve financích a pojišťovnictví : Basel III a Solvency II. Vydání 1. Praha: Ekopress, 2015, viii, 515. ISBN 9788087865248. info
  • DOFF, René. Risk management for insurers : risk control, economic capital and solvency II. 2nd ed. London: Riskbooks, 2011, xi, 322. ISBN 9781906348618. info
    recommended literature
  • KRIELE, Marcus and Jochen WOLF. Value-oriented risk management of insurance companies. London: Springer, 2014, xii, 378. ISBN 9781447163046. info
  • ŘEZÁČ, František. Řízení rizik v pojišťovnictví. Vyd. 1. Brno: Masarykova univerzita. Ekonomicko-správní fakulta, 2011, 222 s. ISBN 9788021056374. URL info
  • SMEJKAL, Vladimír. Řízení rizik ve firmách a jiných organizacích. Edited by Karel Rais. 3., rozš. a aktualiz. vyd. Praha: Grada, 2010, 354 s. ISBN 9788024730516. URL info
  • TICHÝ, Milík. Ovládání rizika : analýza a management. Vyd. 1. Praha: C.H. Beck, 2006, xxvi, 396. ISBN 8071794155. info
Teaching methods
The course is taught in lectures only, which include class discussions and require active participation. Report improves the ability of students to summarize a certain issue in the field of risk management and discuss it critically. Readings serve to broaden and deepen the spectrum of knowledge students acquire during the lectures.
Assessment methods
For the successful completion of the course students are required:
a) submit two individual reports:
− property risk assessment report with insurance coverage suggestions (guidelines for writing the report are provided in the IS) – submit by the end of Week 7;
− risk management system analysis report comparing risk management systems and processes in two chosen insurance companies (guidelines for writing the report are provided in the IS) – submit by the end of Week 12.
b) written exam.

Following is the scale that will be used to evaluate your performance in this class: report write-up (up to 5 grade points for each report), final exam (up to 20 grade points).

Final grades would be given according to the following grading scale:
A: 92 – 100 % (28 or more grade points),
B: 84 – 91 % (26 – 27),
C: 76 – 83 % (24 – 25),
D: 68 – 75 % (21 – 23),
E: 60 – 67 % (18 – 20),
F: below 60 % (below 18 points).
Language of instruction
Czech
Further comments (probably available only in Czech)
Study Materials
The course is taught annually.
Credit evaluation note: k = 1.
Listed among pre-requisites of other courses
The course is also listed under the following terms Autumn 2009, Autumn 2010, Autumn 2011, Autumn 2012, Autumn 2013, Autumn 2014, Autumn 2015, Autumn 2016, Autumn 2017, Autumn 2018, Autumn 2020.
  • Enrolment Statistics (Autumn 2019, recent)
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