Actuarial Enterprise Risk Management

Teacher(s)

De Longueville Philippe;

Language

English

Prerequisites

Mastery of English at the level of LANGL1330 course.
LACTU2010 Actuariat des assurances dommages
LACTU2030 Actuariat de l'assurance-vie
LACTU2210 Quantitative Risk Management

Main themes

Risk taxonomy. Enterprise Risk Management (ERM) process (identification, analysis, measurement and mitigation), with a focus on (re)insurance companies. Interaction among risks. Model risk and governance aspects of risk management. Economic capital model.

Teaching methods

Ex-cathedra course and extra readings discussed during the courses.
The course consists of 7 courses of 2 hours, and an extra optional Q&A session at the end.

Evaluation methods

First session: assessment will be based on an examination and a case study. If the number of students allows it, the examination and the presentation of the case study will be oral. Otherwise, the examination will be written and there will be no oral presentation of the case study.
Second session: oral examination. There is no need to submit a case study for the second session unless the student did not submit the case study for the first session.
If the student uses an artificial intelligence tool to complete the case study, he/she is requested to state which tool he/she used and for what purpose.

Other information

• Introduction
• Risk Management in Context
• Corporate governance and risk management
• Sustainability risks and ESG
• Risk Management Applications
• Case study

Bibliography

• Lam, J. (2000). Enterprise Risk Management, From Incentives to Controls, second edition, Wiley, 2014.
• Regulatory texts (Solvency II directive, BNB circulars…)
• Practical insurance and reinsurance experience

Faculty or entity

> LSBA