Second year

Investments and asset management

Life insurance

  • Asset classes
  • Capital markets
  • Risk
  • Modern portfolio theory (MPT)
  • Valuation of financial instruments
  • Institutional investors
  • Individual investors
  • Actuarial techniques
  • Investment performance measurement
  • Regulatory and tax aspects and other restrictions

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  • Actuarial control cycle
  • Principles of life insurance
  • Risk and uncertainty in life insurance
  • Data and its verification
  • Determination of product design and setting actuarial assumptions
  • Pricing and valuation of life insurance contracts
  • Surrenders and policy alterations
  • The principles of investment and asset - liability matching
  • Solvency
  • Reinsurance and underwriting
  • Analysis of experience
  • Value of life insurance company
  • Capital requirement

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General insurance

Pension funds

(elective course)

  • Actuarial control cycle
  • Principles of general insurance
  • Risk and uncertainty in general insurance
  • Data and data verification
  • Product costing
  • Methods and reserving bases
  • Determining appropriate reinsurance
  • Investment principles and asset-liability matching
  • Analysis of experience

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  • Goals and basic principles
  • PAYG pension schemes
  • Funded pension systems ­ defined benefit schemes
  • Funded pension systems ­ defined contributions schemes
  • Techniques of actuarial valuations

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Health insurance

(elective course)

Stohastic calculus in finance

(elective course)

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  • Brownovo gibanje
  • Stohastički račun
  • Black-Scholes-Mertonov model
  • Ekvivalentna martingalna mjera
  • Egzotične opcije
  • Američke opcije

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Extreme value theory. Applications in insurance (elective course)

 
  • Osnovni problemi i ideje teorije ekstremnih vrijednosti
  • Domene atrakcije maksimuma (MDA)
  • Asimptotsko ponašanje uređajnih statistika
  • Procjena
  • Analiza ekstrema višedimenzionalnih podataka
  • Ekstremalno ponašanje stacionarnih procesa

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