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LIFE AND NON-LIFE INSURANCE TECHNIQUES

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LIFE AND NON-LIFE INSURANCE TECHNIQUES

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Academic year 2023/2024

Course ID
SEM0020
Teachers
Gabriele Pieragnoli (Lecturer)
Cristian Losito (Lecturer)
Eugenio Dissegna (Lecturer)
Danilo Guido Squillia (Lecturer)
Degree course
Insurance and Statistics
Year
1st year
Teaching period
Second semester
Type
Distinctive
Credits/Recognition
12
Course disciplinary sector (SSD)
SECS-S/06 - mathematical methods of economy, finance and actuarial sciences
Delivery
Formal authority
Language
English
Attendance
Obligatory
Type of examination
Written and oral
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Sommario del corso

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Course objectives

The main purpose is to introduce Life and Non-Life insurance methodologies, techniques and practices used in the insurance industry for different reporting and valuation activities, with evidence on the trends and evolution expected for the changing regulation and environment.

L’obiettivo principale e’ l’introduzione delle prassi, delle tecniche e delle metodologie quantitative usate nell’industria assicurativa per le varie attività valutative e di produzione di reportistica, con evidenza sulle tendenze e sui cambiamenti attesi nell’impianto regolamentare in evoluzione.

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Results of learning outcomes

Knowledge and understanding

Basic knowledge of methodologies and techniques adopted in the insurance regulation, and understanding of the main differences in different pieces of reporting for insurance companies.

Applying knowledge and understanding

Ability to perform basic exercises in order to quantify the technical items within different reportings (Financial Statements and Supervisory Reporting) for insurance companies.

Making judgements

Attendees will be able to identify main risk and value aspects related to insurance portfolios, being also able to distinguish basic situation of different levels of risk and value for insurers.

Communication skills

Participants will be able to describe the overall framework and the valuation principles of different reporting schemes, with reference to the risk and value for insurers.

Learning skills

The students will improve their ability to understand different sets of valuation criteria in different frameworks, depending on the purpose of each reporting framework.

Conoscenza e comprensione

Conoscenza di base delle metodologie e delle tecniche adottate nell’impianto regolamentare assicurativo, e comprensione delle principali differenze tra le diverse reportistiche delle compagnie.

Applying knowledge and understanding

Abilita’ nell’eseguire esercizi di base per la quantificazione delle voci tecniche all’interno della reportistica (di Bilancio e di Vigilanza) per le compagnie assicurative.

Making judgements

I Partecipanti saranno in grado di identificare i principali aspetti relative al rischio ed al valore dei portafogli assicurativi, riuscendo a distinguere, in situazioni elementarim diversi livelli di rischio e di valore per le compagnie assicurative.

Communication skills

I partecipanti saranno in grado di descrivere, in modo semplificato, l’impianto ed i principi valutativi sottostanti i diversi schemi di reportistica per il rischio ed il valore delle compagnie assicurative.

Learning skills

Gli studenti miglioreranno la loro capacità di comprendere diversi set di criteri valutativi per finalità diverse, in dipendenza dell’utilizzo dei vari schemi di reporting.

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Program

-           Introduction to regulation for Financial Statements and Supervisory Reporting.

-           Market consistent valuations in Life: European Embedded Value (overview on published principles), Market Consistent Embedded Value (principles, valuations under the risk-neutral framework, the analysis of movements), the treatment of profit sharing rules.

-           Market valuation of technical provisions in Non-Life: claims provisions (overview of deterministic and stochastic valuation approaches), premiums provisions (simplified and analytical approaches), catastrophe risks (expectations and related provisions).

-           Solvency II: from Solvency I to Solvency II, standards and requisites for Internal Model, Pillar I (valuation of assets and liabilities, calculation of Solvency Capital Requirement, Loss Absorbing Capacity of Technical Provisions, the aggregation of capital charges of different lines of business: use of variance-covariance matrix and other approaches, Undertaking Specific Parameters), Pillar II (system of governance, Own risk and solvency assessment), Pillar III (Quantitative Reporting Template, Report to Supervisor, Solvency and Financial Condition Report).

-           International Financial Reporting Standards: the product classification (definition of insurance risk, significant insurance risk, the discretionary participation features), shadow accounting (definition and objective under Phase 1), liability adequacy testing (framework methodology, assumptions, the Guidelines from professional bodies), IFRS 17 (the new measurement framework: IFRS 17, MCEV, Solvency II, the proposed building blocks for measuring insurance liabilities).

-           Risk management framework

-           Introduzione alla normativa per la reportistica di Bilancio e di Vigilanza dell’industria assicurativa.

-           Valutazioni Market consistent nel Vita: European Embedded Value (panoramic sui principi pubblicati), Market Consistent Embedded Value (principi, valutazioni in condizioni di neutralità al rischio, analisi dei movimenti), trattamento deei meccanismi di partecipazione agli utili.

-           Valutazione “a mercato” delle reserve tecniche nel Danni: riserve sinistri (panoramic degli aprocci valutativi deterministici e stocastici), riserve premi (approcci semplificati ed analitici), rischi catastrofali (cenni sulle aspettative e relative riserve).

-           Solvency II: da Solvency I a Solvency II nell’industria assicurativa, standard e requisiti per i Modelli Interni, Primo Pilastro (valutazione di attività e passività, calcolo del Solvency Capital Requirement, capacità di mitigazione delle perdite delle riserve tecniche, aggregazione dei capitali di rischio di diverse line di business: uso delle matrici di varianza-covarianza ed approcci alternativi, Undertaking Specific Parameters), Secondo Pilastro (sistema di governance, ORSA: Own risk and solvency assessment), Terzo Pilastro (QRT: Quantitative Reporting Template, RTS: Report to Supervisor, SFCR: Solvency Financial Condition Report).

-           Principi contabili internazionali IFRS: classificazione dei prodotti (definizione di rischio assicurativo, rischio assicurativo significativo, partecipazione discrezionale agli utili), shadow accounting (definizione e obiettivi nell’ambito della Prima Fase), test di adeguatezza delle riserve (impianto metodologico, ipotesi, linee guida dagli organismi professionali), IFRS 17 (il nuovo impianto valutativo: IFRS 17, MCEV, Solvency II, le componenti fondamentali per la misurazione delle passività assicurative).

-           Il risk management nelle compagnie assicurative

 

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Course delivery

Lectures, classroom exercises and workshops

Lezioni frontali, esercitazioni e casi studio interattivi

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Learning assessment methods

the exams which will be held during Summer 2020 session will have a written and an oral part. Both of the parts will be done using Microsoft Teams Meeting. It is fundamental that you have the videocamera turned on during the whole exam, in order to allow to the exam commission to verify the correct proceedings of the exam. The duration of the written part is 1.5 hours, while for the oral part 0.5 hours. The weight of the two parts for the assessment grade is 50% and 50%, with a minimum requirement of sufficient grade in both parts. For each of the parts the sufficient grade is 18/30, while the maximum grade is 30/30. The final grade wil be defined as an average of the grade of the two parts.

the exams which will be held during Summer 2020 session will have a written and an oral part. Both of the parts will be done using Microsoft Teams Meeting. It is fundamental that you have the videocamera turned on during the whole exam, in order to allow to the exam commission to verify the correct proceedings of the exam. The duration of the written part is 1.5 hours, while for the oral part 0.5 hours. The weight of the two parts for the assessment grade is 50% and 50%, with a minimum requirement of sufficient grade in both parts. For each of the parts the sufficient grade is 18/30, while the maximum grade is 30/30. The final grade wil be defined as an average of the grade of the two parts

 

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Support activities

Suggested readings and bibliography

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- Solvency 2 delegated acts

- Solvency 2 directive

- L. Daboni. Lezioni di tecnica attuariale delle assicurazioni contro i danni

- Teaching material presented during the course



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Class scheduleV

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    01/03/2020 at 00:00
    Enrollment closing date
    31/12/2022 at 23:55
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