Academic year
2021/2022 Syllabus of previous years
Official course title
Course code
EM2086 (AF:331247 AR:179078)
On campus classes
ECTS credits
Degree level
Master's Degree Programme (DM270)
Educational sector code
2nd Term
Course year
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This course can be chosen by all students of the Master Degree Programme Economics and Finance, as one of the compulsory courses for the Finance curriculum and as a free choice (elective) course for the curricula Economics-QEM and Economia e Finanza.
It aims to provide a good theoretical and quantitative knowledge on insurance and actuarial methods.
In particular, the couse focuses on the following topics: the management of a portfolio of risks, risk transfer and reinsurance, reserving in life and non-life insurance, life Insurance products with benefits linked to the investment performance, pension plans and non-life insurance.
The instructional goal of this course is acquiring the knowledge and competences to understand, manage and evaluate the main life and non-life insurance products and the quantitative models that allow to evaluate them.
In detail:
a) Knowledge and understanding:
a.1) Ability to understand the riskiness of a portfolio of risks and the transfer of risks, including reinsurance.
a.2) Ability to understand the quantitative models for the computation of reserves in life insurance.
a.3) Ability to understand the functioning of pensions systems and pension plans.
a.4) Ability to understand insurance products in which the benefits are linked to the investment performance.
a.5) Ability to understand the main non-life insurance products.
a.6) Ability to understand the quantitative models for the evaluation and pricing of non-life insurance products.
a.7) Ability to understand the quantitative models for the computation of reserves in non-life life insurance.

b) Ability to apply knowledge and understanding:
b.1) Ability to assess the risk of insurance products.
b.2) Ability to evaluate reinsurance treaties.
b.3) Ability to compute the reserves of life insurance products.
b.4) Ability to compute the fair value and the premium of non-life insurance contracts.
b.5) Ability to compute the reserves of non-life insurance products.
b.6) Ability to communicate to others the knowledge acquired.

c) Ability to make judgements:
c.1) Ability to evaluate and compare reinsurance agreements.
c.2) Ability to make decisions about pension plans.
c.3) Ability to choose the most suitable insurance products to cover from insurable risks.
c.4) Ability to determine if the market premium for a non-life life insurance product is correctly determined.
The following courses: Financial mathematics, Derivatives and insurance or Tecnica dei prodotti finanziari e assicurativi (especially the second part) and Statistical methods for risk analysis, are strongly suggested prerequisites.
The contents of these courses will be considered as known.

The contents of the course are:

1. Risks and insurance

2. Managing a Portfolio of Risks
• Rating
• Facing Portfolio Riskiness
• Reinsurance
• Alternative Risk Transfers

3. Non-life Insurance: Pricing and Reserving
• Non-life Insurance Products
• Loss and Claim Amount
• The Equivalence Premium
• The Net Premium
• The Expense-Loaded Premium
• Statistical Data for the Equivalence Premium
• Stochastic Modeling of the Aggregate Claim Amount

4. Life Insurance: Reserving
• General Aspects
• The Policy Reserve

5. Pension Plans
• Pensions and supplementary pension systems
A. Olivieri, E. Pitacco, Introduction to Insurance Mathematics, Springer-Verlag, 2015, second edition, chapters 1, 2 (except for Subsection 2.9), 5 (only Sections 5.1, 5.2, 5.3.1, 5.3.2, 5.3.6), 9.
Lecture notes on "Pension and supplementary pension system".
Grading is based on a written exam, with open-ended questions and exercises (duration: 1:30 hours). If the exam takes place remotely, it will end with an oral interview.
The objective of the open-ended questions is to test the acquisition of the knowledge acquired and the ability to understand the insurance products studied. The objective of the exercises is to test the student's ability to understand the actuarial problem given and to apply the abilities acquired to compute the solution.
The exam is closed-notes and closed-book, but students are allowed to use a pocket calculator.
Students need to register for the exam in advance.
A frontal course with lectures.
The course also uses educational materials available on the university's e-learning platform:
Students are required to register in the related course (Advanced Insurance and Actuarial Methods) web page of the university e-learning platform:
Additional information, updates and further material on the course will be provided in the web page of the course in moodle.

This subject deals with topics related to the macro-area "Human capital, health, education" and contributes to the achievement of one or more goals of U. N. Agenda for Sustainable Development

Definitive programme.
Last update of the programme: 08/12/2021