Checking date: 25/03/2019

Course: 2019/2020

Global portfolio management, insurance investment, reporting and professional ethics
Study: Master in Actuarial and Financial Sciences (224)

Coordinating teacher: SAMARTIN SAENZ, MARGARITA

Department assigned to the subject: Department of Business Administration

Type: Compulsory
ECTS Credits: 3.0 ECTS


Competences and skills that will be acquired and learning results.
The objectives of this multidisciplinary subject are: 1. Provide the student with knowledge and understanding of the basic concepts and applications of management assets and liabilities of an insurer (ALM), that is, the optimal composition of the portfolio of investments of the company's reserves according to the structure and contractual insurance obligations. 2. Understand and assimilate internationally accepted standards of behavior regarding the performance and the scope of the actuarial profession. SPECIFIC COMPETENCES. Acquire knowledge and understanding for: 1. Know the methods of matching cash flows of liabilities and assets of an insurer. 2. Select the most profitable investment portfolios that match the insurance liabilities. 3. Know the accepted and prohibited practices in the performance of the profession at international perspective and the ethical limitations of the professional practice. TRANSVERSAL COMPETENCES: 1. Capacity for analysis and synthesis. 2. Problem solving. 3. Team work. 4. Critical reasoning. 5. Oral and written communication.
Description of contents: programme
Global Portfolio Management in Insurance Companies: Topic 1: Introduction. Solvency II and the management of the profitability-risk binomial in insurance companies. Topic 2: Investment policies of the insurance industry: Eligible Assets for the coverage of technical provisions and for the Solvency Capital Requirements (SCR). Topic 3: Accounting ALM (Asset Liability Management) techniques: Cash Flow Matching and Duration Immunization Topic 4: Solvency II ALM (Asset Liability Management) techniques: Matching Adjustment and Volatility Adjustment. Topic 5: Actuarial professional conduct. Professional ethics in the framework of corporate governance and Solvency II. (Prof. José Miguel Rodríguez Pardo)
Learning activities and methodology
Theoretical classes with support material available on the University Web (guides / power points and exercises, basic bibliography and complementary material to deepen in those topics in which the students are most interested). The fundamental theoretical and practical concepts of the subject that the student must acquire will be developed, and will solve exercises by the teacher, encouraging the active participation of students in the resolution of the same (both individually and as a team).
Assessment System
  • % end-of-term-examination 100
  • % of continuous assessment (assigments, laboratory, practicals...) 0

The course syllabus and the academic weekly planning may change due academic events or other reasons.