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 assetliability 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
 BlackScholesMertonov 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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