Institut für Risikomanagement und Versicherung




Proseminar: "Asset Liability Management"

PD Dr. Günter Schwarz

Dipl.-Math. oec. Gunther Kraut

Course Description & Main Objectives

The course aims at

  • providing an overview over the most relevant methods for insurance investments,

  • introducing some core techniques used in asset liability management, and

  • making reference to ALM practice in insurance companies.

In its first part, the course will – based on qualitative and legal aspects for insurance investment – concentrate on providing an introduction into the most relevant valuation and estimation methods for fixed income and non-fixed income investments. In the second part, the link between the relevant insurance cash flows and the use of appropriate investment strategies will be provided in view of the current practice in the insurance industry. The third part is devoted to some elementary aspects of the economics of financial derivatives relevant for insurers.

General Information


  • English


  • Starting 25.10.2011 the class will be held in a two-week cycle every Tuesday from 4pm untill 7:15 pm.
  • The exact dates are:
    • 25.10.2011
    • 08.11.2011
    • 22.11.2011
    • 06.12.2011
    • 20.12.2011
    • 17.01.2012
    • 31.01.2012


  • Schackstraße 4, 3rd floor, seminar room 307


  • 3 ECTS (for Master students)
  • 2 LP (for Diplomstudenten)


  • 1 hour exam at the end of the term. Further information will be provided in class.

Further information about the class can be found in the syllabus.


There is no application required for this class.