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Course 2018-2019 a.y.

20636 - ALM FOR LIFE INSURANCE AND LONG TERM INVESTING

Department of Finance

Course taught in English


Go to class group/s: 31

MM (6 credits - I sem. - OP  |  SECS-P/11)
Course Director:
FRANCESCO SAITA

Classes: 31 (I sem.)
Instructors:
Class 31: FRANCESCO SAITA


Prerequisites

While there are no formal prerequisites to attend the course, it is recommended to possess a basic knowledge of descriptive and inferential statistics (e.g. correlation, variance-covariance matrices , main statistical distributions,...), investments (bond duration and convexity, capital asset pricing model,...), derivatives (characteristics of forward contracts, options, swaps, ...), risk management in banking.


Mission & Content Summary
MISSION

Asset and Liability Management (“ALM”) is an essential component of the management of any financial institution that invests financial resources to meet its future cash flow and capital requirement needs. The importance of ALM to life insurers and long-term investors – such as pension funds – results from their liability driven business model, with assets purchased and managed to match, in a risk/return efficient manner, the estimated future cash flows; which may be uncertain for various reasons such as financial market conditions (rates, credit spreads, equities, FX, inflation, liquidity), client behavior and demographic trends. The course deals with ALM and its primary objective is to introduce students who wish to pursue a career in the insurance sector, asset management, investment banking and capital markets to the financial profiles typical of life insurance companies and long-term investors such as pension funds. The Course mainly addresses investment topics and has a strong practical orientation, aimed to maintain constant attention to the operational implications of each topic. Classroom exercises, case studies, PC simulations and lectures from primary financial institutions professionals assure the connection between theory and practice.

CONTENT SUMMARY
  • Financial characteristics of life insurance companies and long term investors.
  • The regulatory framework.
  • Key performance indicators.
  • Key metrics for asset and liability management.
  • Portfolio management and risk management of life insurance companies and long term investors.

Intended Learning Outcomes (ILO)
KNOWLEDGE AND UNDERSTANDING
At the end of the course student will be able to...
  • Explain why life insurance companies and long term investors are different from other institutional investors - from a portfolio management standpoint.
  • Describe the life insurance and long term investor business model, relevant investment strategies, ALM models, metrics and regulation.
APPLYING KNOWLEDGE AND UNDERSTANDING
At the end of the course student will be able to...
  • Analyze the liability structure of life insurances and long term investors and to identify the best investment strategy in terms of asset classes, Strategic Asset Allocation, investment strategy, and monitoring.
  • Assess liability driven investment strategies.
  • Deal with the relevant ALM value/risk models and metrics.

Teaching methods
  • Face-to-face lectures
  • Guest speaker's talks (in class or in distance)
  • Case studies /Incidents (traditional, online)
  • Interactive class activities (role playing, business game, simulation, online forum, instant polls)
DETAILS
  • Guest lectures include from four to seven lectures by senior managers (e.g. chief investment officers, heads of asset and liability management…) of leading life insurance companies, pension funds and other long term investors.
  • Case studies are mainly based on discussions of equity analysts’ reports about listed life insurance companies.
  • PC simulations are aimed at making student making practical exercises in investment strategies definition and risk monitoring.

Assessment methods
  Continuous assessment Partial exams General exam
  • Written individual exam (traditional/online)
  •     x
  • Group assignment (report, exercise, presentation, project work etc.)
  •     x
    ATTENDING STUDENTS

    The two assignments are teamworks that can obtain a grade up to 1 point each. The final exam comprises both open ended questions and practical exercises and can obtain up to 30 points.

    NOT ATTENDING STUDENTS

    Non-attending students are evaluated only through the final written exam, that comprises both open ended questions and practical exercises.


    Teaching materials
    ATTENDING STUDENTS

    The teaching materials are composed of:

    • A. BELTRATTI, G. CORVINO, Why are insurance companies different? The limits of convergence among financial institutions, in Geneva Papers on Risk and Insurance: Issues and Practice, volume 33, Issue 3, July 2008.
    • Reports by leading equity analysts distributed and discussed in the classroom.
    • Readings, Reports and slides prepared by the instructors and available on the course website (accessed through Students’ Agenda).
    NOT ATTENDING STUDENTS

    The teaching materials are composed of:

    • A. BELTRATTI, G. CORVINO, Why are insurance companies different? The limits of convergence among financial institutions, in Geneva Papers on Risk and Insurance: Issues and Practice, volume 33, Issue 3, July 2008.
    • Readings, Reports and slides prepared by the instructors and available on the course website (accessed through Students’ Agenda).
    Last change 12/06/2018 09:50