CERA Module A: Seminar “Foundations and Quantitative Methods of ERM” (EAA) (20/23 febr)

Organised by the EAA – European Actuarial Academy GmbH in cooperation with the Instituto de Actuarios Españoles.

The 4-day seminar starts with a brief introduction to CERA. The core of the seminar consists of two parts. The first part of the seminar assists actuaries in broadening their knowledge about modern quantitative financial and actuarial modelling, which form an essential part of the CERA syllabus. This begins with an introduction to the modern theory of risk measures. Next, a number of statistical techniques are discussed, that are highly relevant for the analysis of actuarial and financial data and for the model-building process in risk management. Among others, we will consider extreme value theory, dependence modelling, copulas, and various aspects of integrated risk management. The seminar continues with an introduction to the modelling and the management of interest rate and credit risk. In particular, participants will learn how to price simple interest options or Credit Default Swaps, how to compute risk measures for a bond portfolio, and how to account for counterparty risk.
In the second part of the seminar, the topic Enterprise Risk Management is covered from a more qualitative viewpoint. This will allow participants to understand and handle the entire risk universe including non-quantifiable risks and those risks for which companies traditionally do not hold capital, but manage them in other ways. Topics discussed include the concepts of risk and ERM, an overview over the 42 central elements of ERM, and a session outlining how ERM creates value for any company. Furthermore, the risk management culture including risk consciousness, accountabilities, discipline, collaboration, incentive compensation and communication is presented together with governance issues including market conduct, audit and legal risk. This part of the seminar also explains stakeholders, standards, first steps in the choice of a suitable ERM framework.
The seminar consists of lectures and exercise sessions. In fact, exercise sessions, where various exercises and supplementary examples are discussed, form an integral part of the seminar: they help the participants to understand the qualitative and quantitative techniques introduced in the lectures, and they are a key element in the preparation for the CERA exam.


The seminar is open to all persons who are interested to obtain comprehensive skills on Enterprise Risk Management. Given the fairly quantitative nature of the material discussed, participants should be familiar with basic results of modern statistics, actuarial and financial mathematics. We recommend that participants with weaker quantitative skills do some preparatory reading, using for instance the slides and lecture notes of the course.
(During this seminar, you will not need your laptop)



  • Dr Peter Brühne
  • Rüdiger Frey (Professor of Mathematics and Finance at the Vienna University of Economics and Business (WU). Prior to that, he held positions as Professor of Optimization and Financial Mathematics at the University of Leipzig and various academic positions at the University of Zurich and at the Federal Institute of Technology (ETH) in Zurich. He holds a diploma in mathematics from the University of Bonn where he received his PhD in financial economics in 1996. His main research fields are quantitative risk management, dynamic credit risk models and the pricing and hedging of derivatives under incompleteness and market frictions. Rüdiger has published research papers in leading international academic journals and has given seminars at a number of important international conferences and institutions. He is coauthor of the popular book “Quantitative Risk Management: Concepts Techniques & Tools” (Princeton University Press, second edition  2015), which was rated as one of the Top 10 Technical Books of 2006 on Financial Engineering, by Financial Engineering News. Rüdiger has also been involved in consulting projects for Swiss and German insurance companies and banks and is frequently giving practitioner training courses)
  • Eberhard Müller (Dipl. Math. Eberhard Müller, born 1950, studied mathematics in Hamburg. In 1982, he joined Hannover Re. Until 2015, he served as Chief Risk Officer and Managing Director of the Group Risk Management division (GRM), reporting to the chairman and working with more than 85 employees. After his retirement in January 2016, he now runs his own consultancy riskmueller consulting GmbH. Eberhard Müller is member of the DAV since 1994. He represents the DAV in the ASTIN committee of the IAA and is member of several national and international working parties).
  • Axel Wolfstein  (Read mathematics and became a member of the German Actuarial Association DAV in 1995. From 1989 to 1995, he worked in the statistical department of the German insurance association (GDV), and went on from 1995 to 2005 as Head of statistical department of the Verband öffentlicher Versicherer (association of public insurers). Since 2005, he is director of pricing&actuarial at Verti (formerly Direct Line Versicherung AG) and member of the extended board. He is member of several working groups and lectures also for the non-life actuarial exam).
  • Jochen Wolf (Since 2005, Jochen Wolf has been Professor for Mathematics and Economics at the Hochschule Koblenz. Before, he worked for several years at the German financial supervisor BaFin where he was responsible for various aspects of insurance supervision. At BaFin he was also involved in the Solvency II project. Prior to joining BaFin, Prof. Wolf held various research positions in stochastic analysis at Universität Jena and at the Université Paris-Nord. He holds a diploma in mathematics from the Universität Mainz and a doctorate in mathematics (focus probability) from the Universität Jena. Professor Wolf is actively involved in the actuarial education at the German actuarial association (DAV)).



Tuesday, 20 February 2018
08:45 – 09:00 Registration
09:00 – 09:30 Welcome and introduction: Rüdiger Frey
09:30 – 10:30 Risk measures: Jochen Wolf
10:30 – 11:00 Coffee Break
11:00 – 11:45 Risk measures: Jochen Wolf
11:45 – 13:00 Extreme value theory: Rüdiger Frey
13:00 – 14:15 Lunch
14:15 – 15:15 Exercises: Rüdiger Frey, Jochen Wolf
15:15 – 16:00 Multivariate Models:Rüdiger Frey
16:00 – 16:30 Coffee Break
16:30 – 17:15 Copula-Basics: Rüdiger Frey
17:15 – 17:45 Exercises: Rüdiger Frey, Jochen Wolf
Wednesday, 21 February 2018
09:00 – 10:30 Copulas (incl. exercises): Rüdiger Frey
10:30 – 11:00 Coffee Break
11:00 – 12:15 Integrated risk management: Rüdiger Frey
12:15 – 13:00 Interest Products: Jochen Wolf
13:00 – 14:15 Lunch
14:15 – 15:45 Interest rate models (incl. exercises): Jochen Wolf
15:45 – 16:15 Coffee Break
16:15 – 17:45 Interest-rate risk management: Jochen Wolf
Thursday, 22 February 2018
09:00 – 10:00 Interest rate risk: exercises:Jochen Wolf
10:00 – 10:30 Credit risk basics: Rüdiger Frey
10:30 – 11:00 Coffee Break
11:00 – 12:15 Credit risk: modelling and managemen: Rüdiger Frey
12:15 – 13:00 Credit risk: applications and exercises: Rüdiger Frey
13:00 – 14:00 Lunch
14:00 – 14:30 Qualitative Part: CERA basics:Eberhard Müller
14:30 – 16:00 Value Creation via ERM: Eberhard Müller
16:00 – 16:15 Coffee Break
16:15 – 18:15 ERM culture and governance: Axel Wolfstein
Friday, 23 February 2018
09:00 – 10:30 Elements of ERM, Part 1: Eberhard Müller
10:30 – 10:45 Coffee Break
10:45 – 12:15 Elements of ERM, Part 2: Eberhard Müller
12:15 – 13:15 Choosing a suitable ERM, part 1: Peter Brühne
13:15 – 14:15 Lunch
14:15 – 15:30 Choosing a suitable ERM, part 2: Peter Brühne
15:30 – 15:45 Coffee Break
15:45 – 16:45 Choosing a suitable ERM, part 3: Peter Brühne
16:45 – 17:00 Wrap up, discussion, open topics: Peter Brühne

Recommended Literature

Course material will be distributed via the EAA. As background reading we recommend the “Panjer Syllabus” of the CERA education as published on the website www.ceraglobal.org and the book “Quantitative Risk Management, 2nd edition” by McNeil, Frey an and Embrechts, Princeton University Press 2015



Fees and registrations

Fee for this CERA seminar module: 1,490 € plus 21% VAT
The seminar fee includes not only the participation and seminar material but also the hotel package fee for the catering (coffee breaks, lunches incl. one soft drink and water in the seminar room) already. Accommodation, breakfast and dinner are not included in this package fee.

Registrations: https://actuarial-academy.com/cera/registration?No=E0130


The language of the seminar will be English.


The Instituto de Actuarios Españoles recognice 24 hours of CPD.