Program Overview

Enterprise Risk Management

The Enterprise Risk Management course aims to provide knowledge in both the theoretical foundation and the practical application of quantitative methods used in finance and insurance, such as portfolio selection, investment strategies, and the assessment of risk.

About the Course

This course begins with an introduction to risk modeling and reserving in non-life insurance, with a focus on loss distributions and dependence modeling. Next, statistical properties of financial time series are studied together with one- and multidimensional models of these series and the definition and calculation of risk measures. Thereafter, risks and the effect of investment strategies for a life insurance company are studied with the help of simulation and stress testing. This includes implementing a model of the life insurance company, where one of the earlier studied multi-dimensional models is used as a stochastic model for the relevant market variables. In this setting, we also study interest rate sensitivity and immunization and how risk capital is calculated in accordance with the risk framework Solvency 2. Lastly, portfolio selection methods are studied. We start with classical Markowitz theory, which we then generalize in different directions: taking liabilities into account, other return distributions, and risk measures.

Course Details

• Type: Course, second cycle
• Study pace: Half speed
• Study location: Umeå
• Type of studies: On campus
• Language: English
• Number of credits: 15 credits
• Teaching hours: Daytime
• Application code: UMU-58028

Eligibility

The course requires 90 ECTS and with at least 60 ECTS in the main field of Mathematics and Mathematical Statistics, including courses in Financial Mathematics and Monte Carlo-methods, and a basic course in mathematical statistics. Proficiency in English and Swedish equivalent to the level required for basic eligibility for higher studies.

Selection

Guaranteed place

Application and Tuition Fees

• Application fee: SEK 900
• Tuition fee, first instalment: SEK 38,075
• Total fee: SEK 38,075

Duration

• Starts: 1 September 2025
• Ends: 18 January 2026

Provided By

The course is given by the Department of Mathematics and Mathematical Statistics.