Asset Liability Management - Cases and Skills

In this hands-on seminar you will learn about the practical implementation of an Asset Liability Management (ALM) study focusing on the match between investment policies and liabilities. The cases involve theoretical aspects such as asset dynamics and liability modelling, numerical aspects like Monte Carlo simulation as well as practical communication and team working skills.

Financial Mathematics for Insurance

In this course you learn the basic principles of asset pricing and risk mitigation on a market-consistent basis. The course provides an introduction to mathematical techniques which can be used in complete markets such as those for equity and interest derivatives, but it also considers incomplete markets.

Non-life Insurance - Statistical Techniques and Data Analysis

In this course you study statistical techniques that can be applied in non-life insurance. We explore Generalized Linear Models for determining insurance prices. Also, we take a look at IBNR models for predicting future payments on claims regarding events that have occurred in the past but are not yet (fully) known to the insurer. Another topic is credibility theory to predict future claims. Apart from the theory, we study and practice the implementation of the techniques using the programming language R.

Principles of the Mathematics and Economics of Risk

The course will cover the basics of information theory, including information asymmetry, moral hazard and adverse selection and the basics of behavioural insurance and finance.

Risk Management for Insurance and Pensions

This course provides an in-depth treatment of the principles of (quantitative) risk management for insurers and pensions. The course focuses first on the joint measurement, modelling and allocation of financial and insurance risks. Next, the course treats the design of risk mitigation strategies and of asset allocation strategies from a long-term perspective.

Stochastic Calculus

In this course elements of probability theory, stochastic processes and stochastic calculus are discussed to the extent that it is relevant in the analysis of financial derivatives. The emphasis is on the mathematical concepts and techniques and to a lesser extent on their application in pricing and hedging derivatives. Topics that are covered are discrete time methods: binomial trees and the Cox-Ross-Rubinstein model; continuous time stochastic processes: Brownian motion and martingales; stochastic calculus: the Ito integral, Ito's lemma and stochastic differential equations; Girsanov's theorem, equivalent martingale measures and risk-neutral valuation; the Black-Scholes-Merton model; implementation of various numerical methods in computer programmes.

Banking Risk Management

In the 1^st part of this course you will learn the basic principles and requirements governing banking regulation and supervision, aimed at safeguarding stable banks. We will analyse the risks as well as the remedies that were drawn up for bank risk management. You will also explore the changing structure of the broader financial system. The 2^nd part of this course treats quantitative models for (portfolio) credit and liquidity risk management at an advanced level.

Financial Econometrics

This course covers the following topics: linear time series analysis, volatility models, value at risk, VAR models and cointegration, multivariate volatility and correlation models and high-frequency data and realised variance. These topics are applied to empirical data using Python and R.

Elective

Choose 1 elective from the following options:

• Actuarial Science of Pensions and Ageing
• Machine Learning in Finance
• Retirement Savings and Investment Decisions
• Advanced Mathematics and Economics of Risk
• Experimental Economics
• Financial Institutions and Banking
• Climate Change Economics

The Master’s thesis is the final requirement for your graduation. It is your chance to dive deep into a topic that you are enthusiastic about. A professor in your field of choice (track) will supervise and support you in writing your thesis. After a successful defence of your thesis and completion of the courses, you will be awarded the title Master of Science (MSc).

Highly motivated students can participate in the MSc Actuarial Science and Mathematical Finance Honours programme. This challenging programme is a great chance to stand out for future employers.

If you have completed your curriculum, you can do an internship or go on an exchange abroad. For international students it is an excellent opportunity to experience the Dutch labour market.

Are you interested in learning Dutch? There are various options available to maximise your Dutch experience and prepare for your future job in the Netherlands.

Many of our students are members of a study association. It is fun and useful for your future career at the same time. Faculty student associations are a great way to meet fellow students and future employers. They organise study trips (abroad), career events, weekly debates and social events. You can also purchase your textbooks and course syllabi at reduced rates.

Overview Study Associations

• Faculty student association Sefa
• International Student Committee (ISC,part of Sefa)
• International Student Network Amsterdam (ISN, part of Sefa)
• Study Association Actuarial Sciences, Econometrics and Operational Research (VSAE)
• Financial Study Association Amsterdam (FSA)
• Marketing Association Amsterdam (MAA)
• International study association (AIESEC)

Amsterdam has a thriving student community with many activities organised outside of the university’s grounds. You will find student associations focusing on networking, specific interests and sports. It is only at sororities and fraternities that you can expect an initiation ritual (hazing).

At university, you are entitled to make your voice heard and assess the quality of your own education. Students can participate in the discussion on the university's education policy in various ways, such as by joining the Programme Committee, the Faculty Student Council or the first-year focus group. You can also stand for election and dedicate your efforts to the programme and your fellow students.