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Course in Risk Correlation in Global Reinsurance

Online 300-hour course in risk correlation in global reinsurance. 6 modules covering Delegated Regulation (EU) 2015/35 (correlation matrices of the standard formula), Directive 2009/138/EC (Solvency II) and R (copulas). Assigned tutor and open enrolment.

Duration300 h
ModeOnline
LanguageEnglish
Start datesSet by the faculty
AwardSEIUM Institute certificate
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Learning outcomes

What you will be able to do

01

Explain the concept of correlation and dependence in global portfolios.

02

Identify sources of geographic, economic and line-of-business dependence.

03

Measure dependence using coefficients, copulas and scenarios.

04

Manage exposure accumulations in a reinsured portfolio.

05

Assess the effect of diversification on required capital.

06

Incorporate correlation results into governance and decision-making.

07

Develop an integrated project on dependency modelling.

Profile

Who it's for

  • Catastrophe modeller who wants to specialise in Risk Correlation in Global Reinsurance.
  • Reinsurance risk actuary who wants to specialise in Risk Correlation in Global Reinsurance.
  • Quantitative risk analyst who wants to specialise in Risk Correlation in Global Reinsurance.
  • Accumulation manager who wants to specialise in Risk Correlation in Global Reinsurance.
  • Head of a risk management function who wants to specialise in Risk Correlation in Global Reinsurance.
  • International reinsurance underwriter who wants to specialise in Risk Correlation in Global Reinsurance.
  • Engineering or science graduates looking to enter reinsurance.
Standards & tools

What you'll work with

  • Delegated Regulation (EU) 2015/35 (correlation matrices of the standard formula)
  • Directive 2009/138/EC (Solvency II)
  • ISO 31000 (risk management)
  • IEC 31010 (risk assessment techniques)
  • IAIS Insurance Core Principles
  • IFRS 17 (insurance contracts)
Syllabus

6 modules · 300 h

  1. 1.1Why correlation matters in reinsurance
  2. 1.2Geographic diversification and its limits
  3. 1.3Systemic risks and their reach
  4. 1.4Apparent and spurious correlation
  5. 1.5Dependence under extreme conditions
  6. 1.6Sources of correlation in a global portfolio
  7. 1.7Vocabulary and acronyms in the field
  8. 1.8Common errors of interpretation
  9. 1.9Available data and its limitations
  10. 1.10Exercise: identifying sources of dependence
  1. 2.1Far-reaching natural events
  2. 2.2Economic and financial cycles
  3. 2.3Inflation and its effect across several lines
  4. 2.4Cyber events and their propagation
  5. 2.5Pandemics and their cross-cutting reach
  6. 2.6Interconnected supply chains
  7. 2.7Counterparty concentration
  8. 2.8Exposure to a single reinsurer
  9. 2.9Hidden contractual dependencies
  10. 2.10Practice: mapping the dependencies of a portfolio
  1. 3.1Correlation coefficients and their limits
  2. 3.2Tail dependence
  3. 3.3Copulas and their calibration
  4. 3.4Common factor models
  5. 3.5Simulation of joint scenarios
  6. 3.6Aggregation of heterogeneous portfolios
  7. 3.7Estimation uncertainty
  8. 3.8Validation with historical events
  9. 3.9Sensitivity of results
  10. 3.10Practice: aggregation with dependence
  1. 4.1Global accumulation control systems
  2. 4.2Quality of exposure data
  3. 4.3Limits by zone, line and event
  4. 4.4Cross-cutting stress scenarios
  5. 4.5Reverse scenarios
  6. 4.6Unmodelled risks and their treatment
  7. 4.7Periodic review of limits
  8. 4.8Internal accumulation reporting
  9. 4.9Coordination between units
  10. 4.10Practice: designing a limit system
  1. 5.1Effect on capital and solvency
  2. 5.2Underwriting and retrocession decisions
  3. 5.3Diversification as a strategy and its costs
  4. 5.4Risk appetite and how it is formulated
  5. 5.5Communication to management and the board
  6. 5.6Reporting to the supervisor
  7. 5.7Rating agencies and their view of risk
  8. 5.8Lessons from recent events
  9. 5.9Continuous improvement of the framework
  10. 5.10Practice: accumulation report to the board
  1. 6.1Choosing the global portfolio
  2. 6.2Dependency map
  3. 6.3Modelling the aggregation
  4. 6.4Cross-cutting stress scenarios
  5. 6.5Proposed limit system
  6. 6.6Mitigation decisions
  7. 6.7Reporting and governance
  8. 6.8Monitoring indicators
  9. 6.9Analysis report
  10. 6.10Defence of the project
Methodology, software & labs

How you'll learn

100 % online training on the SEIUM campus, with downloadable material, recorded classes and an assigned technical tutor. No fixed timetables: students progress at their own pace within the intake, which makes it possible to combine study with work.

Each module combines theory, guided reading of the original standard and applied exercises. The working software is R (copulas), Python (NumPy, SciPy), Moody’s RMS RiskLink, Verisk Touchstone, ReMetrica (Aon), in free, academic or evaluation versions. Assignments are based on real procedures for modelling dependence with copulas, catastrophe accumulation analysis and stress tests with correlated events. Assessment is continuous by module, plus the final integrated project.

Accredited laboratories(EN ISO/IEC 17025) with rotor test rig, EMC/Lightning pre-compliance, HIL/SIL, vibration/acoustics.
Evidence-driven final project:safety case, test plan, compliance dossier and operational limits.
Industry mentoring:lecturers with experience in training, , eVTOL/UAM and flight test.
Flexible format(hybrid/online), international cohorts and support from SEIUM Career Services.
Ethics and safety:a safety-by-design approach, with cyber-OT, DIH and compliance as pillars.
Capstone project

Build it end to end

Your final project follows the real engineering workflow, step by step, reviewed by your tutor.

Choosing the global portfolio

Explain the concept of correlation and dependence in global portfolios.

Dependency map

Identify sources of geographic, economic and line-of-business dependence.

Modelling the aggregation

Measure dependence using coefficients, copulas and scenarios.

Cross-cutting stress scenarios

Manage exposure accumulations in a reinsured portfolio.

Proposed limit system

Assess the effect of diversification on required capital.

Career opportunities

Where this takes you

Catastrophe modellerReinsurance risk actuaryQuantitative risk analystAccumulation managerHead of risk management functionInternational reinsurance underwriter
Admissions & scholarships

Requirements

  • No prior degree is required.
  • Internet connection and a computer capable of running the programme's software.
  • Sufficient command of Spanish to follow technical regulatory texts.

Ready to start?

Send your application today. Our admissions team replies within 72 hours with your study plan and funding options.

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FAQ

Frequently asked questions

The programme totals 300 hours spread over 3 to 5 months. That is between 10 and 15 hours per week on average, compatible with a full-time job.

You work with R (copulas), Python (NumPy, SciPy), Moody’s RMS RiskLink, Verisk Touchstone, ReMetrica (Aon). Free, academic or evaluation versions are used, and the tutor indicates the free alternative where one exists.

An SEIUM own diploma upon passing the continuous assessment and the integrated project. It is in-house training, not an official qualification from the Ministry.

Yes. Modules passed in a course or postgraduate diploma in the same area are credited towards the advanced programme. Check the credit transfer policy when you enrol.

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