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Master
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Quantitative Risk Management (Actuarial Science and Mathematical Finance)

The study programme

In the study programme of Quantitative Risk Management you will learn about the latest techniques, practices and big data developments in the field of financial risk management.

The programme

During your Master's you will follow 6 general courses and 3 track-specific courses including 1 elective. You will finish with a thesis. If you want to meet the requirements for admission to the post-Master's Actuarial Practice Cycle, you will also need to take the Honours programme.

COURSES SEM 1 SEM 2 SEMESTER 1 SEMESTER 2 EC
  • Non-Life Insurance: Statistical Techniques and Data Analytics
    5

    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 have 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
    5

    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 Insurers and Pensions
    5

    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.

  • Banking Risk Management
    5

    In the 1st 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 2nd part of this course treats quantitative models for (portfolio) credit and liquidity risk management at an advanced level.

  • Financial Mathematics for Insurance
    5

    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.

  • Stochastic Calculus
    5

    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.

  • Asset Liability Management - Cases and Skills
    5

    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.

  • Restricted-choice elective
    5
  • Restricted-choice elective
    5
  • Master's Thesis Actuarial Science and Mathematical Finance: Quantitative Risk Management
    14

    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).

Compulsory course
Elective
Specialisation
Send me the clickable course schedule + programme summary Check more detailed information about the specific courses in the course catalogue

Honours programme

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

More about the Honours programme
Students from the ASE are open-minded and friendly. We are encouraged to develop critical thinking and a cooperative mindset. Jingde Guo - track Quantitative Risk Management Read about Jingde's experiences with this Master's
Real-life case: how to regulate and manage large banks

Brexit, the trade war between the US and China, climate and energy transition risks, household debts, cyber threats, and low interest rates put a constant pressure on the performance of banks, insurance companies and pension funds. Add the ever growing, complex and interconnected financial system, and the need for adequate regulatory policies and risk management practices is larger than ever. These topics are important for regulatory bodies such as the Dutch Central Bank (DNB) and the European Central Bank (ECB), as well as risk departments within banks, pension funds, and insurance companies.

Vu Ha Anh Pham
The programme is intellectually interesting. I had the flexibility to design my schedule to work around the assignment and was free in picking my group mate when doing coursework. Vu Ha Anh Pham Read Vu's full review
Frequently asked questions
  • When do I need to select a specialisation track?

    A specialisation track must be chosen when applying for the Master’s programme. However, track modifications are still possible until late October. The criteria for all tracks are identical and do not impact the likelihood of being accepted into the programme.

  • How many students are in the programme?

    Our Master’s programme admits around 20 students per specialisation track. If you meet the entry requirements, you will be accepted; this Master’s does not have a numerus fixus.

  • What are the weekly contact hours?

    Most courses have one 2-3 hour lecture and one 2-hour tutorial per week. Generally students take 3 courses at a time, so count on about 12-15 contact hours per week.

  • Will all lectures be held in person, or will there be options for online attendance?

    Our preference is for in-person lectures. Certain sessions may be pre-recorded or follow a hybrid format. This entails preparing for Question and Answer (Q&A) sessions through video clips and readings, with subsequent discussions during meetings.

  • Is attendance compulsory for lectures, tutorials, and other sessions?

    Attendance is usually not compulsory for lectures, but commonly for tutorials and other sessions. Students greatly benefit from being present and engaging in discussions with both the instructor and their classmates.

  • What is the typical method of assessment for most courses?

    The majority of courses have a written on-site exam, which counts for a large percentage of the final grade. Most courses have additional assessment methods, including oral presentations, developing research proposals, conducting experiments and writing up results. Finally, some courses grade attendance, which is reflected by presence and activity in tutorials and online assignments.