Tuesday 13th, Wednesday 14th Thursday 15th & Friday 16th February 2024.

Start time: Tuesday - Friday, 8.00 am.

End time: Tuesday - Friday 2.00 pm.

(Time zone: GMT)


CERA, Module A: Quantitative Methods of ERM

Announcement from the EAA organiser:

The 4-day web session assists actuaries in broadening their knowledge about modern quantitative financial and actuarial modelling; these topics form an essential part of the CERA syllabus. At the beginning of the online training we give a brief overview of the EAA-route to the CERA designation. The core part of the web session 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 training 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 account for counterparty risk and how to deal with credit portfolio risk.

The web session 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 web session 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.

Technical requirements and test session
Please check with your IT department if your firewall and computer settings support web session participation (the programme Zoom is used for the web session). Please also make sure that you are joining the web session with a stable internet connection. 

On 6 February 2024 10:00-10:30 CET, there will be a test session offered to all registered participants to test the software. This test session is mandatory.

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 and the book “Quantitative Risk Management, 2nd edition” by McNeil, Frey and Embrechts, Princeton University Press 2015.

This online module is one part in a course that consists of four modules. They can be booked as a whole series to fulfil the requirements for receiving the CERA designation, or individually as CPD training. Written exams on the course are offered subsequently.

Please contact your actuarial association regarding the recognition of the (online) trainings and the exams. The national association has to be at least Acceding Party of the CERA Global Association so that an actuary who passes this course may receive the CERA credential. Please visit to get information if your association is entitled to issue the CERA designation.

Click here to make a reservation: Your early-bird registration fee for this CERA web session is € 975.00 plus 19% VAT for bookings by 2 January 2024. After this date, the fee will be € 1080.00 plus 19% VAT.

Biographical details

Rüdiger Frey

Rüdiger Frey is 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 co-author 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.

Jochen Wolf
Since 2005, Jochen Wolf serves as 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. Jochen Wolf is a member of the German Actuarial Association (DAV) and a CERA-holder. He is actively involved in the actuarial education at the German actuarial association (DAV).

Event Type
Web Session
Event format
Virtual event
Rüdiger Frey & Jochen Wolf.
European Actuarial Academy (EAA)