This course covers investment and asset modeling for the purpose of liability portfolio management in the financial services industry, with a specific focus on life insurers, general insurers and superannuation funds. The course will cover development of investment strategies with regard to liability characteristics and within regulatory constraints. The use of long term stochastic actuarial models of assets and liabilities in the context of designing and monitoring investment strategies will be covered, including model characteristics and limitations.
Learning Outcomes
Upon successful completion, students will have the knowledge and skills to:
Upon successful completion of the requirements for this course, students will be able to:
- Demonstrate an understanding of the characteristics, returns and risk factors of the different types of investment
- Apply the methods used for the valuation of investments
- Develop an understanding of the major economic, financial and practical theories relevant to investment
- Understand the impact of the liabilities on investment objectives and constraints
- Describe the characteristics and limitations of the major stochastic investment models
- Derive relevant assumptions for each of these models
- Demonstrate the ability to build a relevant stochastic model
- Formulate an appropriate investment strategy for a given liability portfolio
- Discuss the practical implementation of investment strategy
Indicative Assessment
- Assignment 1: 12%
- Assignment 2: 23%
- Final Examination: 65%
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Workload
4 contact hours per week plus personal study time
Requisite and Incompatibility
Fees
Tuition fees are for the academic year indicated at the top of the page.
If you are a domestic graduate coursework or international student you will be required to pay tuition fees. Students continuing in their current program of study will have their tuition fees indexed annually from the year in which you commenced your program. Further information for domestic and international students about tuition and other fees can be found at Fees.
- Student Contribution Band:
- 2
- Unit value:
- 6 units
If you are an undergraduate student and have been offered a Commonwealth supported place, your fees are set by the Australian Government for each course. At ANU 1 EFTSL is 48 units (normally 8 x 6-unit courses). You can find your student contribution amount for each course at Fees. Where there is a unit range displayed for this course, not all unit options below may be available.
| Units | EFTSL |
|---|---|
| 6.00 | 0.12500 |
Course fees
- Domestic fee paying students
| Year | Fee | Description |
|---|---|---|
| 1994-2003 | $2784 | |
| 2014 | $3246 | |
| 2013 | $3246 | |
| 2012 | $3090 | |
| 2011 | $3090 | |
| 2010 | $3090 | |
| 2009 | $3090 | |
| 2008 | $3090 | |
| 2007 | $3090 | |
| 2006 | $3090 | |
| 2005 | $3084 | |
| 2004 | $3084 |
- International fee paying students
| Year | Fee |
|---|---|
| 1994-2003 | $2784 |
| 2014 | $3762 |
| 2013 | $3756 |
| 2012 | $3582 |
| 2011 | $3582 |
| 2010 | $3576 |
| 2009 | $3264 |
| 2008 | $3264 |
| 2007 | $3264 |
| 2006 | $3132 |
| 2005 | $3084 |
| 2004 | $3084 |
Offerings, Dates and Class Summary Links
ANU utilises MyTimetable to enable students to view the timetable for their enrolled courses, browse, then self-allocate to small teaching activities / tutorials so they can better plan their time. Find out more on the Timetable webpage.
Class summaries, if available, can be accessed by clicking on the View link for the relevant class number.
Second Semester
| Class number | Class start date | Last day to enrol | Census date | Class end date | Mode Of Delivery | Class Summary |
|---|---|---|---|---|---|---|
| 8397 | 21 Jul 2014 | 01 Aug 2014 | 31 Aug 2014 | 30 Oct 2014 | In Person | N/A |
