• Offered by Rsch Sch of Finance, Actuarial Studies & App Stats
  • ANU College ANU College of Business and Economics
  • Classification Advanced
    Specialist
  • Course subject Actuarial Studies
  • Academic career PGRD
  • Course convener
    • Dr Gaurav Khemka
  • Mode of delivery In Person
  • Offered in Second Semester 2014
    See Future Offerings

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:

  1. Demonstrate an understanding of the characteristics, returns and risk factors of the different types of investment
  2. Apply the methods used for the valuation of investments
  3. Develop an understanding of the major economic, financial and practical theories relevant to investment
  4. Understand the impact of the liabilities on investment objectives and constraints
  5. Describe the characteristics and limitations of the major stochastic investment models
  6. Derive relevant assumptions for each of these models
  7. Demonstrate the ability to build a relevant stochastic model
  8. Formulate an appropriate investment strategy for a given liability portfolio
  9. Discuss the practical implementation of investment strategy

Indicative Assessment

  • Assignment 1 - 15%
  • Assignment 2 - 15%
  • Final Examination - 65%


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Workload

4 contact hours per week plus personal study time

Requisite and Incompatibility

To enrol in this course you must have completed STAT3038 or STAT6045

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
Domestic fee paying students
Year Fee
1994-2003 $3234
2004 $3234
2005 $3234
2006 $3240
2007 $3240
2008 $3240
2009 $3240
2010 $3240
2011 $3240
2012 $3240
2013 $3240
2014 $3246
International fee paying students
Year Fee
1994-2003 $3234
2004 $3234
2005 $3234
2006 $3534
2007 $3618
2008 $3618
2009 $3618
2010 $3942
2011 $3942
2012 $3942
2013 $3942
2014 $3948
Note: Please note that fee information is for current year only.

Offerings, Dates and Class Summary Links

The list of offerings for future years is indicative only.
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
8411 21 Jul 2014 08 Aug 2014 31 Aug 2014 30 Oct 2014 In Person N/A

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