• Offered by Rsch Sch of Finance, Actuarial Studies & App Stats
  • ANU College ANU College of Business and Economics
  • Course subject Actuarial Studies
  • Areas of interest Actuarial Studies, Finance, Statistics
  • Academic career UGRD
  • Course convener
    • Dr Fei Huang
  • Mode of delivery In Person
  • Co-taught Course
  • Offered in Second Semester 2016
    See Future Offerings

This course covers investment and asset modelling 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.

This subject, in conjunction with ACST4031/8040 and ACST4032/8041, provides the opportunity for exemption from the Part II academic requirements of the Actuaries Institute. Such exemption depends on the grades attained over all three subjects.

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

  • Examination: 65%
  • Assignment 1: 12%
  • Assignment 2: 23%

The ANU uses Turnitin to enhance student citation and referencing techniques, and to assess assignment submissions as a component of the University's approach to managing Academic Integrity. While the use of Turnitin is not mandatory, the ANU highly recommends Turnitin is used by both teaching staff and students. For additional information regarding Turnitin please visit the ANU Online website.

Workload

4 contact hours per week plus personal study time

Requisite and Incompatibility

To enrol in this course you must be studying ACST4004P/F Actuarial Studies IV Honours or Bachelor of Social Sciences (Honours in Actuarial Studies and Economics)

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. Tuition fees are indexed annually. Further information for domestic and international students about tuition and other fees can be found at Fees.

Student Contribution Band:
3
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
2016 $3480
International fee paying students
Year Fee
2016 $4638
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
8438 18 Jul 2016 29 Jul 2016 31 Aug 2016 28 Oct 2016 In Person N/A

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