- Code ACST4033
- Unit Value 6 units
- 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
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.
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 AssessmentTypical assessment may include, but is not restricted to: assignments and a final examination.
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Students are expected to commit at least 10 hours per week to completing the work in this course. This will include at least 3 contact hours per week and up to 7 hours of private study time.
Requisite and Incompatibility
Tuition fees are for the academic year indicated at the top of the page.
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- Student Contribution Band:
- Unit value:
- 6 units
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