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:

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

Research-Led Teaching

This course covers the relevant parts of the Actuaries Institute Part II syllabus. It will be informed by practical examples and case studies of relevance to professional and research

issues currently faced by the profession.

There will also be several guest speakers throughout the course. These speakers have many years of experience and professional practice.

Required Resources

All basic course materials will be available on Wattle. Students will be required to print these out themselves if they want a hard copy of them.

Recommended Resources

• Investments. By Zvi Bodie, Alex Kane, and Alan Marcus, McGraw Hill, (2014)
• Investment Principles for Actuaries, by Fitzherbert R. (2004).
• Understanding Actuarial Management: the actuarial control cycle, second edition (2010), Edited by Clare Bellis, Richard Lyon, Stuart Klugman and John Shepherd. This book is available from the University Co-op bookstore, or directly from the Actuaries Institute at http://www.actuaries.asn.au/knowledge-bank/book-shop?id=8. Recommended reading: Chapters 9,10,12,14
• Understanding Actuarial Practice, By Stuart A. Klugman, Jeffrey A. Beckley, Patricia L. Scahill, Matthew C. Varitek, Toby A. White. (2012). Recommended reading: Part 2: Investments

The above books are not compulsory but recommended and will be placed in the 2-hour reserve loan section in Chifey Library. Other relevant reading material will be distributed via

Wattle during the semester.

Staff Feedback

Students will be given feedback in the following forms in this course:

• Whole of class feedback in-class and via discussion forums
• Individual and group discussions in class
• Written comments on assignment submissions
• Individual meetings with the course convenor as organised by students
• Online quiz feedback via the Quiz activity on Wattle

Student Feedback

ANU is committed to the demonstration of educational excellence and regularly seeks feedback from students. Students are encouraged to offer feedback directly to their Course Convener or through their College and Course representatives (if applicable). The feedback given in these surveys is anonymous and provides the Colleges, University Education Committee and Academic Board with opportunities to recognise excellent teaching, and opportunities for improvement. The Surveys and Evaluation website provides more information on student surveys at ANU and reports on the feedback provided on ANU courses.

Class Schedule

Week/Session	Summary of Activities	Assessment
1	Investment Characteristics
2	Valuation
3	Investment Theories 1	Online Quiz Available
4	Investment Theories 2
5	Investment Theories 3
6	Stochastic Asset Modelling 1	Assignment 1 due
7	Stochastic Asset Modelling 2
8	Stochastic Asset Modelling 3
9	Impact of Liabilities
10	Investment Strategy 1	Assignment 2 due
11	Investment Strategy 2
12	Investment Strategy 3

Tutorial Registration

There are no regular tutorials for this course.

Assessment Summary

Assessment task	Value	Due Date	Return of assessment	Learning Outcomes
Online Quiz	0 %	30/08/2019	30/08/2019	1,2,3
Assignment 1	10 %	30/08/2019	17/09/2019	1,2,3
Assignment 2	15 %	11/10/2019	24/10/2019	4,5,6,7
Final Exam	75 %	31/10/2019	28/11/2019	1,2,3,4,5,6,7,8,9

* If the Due Date and Return of Assessment date are blank, see the Assessment Tab for specific Assessment Task details

Policies

ANU has educational policies, procedures and guidelines, which are designed to ensure that staff and students are aware of the University’s academic standards, and implement them. Students are expected to have read the Academic Misconduct Rule before the commencement of their course. Other key policies and guidelines include:

• Student Assessment (Coursework) Policy and Procedure
• Special Assessment Consideration Policy and General Information
• Student Surveys and Evaluations
• Deferred Examinations
• Student Complaint Resolution Policy and Procedure

Assessment Requirements

The ANU is using 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. For additional information regarding Turnitin please visit the ANU Online website Students may choose not to submit assessment items through Turnitin. In this instance you will be required to submit, alongside the assessment item itself, hard copies of all references included in the assessment item.

Moderation of Assessment

Marks that are allocated during Semester are to be considered provisional until formalised by the College examiners meeting at the end of each Semester. If appropriate, some moderation of marks might be applied prior to final results being released.

Examination(s)

Centrally administered examinations through Examinations, Graduations & Prizes will be timetabled prior to the examination period. Please check ANU Timetabling for further information. Exam scripts will not be returned.

Assessment Task 1

Online Quiz

The online quiz does not count towards the final grade. This quiz will review basic concepts covered in the first five teaching weeks including Investment Characteristics,

Valuation, and Financial Theories. It will be 45 minutes long and include 10 multiple-choice questions. The due date to complete the quiz is 30 August, 2019. Feedback

will be provided immediately via the Quiz activity on Wattle after completing the quiz.

Assessment Task 2

Assignment 1

The assignment is a group assignment and students are free to choose both the group size (up to three) and composition. The assignment can also be completed

individually if preferred. Details will be provided in class and on Wattle. This assignment will require groups to use the

financial theories introduced in class to analyse a real-world phenomenon and report the results in an essay. Assignment 1 counts 10% towards the final grade. It will be

released by 9 August and will be due by 30 August, 2019.

Assessment Task 3

Assignment 2

The assignment is a group assignment and students are free to choose both the group size (up to three) and composition. The assignment can also be completed

individually if preferred. Details will be provided in class and on Wattle. This assignment will require groups to apply the

stochastic asset modelling theories and techniques introduced in class to a real-world dataset and report the results in an essay. Assignment 2 counts 15% towards the

final grade. It will be released by 16 September and will be due by 11 October, 2019.

Assessment Task 4

Final Exam

The final examination is compulsory and will be conducted in computer labs, that is, the student is allowed to use the computer to answer some questions, but the

answers must be recorded in the script books provided. The final exam will be open book, and you will be permitted to bring in a calculator, an English dictionary and any

hardcopy materials (electronic devices are not allowed). Further details relating to the exam will be provided closer to the scheduled date. The final exam will include

questions testing the learning from the group assessment tasks in an individual context.

Centrally administered examinations through Examinations, Graduations & Prizes will be timetabled prior to the examination period. Please check ANU Timetabling for further information. Exam scripts will not be returned.

Academic Integrity

Academic integrity is a core part of our culture as a community of scholars. At its heart, academic integrity is about behaving ethically. This means that all members of the community commit to honest and responsible scholarly practice and to upholding these values with respect and fairness. The Australian National University commits to embedding the values of academic integrity in our teaching and learning. We ensure that all members of our community understand how to engage in academic work in ways that are consistent with, and actively support academic integrity. The ANU expects staff and students to uphold high standards of academic integrity and act ethically and honestly, to ensure the quality and value of the qualification that you will graduate with. The University has policies and procedures in place to promote academic integrity and manage academic misconduct. Visit the following Academic honesty & plagiarism website for more information about academic integrity and what the ANU considers academic misconduct. The ANU offers a number of services to assist students with their assignments, examinations, and other learning activities. The Academic Skills and Learning Centre offers a number of workshops and seminars that you may find useful for your studies.

Online Submission

Assignment submission will consist of a report and software related files (R and Excel) uploaded to Wattle to the relevant Assignment activity. Groups will submit a single assignment, although all individuals in a group will be required to click on the “submit” button when uploading their completed assignment to Wattle. (This is not a TurnitIn activity as TurnitIn does not offer group assignment submission functionality). Note that uploading these files to Wattle implies that your group has worked only together and not with other groups, and have abided by the principles of academic honesty.

Hardcopy Submission

For some forms of assessment (hand written assignments, art works, laboratory notes, etc.) hard copy submission is appropriate when approved by the Associate Dean (Education). Hard copy submissions must utilise the Assignment Cover Sheet. Please keep a copy of tasks completed for your records.

Late Submission

No submission of assessment tasks without an extension after the due date will be permitted. If an assessment task is not submitted by the due date, a mark of 0 will be awarded.

Referencing Requirements

Accepted academic practice for referencing sources that you use in presentations can be found via the links on the Wattle site, under the file named “ANU and College Policies, Program Information, Student Support Services and Assessment”. Alternatively, you can seek help through the Students Learning Development website.

Returning Assignments

Assignments will be returned by the Assignment activity on Wattle .

Extensions and Penalties

Extensions and late submission of assessment pieces are covered by the Student Assessment (Coursework) Policy and Procedure The Course Convener may grant extensions for assessment pieces that are not examinations or take-home examinations. If you need an extension, you must request an extension in writing on or before the due date. If you have documented and appropriate medical evidence that demonstrates you were not able to request an extension on or before the due date, you may be able to request it after the due date.

Resubmission of Assignments

No resubmission of assignments is permitted.

Privacy Notice

The ANU has made a number of third party, online, databases available for students to use. Use of each online database is conditional on student end users first agreeing to the database licensor’s terms of service and/or privacy policy. Students should read these carefully. In some cases student end users will be required to register an account with the database licensor and submit personal information, including their: first name; last name; ANU email address; and other information. In cases where student end users are asked to submit ‘content’ to a database, such as an assignment or short answers, the database licensor may only use the student’s ‘content’ in accordance with the terms of service — including any (copyright) licence the student grants to the database licensor. Any personal information or content a student submits may be stored by the licensor, potentially offshore, and will be used to process the database service in accordance with the licensors terms of service and/or privacy policy. If any student chooses not to agree to the database licensor’s terms of service or privacy policy, the student will not be able to access and use the database. In these circumstances students should contact their lecturer to enquire about alternative arrangements that are available.

Distribution of grades policy

Academic Quality Assurance Committee monitors the performance of students, including attrition, further study and employment rates and grade distribution, and College reports on quality assurance processes for assessment activities, including alignment with national and international disciplinary and interdisciplinary standards, as well as qualification type learning outcomes. Since first semester 1994, ANU uses a grading scale for all courses. This grading scale is used by all academic areas of the University.

Support for students

The University offers students support through several different services. You may contact the services listed below directly or seek advice from your Course Convener, Student Administrators, or your College and Course representatives (if applicable).

• ANU Health, safety & wellbeing for medical services, counselling, mental health and spiritual support
• ANU Diversity and inclusion for students with a disability or ongoing or chronic illness
• ANU Dean of Students for confidential, impartial advice and help to resolve problems between students and the academic or administrative areas of the University
• ANU Academic Skills and Learning Centre supports you make your own decisions about how you learn and manage your workload.
• ANU Counselling Centre promotes, supports and enhances mental health and wellbeing within the University student community.
• ANUSA supports and represents undergraduate and ANU College students
• PARSA supports and represents postgraduate and research students