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:
- 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
- Typical assessment may include, but is not restricted to: assignments and a final examination. (null) [LO null]
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Workload
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.
Inherent Requirements
Not applicable
Requisite and Incompatibility
Prescribed Texts
Any prescribed texts will be listed on the course Wattle site.
Specialisations
Fees
Tuition fees are for the academic year indicated at the top of the page.
Commonwealth Support (CSP) Students
If you 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). More information about your student contribution amount for each course at Fees.
- Student Contribution Band:
- 34
- Unit value:
- 6 units
If you are a domestic graduate coursework student with a Domestic Tuition Fee (DTF) place or international student you will be required to pay course tuition fees (see below). Course tuition fees are indexed annually. Further information for domestic and international students about tuition and other fees can be found 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 |
|---|---|
| 2021 | $3360 |
- International fee paying students
| Year | Fee |
|---|---|
| 2021 | $5580 |
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.
