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.

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

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

4 contact hours per week plus personal study time

At least an average of 65% (or equivalent) in the final two years of an Australian undergraduate degree with at least two years of university level statistical and mathematical study including calculus and linear algebra, as well as mathematical statistics and linear regression theory.

Please refer to Course Website