ACSC71-305: Actuarial and Financial Models

Description

The aim of this subject is to provide a grounding in the principles of modelling as applied to actuarial work – focusing particularly on stochastic asset liability models and the valuation of financial derivatives. These skills are also required to communicate with other financial professionals and to critically evaluate modern financial theories.

Subject details

Type: Postgraduate Subject
Code: ACSC71-305
EFTSL: 0.125
Faculty: Bond Business School
Semesters offered:
  • January 2024 [Standard Offering]
  • September 2024 [Standard Offering]
  • January 2025 [Standard Offering]
Credit: 10
Study areas:
  • Actuarial Science and Data Analytics
Subject fees:
  • Commencing in 2023: $5,450.00
  • Commencing in 2024: $5,560.00
  • Commencing in 2025: $5,680.00
  • Commencing in 2023: $5,860.00
  • Commencing in 2024: $6,220.00
  • Commencing in 2025: $6,500.00

Learning outcomes

  1. Apply modern asset and derivative pricing theory to implementing valuations for advanced insurance and finance applications.
  2. Assess stochastic models of financial securities and other asset pricing situations.
  3. Apply stochastic interest rate modelling concepts to model the term structure of interest rates.
  4. Analyse advanced models for credit risk assessment.
  5. Apply ruin theory to liability valuation in insurance contexts
  6. Demonstrate advanced run-off techniques in general insurance reserving applications.
  7. Design asset liability valuation methodologies in Excel/VBA for advanced insurance and finance applications.

Enrolment requirements

Requisites:

Pre-requisites:

Co-requisites:

There are no co-requisites

Pre/Co-requisites:

Assumed knowledge:

Assumed knowledge is the minimum level of knowledge of a subject area that students are assumed to have acquired through previous study. It is the responsibility of students to ensure they meet the assumed knowledge expectations of the subject. Students who do not possess this prior knowledge are strongly recommended against enrolling and do so at their own risk. No concessions will be made for students’ lack of prior knowledge.

Restrictions:

Subject outlines

Subject dates

  • Standard Offering
    Enrolment opens: 12/11/2023
    Semester start: 15/01/2024
    Subject start: 15/01/2024
    Cancellation 1: 29/01/2024
    Cancellation 2: 05/02/2024
    Last enrolment: 28/01/2024
    Withdraw - Financial: 10/02/2024
    Withdraw - Academic: 02/03/2024
    Teaching census: 09/02/2024
  • Standard Offering
    Enrolment opens: 14/07/2024
    Semester start: 09/09/2024
    Subject start: 09/09/2024
    Cancellation 1: 23/09/2024
    Cancellation 2: 30/09/2024
    Last enrolment: 22/09/2024
    Withdraw - Financial: 05/10/2024
    Withdraw - Academic: 26/10/2024
    Teaching census: 04/10/2024
  • Standard Offering
    Enrolment opens: 10/11/2024
    Semester start: 20/01/2025
    Subject start: 20/01/2025
    Cancellation 1: 03/02/2025
    Cancellation 2: 10/02/2025
    Last enrolment: 02/02/2025
    Withdraw - Financial: 15/02/2025
    Withdraw - Academic: 08/03/2025
    Teaching census: 14/02/2025
Standard Offering
Enrolment opens: 12/11/2023
Semester start: 15/01/2024
Subject start: 15/01/2024
Cancellation 1: 29/01/2024
Cancellation 2: 05/02/2024
Last enrolment: 28/01/2024
Withdraw - Financial: 10/02/2024
Withdraw - Academic: 02/03/2024
Teaching census: 09/02/2024
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