ACTL5109 Financial Economics for Insurance and Superannuation - 2018

ACTL5109
Postgraduate
Semester 2
6 Units of Credit
On Campus
Risk & Actuarial Studies
This course outline is for the current semester. To view outlines from other years and/or semesters, visit the archives

1. Course Details

Summary of Course

This course introduces the mathematical and economic models of financial economics, and highlights their application to asset-liability management for insurance, superannuation and funds management. Particular focus will be placed on the development of quantitative models to solve practical actuarial problems.

Topics covered include: risk and utility; risk measures; mean-variance models; factor models; asset-liability models; equilibrium and arbitrage-free valuation; valuation of derivatives and embedded guarantees; stochastic interest rate modeling; actuarial stochastic investment models. The topics will be illustrated with applications to the valuation and risk management of insurance and superannuation contracts, especially those with embedded options and financial guarantees.

Students need to be able to use a word processing package (such as WORD) and a spread-sheet package (such as EXCEL).

Teaching Times and Locations

Please note that teaching times and locations are subject to change. Students are strongly advised to refer to the Class Timetable website for the most up-to-date teaching times and locations.

View course timetable

Course Policies & Support

Course Aims and Relationship to Other Courses

The aims of this course are to provide students with an understanding of:

  • The application of utility theory and quantitative risk measurement as a tool to aid decision-making.
  • Mean-variance analysis and its applications to optimal asset-liability management.
  • The assumptions, theory and application of the principal asset pricing models – including statistical, arbitrage, and equilibrium approaches.
  • Contingent-claims pricing techniques and their actuarial applications.
  • Actuarial stochastic investment models, and asset-liability modelling.

Students taking this course are assumed to have mastery over all areas of financial mathematics covered in ACTL5102, and students are required to have either completed or concurrently enrolled in ACTL5103. Concepts covered in this course are useful for advanced quantitative risk management as covered in ACTL5301 and ACTL5302.

This material covered in this course is further continued/complemented in ACTL4303 and ACTL5303, which focuses on the knowledge, skills and judgment necessary to understand investment and asset liability modeling with an emphasis on practical issues.

2. Staff Contact Details

Position Title Name Email Location Phone Consultation Times
Lecturer-in-chargeAProfRamaprasad BharRoom 649, , Business School building – Ref E12+61 2 9385 4930To Be Advised on Moodle (or by appointment)

​Email communication is the preferred method. Please use UNSW provided email address.

The Undergraduate version of this course is ACTL3182 and the LIC is Jonathan Ziveyi: (j.ziveyi@unsw.edu.au)


3. Learning and Teaching Activities

Approach to Learning and Teaching in the Course

​The course textbooks, lectures and assessment tasks are designed to provide a framework for your learning. Every student has a different approach to learning. How much time you spend on reading in preparation for lectures, completing assessment tasks, reviewing course objectives, deepening your understanding and preparing for final examinations will depend on your learning approach. Lectures will generally cover the main concepts and issues and will not necessarily cover all the details of the course readings or texts. It is expected that you have read the reading material for the lecture in advance. Students who are successful in this course take an active approach to learning.

Learning Activities and Teaching Strategies

​The learning activities of this course involve three key components – the lecture and associated learning activities, the assignments, and your private study. Each lecture will provide a short overview of topic at hand and will then focus on explaining the difficult concepts and issues. The role of the lecture is to help you understand the context of the topic as well as to work through the difficult points. To maximize your learning in each lecture you should read the assigned notes prior to each class. The learning activities provide you with an opportunity to work with your peers and develop both technical, team, and communication skills. The assignment presents you with a practical application of course concepts to an actuarial business problem (see also assessments section, below). Your private study is the most important component of this course. Weekly readings, solving problems, and your own topic summaries form the basis of an excellent private study regime. Keeping up to date is very important as each week builds on the weeks prior so it is important that you get your study regime organised quickly.

Students are not permitted to bring into the class any sound or video recording devices.

5. Course Resources

​There are many books of relevance to the course topics. The following books will be the main text references for a substantial part of the course:

  • Baxter, M. and A. Rennie “Financial Calculus: An Introduction to Derivative Pricing”, Cambridge University Press, 1996.
  • Luenberger, D.G. “Investment Science”, 2nd Edition. Oxford University Press, 2013.

Other References

Other texts that are useful references for the course coverage are:

  • Cairns, A. “Interest Rate Models”, Princeton University Press, 2004.
  • Elton, E., M. Gruber, S. Brown and W. Goetzmann “Modern Portfolio Theory and Investment Analysis”, Wiley 2002 (6th Edition).

Course Website

The course website is available from the UNSW TELT platform.

It is essential that you visit the site regularly to see any notices posted there by the course coordinator, as it will be assumed that they are known to you within a reasonable time.

Actuaries Institute

The Actuaries Institute allows students to become University Subscribers free of charge. Full time undergraduates studying at an Institute accredited university who are members of a university student actuarial society are eligible.

To sign up, go to:

http://www.actuaries.asn.au/Membership/MembershipoftheInstitute/Subscriber.aspx


6. Course Evaluation & Development

Each year feedback is sought from students and other stakeholders about the courses offered in the School and continual improvements are made based on this feedback. UNSW's Course and Teaching Evaluation and Improvement (myExperience) Process is one of the ways in which student evaluative feedback is gathered. In this course, we will seek your feedback through both a mid session and end of session myExperience.

As a result of feedback from previous offerings in the course, significant changes and improvements were introduced in recent years with significant positive feedback from students as a result. In 2018, we will improve the course material by incorporating additional illustrative examples to further enhance student understanding. In addition, all lectures will be available via the lecture recording system in order to facilitate students’ flexible learning strategies. These recordings become available via the Moodle course webpage.

7. Course Schedule

Week 1: 23 July 2018
Activity

Lecture/Discussion

Topic

Utility Theory; Risk Measures

Assessment/Other

Lecture Slides via Moodle

Class Q & A

Week 2: 30 July 2018
Activity

Lecture/Discussion

Topic

Mean-Variance Analysis

Assessment/Other

Lecture Slides via Moodle

Class Q & A

Week 3: 6 August 2018
Activity

Lecture/Discussion

Topic

Capital Asset Pricing Model

Assessment/Other

Lecture Slides via Moodle

Class Q & A

Week 4: 13 August 2018
Activity

Lecture/Discussion

Topic

Factor Models, Arbitrage Pricing Theory, Data and Statistics,

Efficient Markets

Assessment/Other

Lecture Slides via Moodle

Class Q & A

Week 5: 20 August 2018
Activity

Lecture/Discussion

Topic

Factor Models, Arbitrage Pricing Theory, Data and Statistics (Contd.)

Efficient Markets (Contd.)

Assessment/Other

Lecture Slides via Moodle

Class Q & A

Mid-session exam on Friday of this week

Week 6: 27 August 2018
Activity

Lecture/Discussion

Topic

Introduction to Derivatives, Contingent Claim Valuation - Discrete Time

Assessment/Other

Lecture Slides via Moodle

Class Q & A

Week 7: 3 September 2018
Activity

Lecture/Discussion

Topic

Continuous Time Modelling Techniques

Assessment/Other

Lecture Slides via Moodle

Class Q & A

Week 8: 10 September 2018
Activity

Lecture/Discussion

Topic

Continuous Time Modelling Techniques (Contd.)

Assessment/Other

Lecture Slides via Moodle

Class Q & A

Week 9: 17 September 2018
Activity

Lecture/Discussion

Topic

Contingent Claim Valuation - Continuous Time (1)

Assessment/Other

Lecture Slides via Moodle

Class Q & A

Session Break:
Topic

Mid Semester Break 22 September – 01 October (Inclusive)

01 October Public Holiday

 

Week 10: 1 October 2018
Activity

Lecture/Discussion

Topic

Contingent Claim Valuation - Continuous Time (2)

Assessment/Other

Lecture Slides via Moodle

Class Q & A

Week 11: 8 October 2018
Activity

Lecture/Discussion

Topic

Interest Rate Modelling

Assessment/Other

Lecture Slides via Moodle

Class Q & A

Assignment Submission Friday of this week

Week 12 : 15 October 2018
Activity

Lecture/Discussion

Topic

Actuarial Stochastic Investment Models; Applications

Assessment/Other

Lecture Slides via Moodle

Class Q & A

8. Policies

Information about UNSW Business School protocols, University policies, student responsibilities and education quality and support.

Program Learning Outcomes

The Business School places knowledge and capabilities at the core of its curriculum via seven Program Learning Outcomes (PLOs). These PLOs are systematically embedded and developed across the duration of all coursework programs in the Business School.

PLOs embody the knowledge, skills and capabilities that are taught, practised and assessed within each Business School program. They articulate what you should know and be able to do upon successful completion of your degree.

Upon graduation, you should have a high level of specialised business knowledge and capacity for responsible business thinking, underpinned by ethical professional practice. You should be able to harness, manage and communicate business information effectively and work collaboratively with others. You should be an experienced problem-solver and critical thinker, with a global perspective, cultural competence and the potential for innovative leadership.

All UNSW programs and courses are designed to assess the attainment of program and/or course level learning outcomes, as required by the UNSW Assessment Design Procedure. It is important that you become familiar with the Business School PLOs, as they constitute the framework which informs and shapes the components and assessments of the courses within your program of study.

PLO 1: Business knowledge

Students will make informed and effective selection and application of knowledge in a discipline or profession, in the contexts of local and global business.

PLO 2: Problem solving

Students will define and address business problems, and propose effective evidence-based solutions, through the application of rigorous analysis and critical thinking.

PLO 3: Business communication

Students will harness, manage and communicate business information effectively using multiple forms of communication across different channels.

PLO 4: Teamwork

Students will interact and collaborate effectively with others to achieve a common business purpose or fulfil a common business project, and reflect critically on the process and the outcomes.

PLO 5: Responsible business practice

Students will develop and be committed to responsible business thinking and approaches, which are underpinned by ethical professional practice and sustainability considerations.

PLO 6: Global and cultural competence

Students will be aware of business systems in the wider world and actively committed to recognise and respect the cultural norms, beliefs and values of others, and will apply this knowledge to interact, communicate and work effectively in diverse environments.

PLO 7: Leadership development

Students will develop the capacity to take initiative, encourage forward thinking and bring about innovation, while effectively influencing others to achieve desired results.

These PLOs relate to undergraduate and postgraduate coursework programs.  Separate PLOs for honours and postgraduate research programs are included under 'Related Documents'.

Business School course outlines provide detailed information for students on how the course learning outcomes, learning activities, and assessment/s contribute to the development of Program Learning Outcomes.

RELATED DOCUMENTS


UNSW Graduate Capabilities

The Business School PLOs are linked to UNSW Graduate Capabilities, a set of generic abilities and skills that all students are expected to achieve by graduation. These capabilities articulate the University's institutional values, as well as future employer expectations.

UNSW Graduate Capabilities

The Business School PLOs also incorporate UNSW graduate capabilities, a set of generic abilities and skills that all students are expected to achieve by graduation. These capabilities articulate the University’s institutional values, as well as future employer expectations.

UNSW Graduate CapabilitiesBusiness School PLOs
Scholars capable of independent and collaborative enquiry, rigorous in their analysis, critique and reflection, and able to innovate by applying their knowledge and skills to the solution of novel as well as routine problems.
  • PLO 1: Business knowledge
  • PLO 2: Problem solving
  • PLO 3: Business communication
  • PLO 4: Teamwork
  • PLO 7: Leadership development

Entrepreneurial leaders capable of initiating and embracing innovation and change, as well as engaging and enabling others to contribute to change
  • PLO 1: Business knowledge
  • PLO 2: Problem solving
  • PLO 3: Business communication
  • PLO 4: Teamwork
  • PLO 6: Global and cultural competence
  • PLO 7: Leadership development

Professionals capable of ethical, self-directed practice and independent lifelong learning
  • PLO 1: Business knowledge
  • PLO 2: Problem solving
  • PLO 3: Business communication
  • PLO 5: Responsible business practice

Global citizens who are culturally adept and capable of respecting diversity and acting in a socially just and responsible way.
  • PLO 1: Business knowledge
  • PLO 2: Problem solving
  • PLO 3: Business communication
  • PLO 4: Teamwork
  • PLO 5: Responsible business practice
  • PLO 6: Global and cultural competence

While our programs are designed to provide coverage of all PLOs and graduate capabilities, they also provide you with a great deal of choice and flexibility.  The Business School strongly advises you to choose a range of courses that assist your development against the seven PLOs and four graduate capabilities, and to keep a record of your achievements as part of your portfolio. You can use a portfolio as evidence in employment applications as well as a reference for work or further study. For support with selecting your courses contact the UNSW Business School Student Centre.



Academic Integrity and Plagiarism

Academic Integrity is honest and responsible scholarship. This form of ethical scholarship is highly valued at UNSW. Terms like Academic Integrity, misconduct, referencing, conventions, plagiarism, academic practices, citations and evidence based learning are all considered basic concepts that successful university students understand. Learning how to communicate original ideas, refer sources, work independently, and report results accurately and honestly are skills that you will be able to carry beyond your studies.

The definition of academic misconduct is broad. It covers practices such as cheating, copying and using another person’s work without appropriate acknowledgement. Incidents of academic misconduct may have serious consequences for students.

Plagiarism

UNSW regards plagiarism as a form of academic misconduct. UNSW has very strict rules regarding plagiarism. Plagiarism at UNSW is using the words or ideas of others and passing them off as your own. All Schools in the Business School have a Student Ethics Officer who will investigate incidents of plagiarism and may result in a student’s name being placed on the Plagiarism and Student Misconduct Registers.

Below are examples of plagiarism including self-plagiarism:

Copying: Using the same or very similar words to the original text or idea without acknowledging the source or using quotation marks. This includes copying materials, ideas or concepts from a book, article, report or other written document, presentation, composition, artwork, design, drawing, circuitry, computer program or software, website, internet, other electronic resource, or another person's assignment, without appropriate acknowledgement of authorship.

Inappropriate Paraphrasing: Changing a few words and phrases while mostly retaining the original structure and/or progression of ideas of the original, and information without acknowledgement. This also applies in presentations where someone paraphrases another’s ideas or words without credit and to piecing together quotes and paraphrases into a new whole, without appropriate referencing.

Collusion: Presenting work as independent work when it has been produced in whole or part in collusion with other people. Collusion includes:

  • Students providing their work to another student before the due date, or for the purpose of them plagiarising at any time
  • Paying another person to perform an academic task and passing it off as your own
  • Stealing or acquiring another person’s academic work and copying it
  • Offering to complete another person’s work or seeking payment for completing academic work

Collusion should not be confused with academic collaboration (i.e., shared contribution towards a group task).

Inappropriate Citation: Citing sources which have not been read, without acknowledging the 'secondary' source from which knowledge of them has been obtained.

Self-Plagiarism: ‘Self-plagiarism’ occurs where an author republishes their own previously written work and presents it as new findings without referencing the earlier work, either in its entirety or partially. Self-plagiarism is also referred to as 'recycling', 'duplication', or 'multiple submissions of research findings' without disclosure. In the student context, self-plagiarism includes re-using parts of, or all of, a body of work that has already been submitted for assessment without proper citation.

To see if you understand plagiarism, do this short quiz:https://student.unsw.edu.au/plagiarism-quiz

Cheating

The University also regards cheating as a form of academic misconduct. Cheating is knowingly submitting the work of others as their own and includes contract cheating (work produced by an external agent or third party that is submitted under the pretences of being a student’s original piece of work). Cheating is not acceptable at UNSW.

If you need to revise or clarify any terms associated with academic integrity you should explore the 'Working with Academic Integrity' self-paced lessons available at: https://student.unsw.edu.au/aim.

For UNSW policies, penalties, and information to help you avoid plagiarism see: https://student.unsw.edu.au/plagiarism as well as the guidelines in the online ELISE tutorials for all new UNSW students: http://subjectguides.library.unsw.edu.au/elise. For information on student conduct see:https://student.unsw.edu.au/conduct.

For information on how to acknowledge your sources and reference correctly, see: https://student.unsw.edu.au/referencing. If you are unsure what referencing style to use in this course, you should ask the lecturer in charge.

Student Responsibilities and Conduct

Students are expected to be familiar with and adhere to university policies in relation to class attendance and general conduct and behaviour, including maintaining a safe, respectful environment; and to understand their obligations in relation to workload, assessment and keeping informed.

Information and policies on these topics can be found on the'Managing your Program' website.

Workload

It is expected that you will spend at least nine to ten hours per week studying for a course except for Summer Term courses which have a minimum weekly workload of eighteen to twenty hours. This time should be made up of reading, research, working on exercises and problems, online activities and attending classes. In periods where you need to complete assignments or prepare for examinations, the workload may be greater. Over-commitment has been a cause of failure for many students. You should take the required workload into account when planning how to balance study with employment and other activities.

We strongly encourage you to connect with your Moodle course websites in the first week of semester. Local and international research indicates that students who engage early and often with their course website are more likely to pass their course.

View more information on expected workload

Attendance

Your regular and punctual attendance at lectures and seminars or in online learning activities is expected in this course. The Business School reserves the right to refuse final assessment to those students who attend less than 80% of scheduled classes where attendance and participation is required as part of the learning process (e.g., tutorials, flipped classroom sessions, seminars, labs, etc.).

View more information on attendance

General Conduct and Behaviour

You are expected to conduct yourself with consideration and respect for the needs of your fellow students and teaching staff. Conduct which unduly disrupts or interferes with a class, such as ringing or talking on mobile phones, is not acceptable and students may be asked to leave the class.

View more information on student conduct

Health and Safety

UNSW Policy requires each person to work safely and responsibly, in order to avoid personal injury and to protect the safety of others.

View more information on Health and Safety

Keeping Informed

You should take note of all announcements made in lectures, tutorials or on the course web site. From time to time, the University will send important announcements to your university e-mail address without providing you with a paper copy. You will be deemed to have received this information. It is also your responsibility to keep the University informed of all changes to your contact details.


Special Consideration

You must submit all assignments and attend all examinations scheduled for your course. You can apply for special consideration when illness or other circumstances beyond your control, interfere with your performance in a specific assessment task or tasks. Special Consideration is primarily intended to provide you with an extra opportunity to demonstrate the level of performance of which you are capable.

General information on special consideration for undergraduate and postgraduate courses can be found in the Assessment Implementation Procedure and the Current Students page.

Please note the following:

  1. Applications will not be accepted by teaching staff. The lecturer-in-charge will be automatically notified when you lodge an online application for special consideration
  2. Decisions and recommendations are only made by lecturers-in-charge (or by the Faculty Panel in the case of final exam special considerations), not by tutors
  3. Applying for special consideration does not automatically mean that you will be granted a supplementary exam or other concession
  4. Special consideration requests do not allow lecturers-in-charge to award students additional marks

Business School Protocol on requests for Special Consideration

The lecturer-in-charge will need to be satisfied on each of the following before supporting a request for special consideration:

  1. Does the medical certificate contain all relevant information? For a medical certificate to be accepted, the degree of illness and its impact on the student must be stated by the medical practitioner (severe, moderate, mild). A certificate without this will not be valid. Students should also note that only medical certificates issued after physically visiting a registered medical practitioner will be accepted. Medical certificates submitted for Special Consideration should always be requested from a registered medical practitioner that you have seen at a medical practice. Certificates obtained online or via social media may be fraudulent and if relied upon could result in a breach of the UNSW Student Code.
  2. Has the student performed satisfactorily in the other assessment items? To understand what Satisfactory Performance means in this course, please refer to the 'Formal Requirements' section in Part A of your Course Outline

Special Consideration and the Final Exam in undergraduate and postgraduate courses

Applications for special consideration in relation to the final exam are considered by a Business School Faculty panel to which lecturers-in-charge provide their recommendations for each request. If the Faculty panel grants a special consideration request, this will entitle the student to sit a supplementary examination. No other form of consideration will be granted. The following procedures will apply:

  1. Supplementary exams will be scheduled centrally and will be held approximately two weeks after the formal examination period. Supplementary exams for Semester 1, 2018 will be held during the period 14 - 21 July, 2018. Supplementary exams for Semester 2, 2018 will be held during the period 8 - 15 December, 2018. Students wishing to sit a supplementary exam will need to be available during this period.
    If a student lodges a special consideration application for the final exam, they are stating they will be available on this date. Supplementary exams will not be held at any other time.

  2. Where a student is granted a supplementary examination as a result of a request for special consideration, the student’s original exam (if completed) will be ignored and only the mark achieved in the supplementary examination will count towards the final grade. Absence from a supplementary exam without prior notification does not entitle the student to have the original exam paper marked, and may result in a zero mark for the final exam.

The Supplementary Exam Protocol for Business School students is available at: http://www.business.unsw.edu.au/suppexamprotocol

For special consideration for assessments other than the final exam refer to the ‘Assessment Section’ in your course outline.


Protocol for Viewing Final Exam Scripts

The UNSW Business School has set a protocol under which students may view their final exam script. Please check the protocol here.

Given individual schools within the Faculty may set up a local process for viewing final exam scripts, it is important that you check with your School whether they have any additional information on this process. Please note that this information might also be included in your course outline.

Student Support and Resources

The University and the Business School provide a wide range of support services and resources for students, including:

Business School Education Quality and support Unit (EQS)
The EQS offers academic writing, study skills and maths support specifically for Business students. Services include workshops, online resources, and individual consultations.
Level 1, Room 1033, Quadrangle Building.
bschoolconsults@unsw.edu.au
02 9385 7577 or 02 9385 4508

Business School Student Centre
The Business School Student Centre provides advice and direction on all aspects of admission, enrolment and graduation.
Level 1, Room 1028 in the Quadrangle Building
02 9385 3189

UNSW Learning Centre
The UNSW Learning Centre provides academic skills support services, including workshops and resources, for all UNSW students. See their website for details.
Lower Ground Floor, North Wing Chancellery Building.
learningcentre@unsw.edu.au
02 9385 2060

Educational Support Service
Educational Support Advisors work with all students to promote the development of skills needed to succeed at university, whilst also providing personal support throughout the process. Check their website to request an appointment or to register in the Academic Success Program.
John Goodsell Building, Ground Floor.
advisors@unsw.edu.au
02 9385 4734

Library services and facilities for students
The UNSW Library offers a range of collections, services and facilities both on-campus and online.
Main Library, F21.
02 9385 2650

Moodle eLearning Support
Moodle is the University’s learning management system. You should ensure that you log into Moodle regularly.
externalteltsupport@unsw.edu.au
02 9385 3331

UNSW IT
UNSW IT provides support and services for students such as password access, email services, wireless services and technical support.
UNSW Library Annexe (Ground floor).
itservicecentre@unsw.edu.au
02 9385 1333

Disability Support Services
UNSW Disability Support Services provides assistance to students who are trying to manage the demands of university as well as a health condition, learning disability or who have personal circumstances that are having an impact on their studies. Disability Advisers can arrange to put in place services and educational adjustments to make things more manageable so that students are able to complete their course requirements. To receive educational adjustments for disability support, students must first register with Disability Services.
Ground Floor, John Goodsell Building.
disabilities@unsw.edu.au
02 9385 4734

UNSW Counselling and Psychological Services
Provides support and services if you need help with your personal life, getting your academic life back on track or just want to know how to stay safe, including free, confidential counselling.
Level 2, East Wing, Quadrangle Building.
counselling@unsw.edu.au
02 9385 5418

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ACTL5109