Financial Economics for Insurance and Superannuation - ACTL3004

The aim of this course is to introduce the mathematical and economic models of financial economics and highlight their application to asset-liability management for insurance, superannuation and funds management. Topics covered include; risk and utility; risk measures; mean variance models; factor models; asset liability models using portfolio selection models; equilibrium and arbitrage-free valuation; valuation of derivatives; term structure models; actuarial stochastic investment models and their application. 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.