Insurance Companies and Pension Funds: Financing and Investment

Course 6A of the Association's actuarial programme — investment and financing of insurance companies and pension funds. The course covers ethics in investment activity, quantitative methods and economics, financial statement analysis and corporate finance, portfolio management, equities, bonds, derivatives and alternative instruments, asset-liability management, investment risk and stress testing, investment policy and governance. It includes a practical workshop on an insurer's investment portfolio and pension fund ALM.

Course programme

1. Ethics and professional standards in investment — fiduciary duty, conflicts of interest, insider information.
2. Quantitative methods for investment — types of return, time-weighted and money-weighted returns, risk and correlation.
3. Micro- and macroeconomics for the investor — business cycle, monetary policy, inflation, interest rate parity.
4. Financial statements and analysis — ratios, DuPont decomposition, specific features of insurer financial statements.
5. Corporate finance — weighted average cost of capital, the CAPM, project appraisal.
6. Portfolio management: risk and return — efficient frontier, Sharpe ratio, beta.
7. Equities — Gordon growth model, multiples, free cash flow.
8. Debt instruments — spot curve, credit spread, expected credit losses, key rate durations.
9. Derivatives — forwards, interest rate swaps, options, put-call parity.
10. Alternative investments — real estate and private equity, smoothed returns, illiquidity premium.
11. Asset-liability management for insurers and pension funds — cash flow matching, surplus risk.
12. Investment risk and stress testing — VaR and TVaR, stress scenarios, reverse stress test, limits.
13. Investment policy and governance — investment policy statement, roles, rebalancing, performance attribution.

Each lesson comes with study notes containing a table of notation, a worked example and self-study problems, plus a lesson test. The course final test has 60 tasks, including the practical workshop, and leads to an ASAB certificate.

Duration: 13 video lessons, 3 h 16 min of video + lesson tests and a final test.