Contract Life Actuary

Our Client, a life insurance company, has a large book with over 200,000 customers across Europe as well as underwriting guarantee business in Asia.

Our client’s strategy is to be a vehicle for cross border consolidation of other life insurance portfolios and entities. The business is thus expected to go through a substantial growth phase over the next few years. The company is investing in cutting-edge modelling and IT infrastructure with the intention of building in house expertise in Actuarial Modelling.

The Senior Internal Model Developer will lead a number of workstreams central to the development of an internal model.  Particular focus will be on the market risk module, as well and the aggregation of risks across market, life, credit and operational risks.  The successful candidate will have the opportunity to work with senior actuaries in the life insurance industry and gain substantial knowledge of the Solvency II regulatory framework.  This knowledge will be critical to ensuring that the proposed model design is compliant with Solvency II regulations and in line with industry best practice.

The Internal Model project will have a sizable dedicated team working to ensure the project is successfully delivered, and a detailed governance framework has been established.  The successful candidate will need to utilise all available resources to ensure required studies are completed on time, documented, and concise proposals are brought to the project steering Committee. Organisational skills will be key to ensuring the project progresses and that key milestones along the way are met.  A collaborative approach across various workstreams will be required to ensure successful delivery at all stages of the project.

The Internal Model project will involve detailed technical studies of each sub-risk module, documentation of the approach taken, development of a validation framework to ensure the suitability of the new model, and compliance with various governance related aspects of the Solvency II framework.

The results of the technical studies are likely to dictate the development approach. For example, the design phase of the aggregation module will require studies on correlations between various risk factors, and an assessment of a two-step aggregation approach versus an all risk approach.  The proposed aggregation approach is likely to influence the modelling technique for each risk.

The internal model will require a suitable real-world ESG.  To build a suitable ESG, the successful candidate will be required to assess the taxonomy of risks faced by our Client, choose a suitable statistical distribution and calibration methodology, and develop a core ESG model. The output from the new model will need to be thoroughly tested and reconciled to the existing model, benchmarked against the industry and back-tested against historical events.  Any limitations of the model or data will need to be clearly documented, as will any expert judgements. 

In additional to developing the technical aspects of the internal model, the Senior Internal Model Developer will be required to develop the necessary governance frameworks that surround the internal model, including an internal control framework, model validation policy, model change policy and use-test policy.  An understanding on the Pillar 2 and Pillar 3 reporting requirements will also be important to ensure the IT infrastructure team are clear on the model output requirements.

The successful candidate will be required to:

• Take ownership of the analysis aggregation / market risk module, utilizing junior team members to ensure technical aspects of the model are developed.
• Performed detailed historical data analysis on risks/correlations.
• Source a suitable ESG.
• Test and validate the initial internal model build, ensuring its compliance with regulations.
• Develop an internal control framework, model validation policy, model change policy and use-test policy.
• Document data, model choice, methodology and testing. Note all limitations. Complete expert judgement log.
• Produce a suite of documentation for an internal model application pack.
• Engage with third parties for a review on the internal model validation, addressing any feedback.
• Liaise closely with other workstream leaders to ensure the overall model suitability.
• Provide regular progress reports to Internal Model Steering Committee and Solvency II Committee.

 Skills and Experience

• Excellent technical, interpersonal and communication skills, with an ability to convey complex information concisely and clearly.
• Highly analytical and logical in approach.
• Hardworking, dedicated and focused with the ability to deliver results ensuring timely high-quality deliverables.
• Ability to work well within a team environment contributing to the team’s high standard of performance, shares ideas and knowledge with the team and others within the business.
• An ability to handle multiple tasks effectively and to demonstrate a flexible attitude to work requirements / job specification depending on team needs and priorities.

Experience:

• Degree graduate with strong numerical skills, with a degree in Actuarial Science or Financial Mathematics advantageous.
• Experience of stochastic modelling and sophisticated cash flow modelling systems, e.g. Prophet, Moses or similar.
• Experience of derivative instruments (especially swaps and futures) would be beneficial
• Experience of Solvency II developments and/or economic capital models.
• Strong IT skills would be beneficial.
• Knowledge of saving products and insurance related risks.
• Knowledge of Variable Annuities would be beneficial.