PAST PROJECTS
Unit Matching
I was one of the actuaries working on a 'unit matching' project relating to a large unit linked pension book. Rather than holding a number of units equal to the policyholder's unit holding, the life insurer will instead hold a number of units equivalent to a lower amount based on the best estimate liability for unit-linked benefits. This action decreases the market SCR and increases liquidity for the shareholder fund. Work included writing up methodology documents and requirement documents, building prototype models, assisting the SAS and SQL developers when building the various unit matching tools, unit testing the tools and writing up the test reports.
Internal Model Approval Process
I was involved in a project to migrate a suite of heritage with profit sub-funds from a standard formula valuation basis to an internal model valuation basis. My main responsibilities involved producing the final solvency II balance sheets, writing up methodology documents and writing up the final IMAP submission report.
Data Warehouse
As part of a Solvency II driven initiative I was involved in a wide ranging project for a large life insurer where the systems and processes used in determining the Solvency I ICA metrics were being revamped with the onset of Solvency II. I was heavily involved in migrating the reinsurance solution used to determine the reinsurance asset and net BEL (affected by both internal and external reinsurance treaties) from the existing Excel suite of tools onto the new data warehouse. I was also involved in specifying and testing SII/ICA reporting enhancements to the data warehouse.
Longevity Hedge
I headed up a small project team working on a Longevity Hedge deal with the main objectives of resetting the reinsurance premium schedule and reworking the monthly claims process ('floating leg') to ensuring consistency between the premium schedule and the monthly reinsurance claims. The work involved cleaning and reformatting the data set, building a suite of tools including an MS Access database and an Excel based model which recalculated both the premium and claim cashflows.
Excel Models
Having worked in the life insurance sector for over 15 years now, I have experience in building Excel models using the Excel front end as well as using VBA. A few examples of models/tools built include a department wide assumptions tool (producing solvency II and IFRS assumptions), a longevity hedge valuation model (for valuing both the fixed and floating legs) and a monthly solvency monitoring tool.
Model Migration
I was involved in an actuarial model migration project where the valuation of a book of unit linked business was transferred from the existing heritage valuation model to a modern valuation model. This required an understanding of the main product features for each of the main product groups, building independent spreadsheet models to check the cashflows, comparing the old and new model output, making model code changes and finally preparing the test reports upon completion.
