Develops and maintains asset models for US Individual Health (particularly LTCI), including economic scenario generation for stochastic valuations. Specify and develop models for reporting market risk and determining optimal investment portfolios with reference to the liabilities.
- Maintain and improve assets models to produce asset scenarios for integrated asset and liability projections.
- Using Economic Scenario Generator and Stochastic modeling, recommend optimal investment portfolios.
- Review Investment Department Activity for LTC
- Report findings to Business Unit, Valuation actuaries, and Investment Department
- Coordinate the calculation and reporting of market risk measures
- Provide support on reviews of actuarial software and modeling processes
- Maintains regular and predictable attendance.
- Performs other duties as required.
Job Requirements :
- Bachelor’s degree in Math, Finance, Actuarial Sciences, Statistics or related field
- FSA accreditation with 6+ years of actuarial experience in life insurance/reinsurance OR
- ASA accreditation with 10+ years of actuarial experience in life insurance/reinsurance
- Asset Liability modeling experience
- Advanced PC and technical skills, including database applications, spreadsheets, and actuarial software (Understand stochastic modeling, though programming of it is not required.)
- Detailed knowledge of assets commonly used by insurance companies
- Ability to multi-task and meet tight deadlines
- Ability to balance detail with departmental goals/objectives.
- Advanced oral and written communication skills, demonstrating the ability to convey business terminology that is meaningful and well received by all stakeholders, including customers and associates.
- Advanced interpersonal skills, demonstrating the ability to work effectively with different disciplines, including pricing, investments, accounting, systems, and administration.
- Highly advanced ability to model various insurance products and reinsurance structures.
- Highly advanced project management skills. Demonstrates an ability to evaluate project objectives and scope for feasibility and understanding.
- Highly advanced analytical and problem solving skills.
- Ability to work independently and to work well within a team environment and participate in department projects.
- MAAA accreditation
- CFA, CERA, or other such financial risk management designation
- Stochastic modeling experience
- Experience in embedded value reporting and/or economic capital determination
- Experience in LTCI
- Expert in MoSes, TAS, and/or Prophet (or equivalent actuarial software).
- Expert knowledge of US GAAP SFAS 60
- Expert knowledge of US Statutory reserving requirements
- Reinsurance industry and product knowledge.
Reinsurance Group of America - 2 years ago