Economic Capital Actuary

  • 34542
  • Life - Actuarial
  • |
  • Hong Kong
  • |
  • Jan 18, 2019
Insurance
RESPONSIBILITIES
  • Review Key Economic Capital methodology decisions. this includes:
  • Calibration of the underlying risk distributions across all LBUs.
  • Modelling of LBU management actions, in particular with regards to dynamic bonuses on Par business.
  • Methodology for the application of Economic Capital stresses within the Prophet liability models.
  • Methodology to stress different asset classes in the Economic Capital calculation.
  • Ensure that key methodology decisions are:
  • discussed with the relevant stakeholders to source all necessary information as background to the changes.
  • accurately documented with sufficient backing analysis to justify the decision.
  • impacts are clearly presented to the relevant stakeholders.
  • Present the decisions to senior management or Group governance committee.
  • Responsible for maintaining and improving the Economic Capital framework considering internal Group wide and external regulatory requirements. This may include managing large scale enhancements to the EC processes where advances in systems or methodology become available.
  • Ensure that the EC framework is always in line with all applicable requirements.
  • Pro-actively investigate areas to enhance the framework and methodologies for known limitations.
  • Deliver a smooth rollout of new developments to agreed milestones.
  • Oversee the calibration and validation of advanced ‘proxy models’ for EC modelling and providing guidance and decision making on key areas.
  • Deliver a successful validation of the proxy models as often as required to ensure that the models are fit for purposes for ongoing capital calculations.
  • Responsible for the team’s delivery of key production cycle deliverables including P&L attributions and stress test analyses
  • Ensure that key reporting deliverables are made on time and with sufficient review.
  • Ensure consistency is achieved between LBUs in each of the above deliverables, both in the methodology decisions taken, and in the modelling analysis and results, where applicable.
  • Able to demonstrate how consistency has been achieved between LBUs in all main areas of methodology and risk factor calibrations.
  • Providing leadership and guidance to the wider team of up to 10 junior members within the EC Production team.
  • Ensure team members are managed responsibly.
  • Provide sufficient learning and development opportunities for junior team members.
QUALIFICATIONS
  • 10+ years of relevant experience.
  • Strong technical knowledge across actuarial modelling, valuation, and capital reporting.
  • Prior knowledge of EC is essential to the role.
  • Prior knowledge of a range of insurance products and common reporting metrics, would be beneficial to the role due to the overlap of EC models and methodology with other areas.
  • Prior experience of Par products and management practices would be very beneficial.
  • Comfortable presenting technical topics to senior management and explaining the implications.
  • Ability to independently manage a large team across a range of diverse tasks.
  • A team player with a keen desire to develop junior team members.
  • Fluent in both spoken and written English is essential.
  • Ability to speak one or more Asian languages would be desirable.
  • Proficiency in Excel is expected, while knowledge of VBA and/or Prophet would be an asset.