Actuary (Structuring & ALM Strategic Programmes)

Support the company's balance sheet optimisation efforts and develop and implement new asset structuring solutions as part of the company's investment strategy

Responsibilities

Support in the production of business cases for potential new asset structuring solutions to support the Company’s annuity investment strategy, covering high level MA and PIM treatment, economic and balance sheet impacts, identifying steps to operationally implement the new asset structuring solutions, and presenting the business case to senior stakeholders; Support efforts to expand the Company’s MA portfolio, including performing the necessary analyses, engaging with stakeholders across departments following the appropriate governance process; Contribute to the solution design, specification and setting of requirements for the Company’s Balance Sheet Optimisation model, including contributing to the production of detailed plans, model development (in Python and Julia), engagement with stakeholders in the Company’s Asset Management and wider ALM teams, governance and documentation

Requirements

Fellow of the Institute and Faculty of Actuaries (or equivalent); Knowledge of Solvency 2 regulations and the Matching Adjustment; An understanding of the workings of an insurance company balance sheet, capital requirements and rating methodologies for structured assets; A good understanding of the workings of an insurance company balance sheet; Experience in coding in Python