Capital Actuary

Pension Insurance Corporation (“PIC”) provides secure retirement incomes through comprehensive risk management and excellence in asset and liability management, as well as exceptional customer service. Our purpose is to pay the pensions of our current and future policyholders. We achieve our purpose by setting Companywide strategic objectives and driving a healthy culture based on our PIC Values of Resilient, Adaptable, and Loyal.

PIC is recruiting for a Capital Actuary to join its Finance Actuarial and Capital team, which forms part of the Finance department within the “first line”, albeit working closely with the Risk Team. The team's purpose isto oversee, maintain and develop the regulatory capital framework and asset valuation methodology and models, and ensure that these remain optimised and appropriate to the PIC business and risk profile. The team is also expected to provide required management information and analysis is to the business in an accurate and timely manner. In addition, it is the team’s responsibility to oversee, maintain and develop best estimate, MCEV and IFRS assumptions for use by PIC in financial reporting.

Different members of the Finance Actuarial and Capital Team are directly responsible for other areas of the capital model and assumption categories, however, in practice it is expected that team-members will be cross-trained and collaborative rather than working in silos.

Reporting to, and working closely with, the Head of Market Capital, your responsibilities as Capital Actuary will include:

Internal Model Risk Models

• Support activities to enhance and optimise to the PIC regulatory capital strategy, framework and assumptions, with particular focus and specialisation on the market risk aspects, ensuring that such recommendations are thoroughly analysed and presented
• Take ownership of specific risk modules in the Internal Model and ensure that the approach, design, methodology, operation and results remain robust and appropriate for use in the PIC business and are consistent with the PRA approval of the Internal Model framework and its policies
• Lead on technical development of the Internal Model applying the appropriate quantitative techniques to ensure it is appropriate and suitable for use
• Lead on the technical development the proxy model which sits outside the Internal Model to ensure it remains appropriate and suitable for use

Analysis and Reporting

• Ensure the delivery of management information on the design, assumptions and performance of the model and its components
• Manage the delivery of ad-hoc quantitative analyses and investigations
• Support other users of the Internal Model understand the results and overcome any issues in running the models
• Support other members of the team as and when required to ensure overall team objectives are met. This could be in areas outside the Internal Model
• Different members of the Finance Actuarial and Capital Team are directly responsible for other areas of the capital model and assumption categories, however, in practice it is expected that team-members will be cross-trained and collaborative rather than working in silos

Requirements

Experience:

• Experience of working within a life office or consultancy
• Experience in developing capital models and processes
• Experience working on proxy models is desirable
• Fellow of the Institute and Faculty of Actuaries or other relevant qualification such as Financial Risk Management (FRM) is desirable

Knowledge:

• Strong knowledge of quantitative techniques used for modelling financial risks
• Technical knowledge of UK life insurance environment, particularly for Solvency UK.
• Knowledge of credit risk and/or ERM modelling is highly desirable

Skills:

• Strong quantitative skills in financial modelling more specific in areas like proxy modelling, distribution fitting
• Good planning and stakeholder management skills with a proven ability to communicate and work effectively with senior roles
• Strong coding skills in one or more of the following statistical packages: Python (preferred), R or MATLAB.
• Strong communication and report writing skills, in particular the ability to explain technical aspects to a non-technical audience.

Desirable personal attributes aligned to what success looks like in the role:

• Intellectually curious with a willingness to learn through own research
• Strong problem-solving skills utilising consultative questioning to challenge current norms and drive change within the business function
• Effective communicator – structures insights into clear messages and effectively engages others within business function, as well as internal stakeholders, professional and regulatory bodies
• Innovative thinker – positive attitude

Benefits

In addition to a competitive base salary and the opportunity to participate in our annual, performance-related bonus plan, upon joining us here at Pension Insurance Corporation, you will get access to some great benefits, including private medical insurance, 28 days' annual leave (excluding bank holidays), a generous pension scheme and much more.