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.

We are a leader in a vibrant, growing sector of the insurance market, having grown rapidly to a significant size whilst maintaining our nimbleness and dynamism. We are currently recruiting for a Capital Actuary to join our Finance Actuarial and Capital Team, which is a new evolution to support our continued growth and success, intended to enhance our capital framework and become a Centre of Excellence and optimisation.

Reporting to our Head of Market Capital, the key focus of the role is to contribute to the development, maintenance and use of various risk modules of the Internal Model at PIC as part of the Finance Actuarial and Capital Team mainly from a quantitative perspective. The role will also focus on development, maintenance and use of the credit risk proxy model which sits outside of 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.

Working closely with the Risk department, the purpose of the Finance Actuarial and Capital Team is to 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.

Specific accountabilities assigned to the role of Capital Actuary:

Capital Framework

• 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.
• Own and contribute to the maintenance and further development of the proxy model for the most material of our models, the credit model, by ensuring it remains appropriate for business use.
• Work with other team members and users of the internal model to ensure the model continues to run properly and results are explained to the satisfaction of the users.

Internal Model Risk models

• Help ensure that the approach, design, methodology, models, operation and results remain robust and appropriate for use in the PIC business and are consistent with the PRA approval of the PIC Internal Model framework and its policies.
• Take a leading role on the quantitative aspects of the market risk calibrations and approaches and ensure they remain appropriate and are suitable for use given developments in the business.
• Contribute to the design and implementation of model developments that are needed to enhance the Internal Model.

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.

Requirements

Experience:

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

Knowledge:

• Good knowledge of quantitative techniques used for modelling financial risks
• Technical knowledge of UK life insurance environment, particularly for Solvency II
• Knowledge of credit risk modelling is 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
• Knowledge of coding using one or more of the following statistical packages: R, Python or MATLAB

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 to change and a willingness to embrace new ideas and techniques to improve performance

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.