Specialist Actuarial Capital Modelling

Recruiter:

Moving Heads Personnel CC

Job Ref:

Spec Act Mod

Date posted:

Tuesday, February 2, 2021

Location:

Johannesburg, South Africa

Salary:

neg

SUMMARY:
Specialist Actuarial Capital Modelling

POSITION INFO:

Specialist Actuarial Capital Modelling

Rosebank

Provide accurate capital allocation, input into the Own Risk and Solvency Assessment (ORSA) and considered use of reinsurance to support the business in managing its portfolio of risks more profitably. This job may entail managing a small team which is required to prepare data for the capital modelling processes as well as performing the appropriate analysis on this data to ensure that it is appropriate and fit for purpose.

Maintain, update and validate the internal capital model, ensuring it is used to make key decisions on reinsurance, investments and/or capital allocation.
Review actuarial frameworks and processes in place.
In collaboration with the Capital Actuary ensure the appropriateness of the methodologies and underlying models used as well as the assumptions made in the calculation of capital requirements.
Contribute to the use of the model for capital allocation, risk appetite monitoring, operational risk modelling, reserving variability analysis, and analysing reinsurance options.
Develop, implement and manage appropriate systems and procedures to ensure accurate data is used and appropriate analyses produced. This is to include adopting efficient and consistent actuarial models and processes and/or technologies where appropriate.
Assist in the development of the capital model: recognise development needs, implement solutions and complete model change documentation as required.
Support the development and maintenance of the capital model, including prioritisation and implementation of proposed model developments, and management of model releases.
Review the data inputs, methodology and calculation of capital model outputs for and provide assurance on the adequacy thereof.
Provide support in ensuring actuarial best practice in the capital model.
Review technical and professional guidelines in order to recommend financial and statistical assumptions.
Support methodology, assumption and dependency structures setting.
Support Head: Actuarial Control by conducting 1st line validations of the capital model.
Produce business segment management reporting based on data prepared for capital model and reserving.
Produce actual vs. expected analyses on a semi-annual basis (Profit and Loss attribution).
Manage the preparation of capital model outputs for submission to senior management, the capital management committee and as required, the audit committee & board.

Minimum Requirements

Bachelor Degree in Actuarial Science.
Qualified / nearly qualified actuary, or at least 5 years’ experience in General Insurance and passed up to at least sections F103
Strong VB.net & Remetrica or similar skills required
2 – 3 years’ experience in capital modelling within the general insurance industry.

Experience in Solvency Assessment & Management (SAM) preferred

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