Actuary Senior ALM
Overview
Lead the modeling center of excellence to own and enhance the enterprise ALM model. Drive innovation across ALM asset liability management and related analytics.
What You'll Do11
- 1Own the design development and enhancement of the enterprise ALM model including asset projection reinvestment disinvestment strategy crediting strategy and dynamic policyholder behavior
- 2Model general account investment portfolio using public and private fixed income structured assets alternatives and derivatives and maintain economic scenario sets for deterministic and stochastic analysis
- 3Produce analyze and explain ALM results covering duration convexity key rate exposures cash flow matching earnings and surplus sensitivity under various interest rate and equity scenarios
- 4Partner with AVP Actuary Enterprise ALM Strategy to translate strategic questions into modeling specifications and convert model output into clear answers for senior leadership and ALCO
- 5Support asset adequacy testing ORSA capital and statutory reporting relying on ALM modeling
- 6Collaborate with Investments on reinvestment disinvestment assumptions and strategic asset allocation studies bringing liability perspective to those discussions
- 7Work with Enterprise Risk Management on ALM risk metrics limits and stress scenario testing and with Capital Management on capital and liquidity projections
- 8Model hedging program for indexed products including option budget and index crediting strategies
- 9Establish review and continuously improve best practices for ALM model development production validation and documentation following governance standards and actuarial standards
- 10Perform all other duties as assigned
- 11Deliver robust innovative modeling solutions across ALM asset adequacy testing interest rate risk analysis and other special projects
Requirements15
- 110+ years progressive actuarial experience for Senior Actuary level or 8+ years for Actuary level including at least 5 years in ALM asset modeling or asset intensive actuarial work
- 2Fellow or Associate of the Society of Actuaries FSA or ASA
- 3Bachelor degree in Actuarial Science Mathematics Finance or related quantitative discipline
- 4Hands-on experience building maintenance actuarial projection models on open platform MG-ALFA preferred
- 5Working knowledge of asset modeling fixed income cash flows structured assets prepayment default assumptions reinvestment and disinvestment strategy
- 6Understanding of interest rate risk measurement concepts duration convexity key rate durations cash flow matching immunization
- 7Experience with economic scenario generators stochastic scenario set design a plus
- 8Understanding of modeling frameworks consuming ALM output asset adequacy testing ORSA RBC VM-20 economic capital
- 9Working knowledge of statutory regulations for life and annuity products with preference for indexed products and reinsurance concepts
- 10Exceptional communication and presentation skills translating technical modeling into strategic business insight
- 11Demonstrated ability to build strong cross functional relationships with Investments Risk and Finance partners
- 12Preferred Experience modeling derivatives hedging programs supporting indexed life and annuity products including options swaps and swaptions
- 13Preferred Experience modeling private credit structured assets or other less liquid asset classes
- 14Preferred Experience presenting to ALCO investment committee or similar governance forum
- 15CFA designation or comparable investment credential
Salary Insight
$161 - $236k per year
Location
Required Skills
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