Support to the Capital Modelling Function:

• Model development work to ensure that the internal model remains accurate and compliant with the tests and standards of Solvency II. Development work may require build of smaller test models as proof of concept for changes with a view to embedding within the internal model.
• Involvement in the primary validation of the internal model, including the design and execution of validation testing, production of validation testing schedules, production of draft papers/reports and documentation.
• Production of regulatory returns, including reporting to Lloyd’s, the UK regulator and to the Ascot Group regulator in Bermuda. Examples of such reporting include SCR calculation, PRA return, Standard Formula and BCAR.
• Following the established governance processes of the internal model, including application of model change policy and maintenance of model change log.
• Maintaining control processes over model inputs, model runs and use of outputs.
• Involvement in the annual parameterisation of the internal model across all risk areas.
• Examples of this include working with underwriters to support premium risk parameterisation, and working with reinsurance teams to support reinsurance modelling.

• Data manipulation for use in the wider internal model including the model parameterisation processes, ensuring all data feeds to the internal model are accurate and auditable.
• Operation of the economic scenario generator to support internal model parameterisation.
• Production runs of the model for projects and use cases, as required by the business.
• Contribution to design of outputs from the model to support business decisions such as reinsurance purchasing, ranking of risk and return on capital calculations
• The production and update of technical procedure documents relating the internal model and its processes.
• Preparation of papers and analysis for committee meetings and external meetings with Lloyd’s and PRA.
• Providing support in any audits of the internal model and its processes.
• Support the wider Actuarial function and other teams:

• Involvement in technical actuarial activities including reserving and pricing support as required.
• Collaborate with Ascot Bermuda and Ascot US actuarial teams in Group-wide actuarial objectives.
• Support the Risk Management team in production of quarterly and annual ORSA reporting.
• Support in the regulatory / compliance projects in satisfying Lloyd’s, UK, US and Bermuda regulations
• Support the Exposure Management team in modelling and review of Catastrophe losses net of reinsurance.

Job Type: Full-time

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