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AVP, Validation Lead in Philadelphia, PA at Chubb Group of Insurance Companies

Date Posted: 9/16/2018

Job Snapshot

Job Description

An opportunity is available to work in a small & geographically diverse core model validation unit at Chubb Ltd., working on capital model validation for Chubb Group and its subsidiaries. Candidates may be actuaries or others with relevant qualifications and experience of capital modeling or related disciplines, and are invited to submit a resume and a brief outline of career plan, aspirations, and reasons for interest in model validation.

The position can be located in various Chubb offices in North America, and involves working with a highly motivated, recently qualified FCAS actuary also on the validation lead track, and a PhD engineer Head of Validation with 20 years' experience in capital modeling.

Summary

Validation at Chubb seeks to understand the fundamental moving parts in the capital model and the variables that drive risk-based capital requirements, and to examine the model from the perspective of whether the it adequately captures the risk profile for specific uses. We direct the resources of model validation to those areas where they can add value, to identify model limitations affecting real uses, and develop insight & transparency into the model that can help others to make effective use of its output.

With models held in a 'continuous validated state' after an initial ramp-up period, the role of the validation leads is to:

  • Design and run occasional 'deep dive' validation of individual risk segments;
  • Apply the validation framework to new validation targets as demand dictates; usually subsidiaries;
  • Renew and update validation within the annual cycle and the multi-year continuous validated state in response to changes in risk profile, changes in the models, or time;
  • Identify and respond to opportunities to add value to the business using the insight and mindset developed for validation.

Validation works in a consultant style, with self-contained projects that have clear deliverables and due dates, and involve 50% insight & invention, and 50% presentation. Presentation involves transparent communication, with the approach, results & findings presented in slide decks and reports that must be engaging, well-written, and illustrated with professional quality exhibits. The validation lead operates at all levels in a project from data analysis to stakeholder communications.

Validation leads & validation actuaries are supported by analysts located remotely (offshore), and are responsible for designing validation and finding suitable data sets; ensuring appropriate pre-processing for actuarially sound comparisons, designing exhibits & supervising their production, and interpreting test results. Validation leads & actuaries will use their judgment to link evidence from the tests, to affirmation statements describing the fitness of the model for its purpose, grouped into a number of different validation themes.

Validation leads are responsible for establishing and agreeing validation requirements with the stake holders concerned (usually the model trustee), and also for communicating and encouraging (but not owning) the remediation of any findings. In these responsibilities, Leads will be assisted by the Head of Model Validation.

Objectives & responsibilities:


•         Mentorship & development of the validation mind-set;


•         Stake-holder communications

    • Rating agency & regulator communications, working with Head of Validation
    • Stake-holder communications including subsidiary Boards, executive management and internal model steering committees
    • Setting & documenting requirements, expectations & possible outcomes with stake holders of individual projects;


•         Specific validation design

    • Affirmation statements and tests 
    • Adaption to different validation targets: Group and various subsidiaries under different systems of regulation.
    • Specific regulatory testing context such as Solvency II or Swiss Solvency Test
    • Peer review & challenge of validation designs; actuarial peer review of other team members' work.


•         Individual validation projects

    • Leadership of individual projects
    • Specification & sign-off of scope & requirements
    • Presentation of findings & management of remediation
    • Project management;


•         Planning, communications, tracking & on-time delivery;


•         Design & implement test plans;


•         Design & implement appropriate governance;


•         Ensure integration & smooth hand-off within model run & validation activities

    • Mapping test results to affirmation statements
    • Authorship of validation findings
    • Respond to stake-holder feedback on validation findings and validation reports
    • Production of individual project validation reports;


•         Leadership / ownership of specific MVF infrastructure projects

    • Ownership & management of individual projects;


Qualifications:

  • Degree in Math, actuarial science, finance, engineering or similar discipline
  • Qualified or part qualified actuary, CFA, or similar professional qualification
  • Lateral and out-of-box thinker
  • Project-based organizer, with consultant mentality & a desire to be visible & add value
  • Clear communicator


Experience:

  • Experience in insurance risk capital modeling, pricing, reserving, estimation of insurance volatility for modeling
  • OR: Experience modeling, pricing, or otherwise working with market risk or credit risk / Experience challenging the status quo and accepted methods & approaches in any setting such as academic, scientific, industrial, process engineering.
  • Demonstrated ability to communicate in plain English with executive management, explaining technical & actuarial issues to make them interesting & understandable.
  • Ability to take notes on the fly in meetings using online tools during conference calls.


Contributing experience:

  • Experience working in a geographically diverse team, which requires the ability to work in a self-motivated way, and skills of intense communication (especially clear articulation, listening and comprehension) in phone calls.
  • Experience as a manager of a small team, especially experience with out-sourced (offshore) actuaries.