Liberty Syndicates are seeking an academic partner and a PhD student for an Industrial Mathematics Internship.
Description of proposed work plan
Solvency II is being implemented at the end of October in 2012. Solvency II is a risk based framework for all insurers based in the EU which will harmonise standards across the EU. Firms will develop a Calculation Kernel (stochastic model / DFA) within an Internal Model structure.
In the UK firms have been developing stochastic models since 2005 under the Individual Capital Assessment (ICA) regime. Although there are some similarities between Solvency II and ICA there are some key differences which will require large scale developments to the DFA model. Undertakings will need to develop how these models are embedded within the decision making process and there are eight standards which need to be demonstrated to the regulator to be able to use an Internal Model. The Regulator will be conducting a ‘dry run’ or ‘pre approval process’ for Solvency II during 2010.
The intern will be involved within the implementation of Solvency II Internal Model Standards to meet the Lloyd’s (Regulator) Dry Run deadlines for 2010.
The main areas of focus will be around :
Use Test & process documentation
• Developing and enhancing optimisation tools
• Developing and enhancing capital allocation techniques
• Enhancing current ‘Use Test’ processes
Statistical Quality
• Developing Data Policy including process for analysing ‘Data Quality’
• Assisting with the dependency investigations
• Documentation of parameterisation exercise and analysis of methodologies within the Calculation Kernel
Which parts of the company will the Intern become familiar with?
The Intern will work within the Strategy and Capital Management Team and will work alongside the Actuarial Function.
Duration of the project:
6 months
Company location
London
For more details and to apply for this internship, please email Vera Hazelwood at the Industrial Mathematics KTN.
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