Annuities

While with PwC (2001-06) I built an Excel-based corporate model for a new bulk annuity company.  This included the projection of Pillar 1 and Pillar 2 solvency: the main purpose of the model was to project distributable profits to help secure equity capital.

While with Axa (2006-2008) I built another Excel-based corporate model for an annuity company.  This was to be a new insurance company within the group into which annuities could be transferred (or reinsured) from the life company’s with profits funds.  There were two main strands to the work:
• The production of projections to include within the application to the FSA for authorisation of the new company, and
• The calculation of the impact to Axa of transferring/reinsuring the annuities into the new company on a variety of different financial metrics.
Within this project, I also had my first exposure to the modelling of mortality improvements at older ages.

While with the FSA/PRA (2010-14) I provided actuarial support to the supervisor of a bulk annuity firm.  This included ICA reviews, the review of the annual returns and general discussions about the firm’s operation and strategy.

While with the FCA (2014-2015) I provided actuarial support to the supervisors (and challenge to the firms) over two exercises to transfer annuities out of with profits funds.  This included reviewing how the firms had chosen the prices that their shareholders were to pay the with profits funds for the embedded value within the annuity books.

More recently (late 2015) I worked as a contractor at Pension Insurance Corporation, a bulk annuity provider.  I reviewed business plan assumptions, reviewed asset mark-to-model methodologies & assumptions, made changes to the counterparty risk module of the internal model and investigated the impact of reinsurer defaults on the firm’s solvency.