At Citibank Life (1987-90) I supported the valuation actuary. This gave me a good grounding in financial reporting. I would bring together and report up each month the statutory reserves, US GAAP reserves and US GAAP deferred expense & commission assets. I wrote a complete suite of programs to replace the existing user-unfriendly programs that were used to calculate reserves for business that was on British National Life’s books before its acquisition by Citibank. I developed the procedures to calculate outstanding claims reserves and IBNR reserves for the group’s general insurance company (Citibank General, CG). Each year, I would produce all of the actuarial forms for the life company’s DTI returns (including Schedule 5) and all the detailed premium and claim breakdown forms for CG’s DTI return.
At Black Horse Life (1990-98) I managed the team that calculated statutory reserves each quarter and produced the actuarial forms for the annual returns. The team also estimated the embedded value profit each month (a separate team calculated and reported an accurate number each quarter). I identified the need for and then developed some extra reporting which compared our estimated embedded value profit to budgeted embedded value profit, breaking down the differences into the impacts of sales volumes and product mix for each of the firm’s routes to market (the bank, direct sales force, etc) varying from the assumptions within the budget. I also managed a separate team that reported new business figures every week/month.
At PwC (2000-06) I would provide actuarial support to the auditors of life insurers’ reports & accounts and later the annual returns. Most of this support consisted of reviewing the methodologies and assumptions behind firms’ calculations and reviewing the figures for reasonableness. Market consistent valuation was developed within the industry during my time at PwC (for IFRS reporting and for Peak 2 realistic balance sheets) and I became the life practice’s subject matter expert in this area, training the whole life practice and developing an approach to auditing market consistent economic scenario generators. The ICA regime also came into being and I was one of a team of actuaries that helped a new company develop a complete set of ICA assumptions. I developed a Excel-based corporate model for a new bulk annuity firm in which I needed to model Pillar 1 and Pillar 2 solvency calculations so that the model could output distributable profits.
At Axa (2006-08) I built another Excel-based corporate model for an annuity company. In terms of financial reporting, the key outputs from the model were:
• Projections to include within the application to the FSA for the authorisation of the new company, and
• The impact to Axa (on both IFRS and statutory bases) of transferring/reinsuring an existing block of annuities into the new company.
At the FSA, PRA and FCA (2010-15) an understanding of all the different solvency requirements was essential in reviewing annual returns, with profits runoff plans, Part VII transfers and the transfers of annuities out of with profits funds. At the PRA and FSA I reviewed the assumptions and methodologies behind a number of ICA calculations and led the market risk specialism team that developed approaches to reviewing market risk models as part of the Solvency II internal model approval process.
The same understanding of solvency requirements was also essential in my work as a contractor supporting an Independent Expert on two Brexit-related Part VII transfers.
As a contractor, I ran through a dry run process for developing loss functions for a major insurer – part of what will be a regular financial risk reporting process – identifying where existing Excel and R tools and the instructions for using them needed to be improved if the process were to work successfully in a production environment.