Capital Actuary

PiC; Greater London; On-site; GBP 90,000 - 130,000; Full time

Benefits offered by this job

Private medical insurance

28 days' annual leave

Generous pension scheme

Job summary

Pension Insurance Corporation (PIC) is seeking a Capital Actuary to shape and enhance the Internal Model underpinning the company’s regulatory capital framework. You will contribute to credit risk modelling, risk analytics and the capital framework within PIC’s Finance Department.

The role focuses on developing and maintaining capital models, proxy models, and risk insights, with collaboration across teams. Relevant actuarial qualifications and strong programming skills are desirable.

Qualifications

• Experience in life office or consultancy
• Experience developing capital models and processes
• Experience working on proxy models desirable
• Line management desirable
• Fellow of the Institute and Faculty of Actuaries or other relevant qualification such as FRM desirable

Responsibilities

• Own and maintain the Internal Model risk modules, ensuring robustness and regulatory alignment
• Enhance the PIC capital strategy with focus on market risk
• Develop quantitative techniques for model improvement
• Support analysis, reporting and stakeholder communication of model performance
• Mentor team members and collaborate across the Finance Department

Skills

Quantitative modelling

Stakeholder management

Python

R

MATLAB

Communication

Education

Fellow of the Institute and Faculty of Actuaries (or FRM)

Other actuarial qualification

Tools

Python

R

MATLAB

Job description

Pension Insurance Corporation ("PIC") provides secure retirement incomes through comprehensive risk management and excellence in asset and liability management, as well as exceptional customer service. Our purpose is to pay the pensions of our current and future policyholders.

PIC is recruiting for a Capital Actuary to play a key role in shaping and enhancing the Internal Model that underpins the business's regulatory capital framework.

As part of PIC's Finance Department, the Capital team is responsible for maintaining and developing the frameworks, methodologies and models that support PIC's risk and capital management capabilities. The team ensures these remain appropriate for PIC's business strategy and risk profile, while delivering high-quality analysis, management information and insight to stakeholders across the organisation.

With a particular focus on Credit Risk, PIC's most material risk component, you will contribute to the ongoing development and enhancement of market risk methodologies, helping to ensure the Internal Model remains robust, fit for purpose and aligned with the evolving needs of the business.

Working as part of a collaborative and technically skilled team, you will contribute to the oversight and optimisation of PIC's capital framework, asset valuation methodologies and risk models, providing insightful analysis and management information to support strategic decision-making.

This role offers the opportunity to work on complex and intellectually challenging initiatives that are fundamental to PIC's continued growth and success. As part of a highly regarded team, you will contribute to the ongoing evolution of PIC's capital framework and support the delivery of robust risk and capital management across the organisation.

Specific accountabilities assigned to the role of Capital Actuary:

Internal Model Risk models

• Take ownership of Credit risk and other risk modules in the Internal Model, and ensure that the approach, design, methodology, operation and results remain robust and appropriate for use in the PIC business and are consistent with the PRA approval of the Internal Model framework and its policies
• Support activities to enhance and optimise to the PIC regulatory capital strategy with particular focus and specialisation on the market risk aspects, ensuring that such recommendations are thoroughly analysed and presented
• Contribute to technical development of the Internal Model applying the appropriate quantitative techniques to ensure it is appropriate and suitable for use
• Contribute to the technical development the proxy model which sits outside the Internal Model to ensure it remains appropriate and suitable for use

Analysis, Reporting and other

• Ensure the delivery of management information on the design, assumptions and performance of the model and its components
• Manage the delivery of ad-hoc quantitative analyses and investigations
• Support other users of the Internal Model understand the results and overcome any issues in running the models
• Support other members of the team as and when required to ensure overall team objectives are met. This could be in areas outside the Internal Model

Experience:

• Experience of working within a life office or consultancy
• Experience in developing capital models and processes
• Experience working on proxy models is desirable
• Line management is desireable
• Fellow of the Institute and Faculty of Actuaries or other relevant qualification such as Financial Risk Management (FRM) is desirable

Knowledge:

• Strong knowledge of quantitative techniques used for modelling financial risks
• Strong technical knowledge of UK life insurance environment particularly for Solvency UK
• Strong Knowledge of credit risk modelling and matching adjustment in stress is highly desirable
• Knowledge of ERM modelling is highly desirable

Skills:

• Strong quantitative skills in financial modelling specifically in areas like proxy modelling, distribution fitting
• Good planning and stakeholder management skills with a proven ability to communicate and work effectively with senior roles
• Coding skills in one or more of the following statistical packages: Python (preferred), R or MATLAB.
• Strong communication and report writing skills, in particular the ability to explain technical aspects to a non-technical audience

DEI at PIC

At PIC, we believe that true innovation stems from embracing diverse perspectives, backgrounds and experiences. We are committed to building a workplace where every individual, regardless of race, gender identity, sexual orientation, disability, age, religion, or socio-economic background, feels valued, heard and empowered to succeed. We hold ourselves accountable through ongoing initiatives, such as inclusive hiring practices, and equitable career development opportunities that support belonging and community. While we’re proud of our progress, we recognise there’s work ahead, and we remain dedicated to listening, learning and evolving together.

In addition to a competitive base salary and the opportunity to participate in our annual, performance-related bonus plan, upon joining us here at Pension Insurance Corporation, you will get access to some great benefits, including private medical insurance, 28 days' annual leave (excluding bank holidays), a generous pension scheme and much more.