Medior Risk Modeller

NN Greek Life Insurance; Den Haag; On-site; EUR 60,000 - 79,000; Full time

Benefits offered by this job

13th month salary

Holiday allowance

27 vacation days

Pension BeFrank

Training opportunities

NS Travel Card

Home office allowance

Job summary

NN Non-life in the Netherlands is seeking a Risk Model Developer to build and maintain non-market risk models that inform capital and strategic decisions. You will combine data analysis, quantitative modelling and sound methodologies, ensuring they are defendable to reviewers and users alike.

You will work on multiple models spanning property & casualty, disability/health, and business risks, with emphasis on model calibration, validation and clear documentation for governance and stakeholders.

Qualifications

• Master's degree in a quantitative discipline with relevant modelling experience.
• Strong understanding of statistical and quantitative modelling methods.
• Experience with Python or similar quantitative programming languages.
• Ability to explain complex analyses to stakeholders and reviewers.

Responsibilities

• Analyse historical insurance data for model suitability and quality.
• Develop, calibrate and substantiate quantitative model methodologies and assumptions.
• Assess model performance via backtests and sensitivity analyses; document methods clearly.
• Explain choices and results to actuarial users and supervisory reviewers.
• Review technical model implementation and develop controls to verify calculations.

Skills

Quantitative modelling

Risk modelling

Data analysis

Python

Education

Master's degree in Econometrics, Mathematics, Actuarial Science or comparable quantitative discipline

Tools

Python

Job description

Would you like to work on quantitative risk models that directly affect the capital position and strategic decisions of NN Non-life? As a Risk Model Developer, you develop and maintain models that determine a material part of the non-market Solvency Capital Requirement and support broader financial and strategic decision-making.

What you are going to do

The Financial Risk Management team develops and maintains the non-market risk models of NN Non-life. The model landscape covers property and casualty insurance risk, disability and health insurance risk, and business risks such as expenses and persistency. Together with your colleagues, you work on one or more models, combining insurance data analysis and quantitative modelling with the development of sound methodologies that you can clearly explain, substantiate and defend to both reviewers and users.

Your main responsibilities are:

• Analyse historical insurance data and assess whether the data are sufficiently complete, accurate and representative for internal model purposes
• Develop, calibrate and substantiate quantitative model methodologies, assumptions and expert judgements
• Assess model performance through sensitivity analyses, backtesting and other quantitative analyses, and document the methodology and calibration in a clear and auditable manner
• Explain and substantiate methodological choices, assumptions, limitations and model results to a broad range of stakeholders, including actuarial colleagues as users of the models, and the Actuarial Function Holder, Model Validation and DNB as reviewers
• Understand and critically review the technical implementation of the models, including Python code, and develop shadow tooling and other controls where needed to verify model calculations and results

What we offer you

NN invests in an inclusive, inspiring work environment and in skills and competences for the future. We match this with employee benefits that are in line with what is needed today and in the future. This way, we offer our employees the opportunity to get the best out of themselves.

• Salary between €5,339 and €7,119 based on 36 hours, depending on your knowledge and experience
• 13th month and holiday allowance are paid with your monthly salary
• 27 vacation days for a 5-day working week and three Diversity Days
• A modern pension administered by BeFrank
• Plenty of training and learning opportunities
• NS Business Card 2nd class, which gives you unlimited travel, also privately. Do you prefer to travel with your own transport? Then you can declare the kilometers travelled
• Allowances for setting up your home office and for internet use

Who you are

You are a quantitative professional who enjoys combining data analysis, programming and methodological reasoning. You do not accept model outcomes at face value and are able to critically assess whether a model is conceptually sound and fit for purpose.

• You have a Master's degree in Econometrics, Mathematics, Actuarial Science or a comparable quantitative discipline, combined with relevant experience in quantitative modelling, risk modelling or capital modelling
• You have a strong understanding of statistical and quantitative modelling methods and are able to critically assess and develop methodologies, assumptions and expert judgements
• You can clearly explain and substantiate complex analyses and methodological choices to different stakeholders, including actuarial users, independent reviewers and supervisory authorities
• You have experience with Python or similar quantitative programming languages and are able to understand and critically review quantitative model implementations
• You have a collaborative and proactive working style and are able to build effective relationships with colleagues in Risk, Finance and the business
• Experience with non-life insurance, Solvency II and internal models, insurance data, actuarial modelling or model validation is an advantage. If you bring strong quantitative modelling skills and the ability to learn quickly, we encourage you to apply even if you do not meet every preferred qualification.

Who you will work with

You will join a team of nine professionals with backgrounds in econometrics, actuarial science, mathematics, physics and financial economics. The team combines risk modelling with broader financial risk management activities, while this position focuses on the risk modelling domain. We are a relatively young team in which people work hard, enjoy working together and strive for high-quality outcomes. We are open to new techniques, tools and ways of working, while remaining critical of our own models and methods. Model development is a collaborative process. You will take responsibility for one or more models or model components, from methodological development and calibration through to implementation, governance and stakeholder challenge. Depending on your experience, this may include broader model ownership, coordinating the work of other team mem