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. We offer you:
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…