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(Thesis) Internship - Pricing Models Longevity Risk

Geplaatst 23 mrt. 2024
Werkervaring
0 tot 1 jaar
Full-time / part-time
Full-time
Functie
Soort opleiding
Taalvereiste
Engels (Vloeiend)

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Introduction

The potential size of the global longevity risk transfer market is estimated between $60 trillion and $100 trillion. In contrast, the current size of the longevity risk transfer market is only around $80 billion. To accelerate the growth of the longevity risk transfer market towards its potential, VB Risk Advisory B.V. is currently working to establish a digital marketplace for longevity risk: Longitude Exchange; an InsurTech start-up. Longitude Exchange contains a range of longevity modelling and analysis tools that can be used to price and trade longevity risks.

The purpose of the Longitude Exchange is to be a intermediary, for which better understanding of how different participants in the longevity risk value chain price index-based (but also indemnity) longevity structures is required. The longevity risk value chain consists of pension funds, life insurers, (life and general) reinsurers and capital market investors. Each link has their own factors that determine their view on the pricing of longevity linked financial instruments. For pensions funds, the price is mainly impacted by Asset and Liability Management (ALM), plan sponsor, risk policies and funding level; Reinsurers and life insurers are mainly steered by the capital regime they fall under: EU (Solvency II), US, UK, Bermuda (BSCR) or Switzerland (SST); The pricing drivers for investors are mainly fund investment strategy, client investment horizon and target return.

Scope

The aim of this internship is to understand the pricing models of different classes of market participants on the Longitude Exchange. Taking the overview of the longevity risk transfer market of Blake et al. (2018) as a start, this means researching and implementing actuarial pricing models and investor’s perspectives on longevity linked financial instruments.

Description

Next to a personalized internship in an extremely relevant topic in the pension fund and life insurance industry, the VB risk advisory team prepares you for a career in the financial industry. This internship will help you acquire financial risk management skills, programming skills and provide you the flexibility in terms of working hours. Your hard work will be recognized and rewarded both financially and through development opportunities.

We are preferably looking for an intern with the optionality to write his or her thesis in three to six months. We offer guidance in multiple ways; a consultant mentor, dedicated supervision with academic experience and experienced management review to ensure practical applicability of the research.

Functional work area

Quantitative Modelling / Actuarial / Research & Development

Hours per week

36 – 40

What we offer

• The possibility to write your thesis under experienced supervision in a dynamic and international environment;

• Compensation at market rate;

• Reimbursement of travel expenses;

• Flexibility in terms of working hours and location;

Requirements

Applicant characteristics

Quantitative academic education (MSc Student) in a relevant field, like econometrics, mathematics, actuarial science. The preferred candidate is flexible, proactive and has a positive attitude. Furthermore, accuracy, problem solving skills, decision making skills and ability to work independently with tight deadlines is required as well. Strong affinity with Quantitative Models Finance, Actuarial risk and Data.

Competencies

Experience in advanced programming language (Python is a must, experience with GIT is a pré) and interested to work with large datasets.

Required language skills

Well versed in both Dutch and/or English.

VB Advisory is a talented group of quants who are specialised in data analytics and financial risk management, all of whom have built up extensive experience as consultants within the financial sector. These experienced consultants are there to help guide you during your journey, however you will be the architect of your own success!

Management Consulting
Hoofddorp
Actief in 1 land
25 medewerkers
60% mannen - 40% vrouwen
Gemiddeld 27 jaar oud