photo de profil d'un membre

Romain Laplaze

CV English

Expériences professionnelles

life & health reinsurance actuary

SWISS RE , Zurich - CDI

De Septembre 2016 à Mai 2018

• Expert and first point of call for L&H reinsurance business for Spain and Portugal.
• End to end actuarial modelling including assumptions setting and documentation.
• Validation of quarterly valuation results: statutory reserves, US GAAP reserves, EVM, Best estimate cash flows.
• Result presentations and commentary for stakeholders.
• Valuation and pricing of Bansabadell Vida reinsurance deal.
• Economic Value Management (EVM) project work in London office with UK & Ireland team.

Economic capital specialist

AXA , Madrid - CDI

De Septembre 2013 à Juillet 2016

• In charge of computing Solvency 2 Internal Model STEC (Short Term Economic Capital) and SCR for MedLA Life & Health and Non-Life entities (AXA Spain, Italy, Portugal, and Mexico)
• Analyzing of results and presenting to Group CFO and entities.
• Market and credit stochastic models.
• Development of market risk tool in VBA and R. ORSA report.
• Analysis of STEC figures for strategic management decision-making process (Strategic Plan, STEC optimization, Risk Appetite). Own fund reporting (Risk Margin, Best Estimate Liability). IFRS reporting

Actuarial and quantitative department

Coface , Bois-colombes

De Mars 2012 à Juin 2013

• Financial Default Hedging. Solvency II Risk assessment Internal Model. Calibration. ORSA.
• Correlation between economic indicators and losses.
• Default Probability and Loss-Given-Default with Merton model implementation and calibration on R language.
• Pricing. Public export guarantees on behalf of the French State risk assessment.
• Creation of Economic Scenarios for business risk and regulatory capital. Strategic Asset Allocation.

Financial engineer

SOCIETE GENERALE , Tokyo - VIE / VTE

De Janvier 2010 à Janvier 2012

Variable Annuities Reinsurance: Pricing, Hedging Bonds Replication, Cross Currency Products Funds: Strategy, Allocation, Backtesting, Term-sheets Modelisation. Financial and Actuarial Risk evaluation VBA programming: Stochastic Simulation, calibration, creation of tools for the team

Parcours officiels

Ecole Centrale Paris – Ingénieur – Mathématiques Appliquées – 2009

Langues

Allemand - Notions

Japonais - Technique

Anglais - Courant

Espagnol - Courant

Compétences

Actuariat
Banque
Assurances
Finances
Informatique financière
Simulation financière
Pack Office (Excel, VBA, Powerpoint, Outlook)
vba
pricing