Nerina Marrocco

Experience

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  Deloitte Italia

  Feb 2006 - Dec 2006

  Junior Actuarial Consultant

  - Implementation of actuarial platform (Prophet): Parametrization of Life insurance contracts and tarifs; Testing activities of platform parametrization; Liability Adequacy Test (LAT-IFRS4); Parametrization of the platform for capital modeling (as Dynamic Financial Analysis).- plementation of Claims reseve models in Cross (Fisher Lange and Chain Ladder model).- Design and implementation of a system of measurement and controls of technical risks (Life and Non Life).

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  EY

  Dec 2006 - Dec 2010

  Actuarial Consultant

  -Local GAAP reporting: technical support for technical provisions calculation (Mathematical reserve, Additional reserves, Claims reserve, Premium reserve, IBNR, ...) and interim reporting (incl. Fast close valuations).- IAS reporting: Insurance contracts’ classification and valuation according IFRS principles and IAS39 (Liability Adequacy Test, Shadow Accounting, Fair Value, DAC, DIR). Impairment Test - IAS 36. Actuarial valautions IAS19/37. Balance sheet disclosure ex IFRS7. - Reinsurance: technical balance sheet for passive reinsurance activity. Definition of “Treaty Map” for ANIA (Italian Insurance companies association) and for Italian regulatory requirements ‘ reporting (circ. ISVAP 574/D).- Execution of the Quantitative Impact Studies (QIS 3,4,5) planned in the Solvency II definition process, for Life and Non-Life solo entities and groups.- Review of Economic Capital models for Life, Non-Life and market & credit.- Definition and implementation of risk assessment and scoring procedures for Life and Non life risks.- Analysis of assumptions adopted for the calculation of European Embedded Value (EEV) and Market Consistent Embedded Value (MCEV) and assessment of the coherence with CFO Forum principles.- Due diligence and M&A.- Support to Life portfolios migration: actuarial algorithms’ definitions and testing. Show less

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  Capgemini

  Dec 2010 - Nov 2011

  Actuarial Consultant

  - Definition and production of Own Risk and Solvency Assessment (O.R.S.A.) report for a primary insurance group in Italy.- Risk Manager (in outsourcing) for a Non Life company

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  Old Mutual Wealth Italy S.p.A.

  Dec 2011 - Jan 2017

  • Coordinator of Pillar I quarterly activities, for Group consolidation purposes, with main focus on Technical Provisions and S2 balance sheet , ensuring coherence moving from Local Balance Sheet to S2 Balance-sheet;• Set Up of the function with definition of guidelines, relevant controls and opinion on the reinsurance and underwriting policies;• Application of a methodology to assess the sufficiency of technical provisions and to ensure that their calculation is consistent with the regulation. • Report to the Board;• Methodology and assumption review, agreed with the local first line and with Group;• Support to the first line in the documentation process of Technical Provisions and MVBS;• Contribute to the definition of Data Quality controls in particular on the flows insisting on Technical Provisions;• Opinion on Reporting activity sent to IVASS. Show less -Risk and Capital (Pillar 1): local customization of Group methodology and calculation of Solvency 2 Technical Provisions and Solvency Capital Requirement (under Standard Formula). Local customization of Group methodology and valuation of Solvency 2 Market Value Balance sheet. Profit & Loss Attribution analysis and movement.- Supporting Risk Management (Pillar 2): definition of scenarios for forword-looking assessment on risk and capital position (ORSA). Definition and formalization of ORSA report sections on capital position (current and forward looking view).- Disclosure (Pillar 3): analysis and productions of Quantitative Reporting Templates.- Training: leading internal training initiatives on Solvency 2 topics (focusing on technical ones).Financial Reporting - Reserving process:- reserve calculation according to Local and IFRS GAAP Show less

  • Solvency II - Actuarial Function

    Sept 2015 - Jan 2017

  • Actuarial Analyst

    Dec 2011 - Aug 2015
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  Credemvita SpA

  Feb 2017 - Sept 2024

  Head of Actuarial Function

  Responsible for the Actuarial function office, I coordinate a team working on the validation of the Technical Provisions and to the opinion of the Underwriting and Reinsurances policies. I contribute to the implementation of the Risk management system and to insurance compliance requirements. I promote risk and actuarial culture. I report hierarchically and functionally to the Chairman of the Boad of Directors and I attend the main committees of the Company.

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  Zurich Insurance

  Sept 2024 - now

  Head of Actuarial Function