KHUSHI SULTANIA

Actuarial Modelling using Prophet, Python and Excel

• Enhanced Prophet models for Pension Risk Transfer (PRT) reinsurance business to ensure consistency with Bermuda Monetary Authority (BMA) regulatory requirements.
• Developed a credit life model in Python to calculate Best Estimate Liability (BEL) and Risk Adjustment (RA) incorporating cash flow projections, discounting, and assumption handling.
• Built Excel-based models for life insurance products, including protection and unit-linked products.

Actuarial Automation:

• Developed VBA-based Excel tools to automate actuarial processes, including Prophet table creation, reducing manual effort and improving efficiency.
• Contributed to the development of an AI-enabled tool to streamline and automate IFRS17 model workflows.

IFRS 17 and SII Audits:

• Audited IFRS 17 balances, including BEL, RA, and CSM under the General Measurement Model (GMM) and Variable Fee Approach (VFA), across MENA and Europe.
• Performed Single Model Point Testing (SMPT) to validate the modelled best estimate cash flows and BEL for credit life, whole life and endowment products.
• Reviewed experience studies to ensure the accuracy of clients' demographic assumptions and their alignment with IFRS 17 standards.
• Validated the Analysis Of Change for BEL, RA, and CSM under the GMM and VFA approach.
• Reviewed SII Risk Margin and Solvency Capital Ratio (SCR) including Insurance, market and credit risk.
• Prepared Actuarial Summary Review Memoranda (ASRM) summarizing key IFRS 17 and Solvency II review findings and management recommendations.

Investment Valuation:

• Performed independent valuation of life settlement portfolios on a fair value basis for a large US client.
• Set portfolio discount rates by assessing longevity and market risks against experience data, supporting consistent valuation conclusions.
• Led junior team members through the valuation process by providing training and technical guidance, and presented key valuation outcomes to stakeholders.

Actuarial Modelling using Prophet and Excel

• Developed and enhanced key components within Prophet actuarial models, including expense inflation, sensitivity analysis, and discount rate calculations.
• Played a key role in the IFRS 17 implementation project, focusing on coverage unit modelling and CSM release calculations, along with the development of locked-in interest rates and the unbundling of investment components.
• Performed functional and regression testing on modelled liability results for quarterly reporting.
• Investigated and resolved model defects involving unexpected AoC step impacts and incorrect CSM run-offs.
• Additional tasks included - model itegration, extraction of components of BEL, basis generation, manual adjustments to data, cash flow projection, summary reports and automation of process.