Yi-Rong .

Ernst & Young (Senior, Strategy, and Transactions) 2021-2022

Model conversion project for Bank Taiwan Life Insurance from Alfa to Prophet

–  Worked on ALS model conversion, including equity, mortgage, CMO, Bond (coupon, callable,

accretion,...), etc

–  Created technical documents for the Prophet ALS module and the corresponding reconciliation excel

templates

IFRS17 Reporting system project (RCP and SAS)

–  Verified the discounting logic of the RCP reporting system

–  Customized calculations for yield-to-date reporting (only period-to-period reporting is available in

former version)

–  Customized calculations for risk driver

–  Verified and modified the calculation logic for all variables in RCP, e.g. FCF, BEL, CSM, RA, CSM

Amortization, Acquisition Cost, RA release, etc

National Chengchi University (RA, Department of Money and Banking)

Pandemic research project:

–  Studied catastrophic bond and insurance-linked securities-related issues

–  Worked on empirical research on pandemic and catastrophe loss instruments

–  Modelled pandemic events with an extended SEIR model

Ministry of Education project:

– Designed and maintained the website of the financial engineering center at NCCU

Cathay Life Insurance Company (Actuarial Analyst, Model Team) 2017-2019

Routine work

–  Imported new products, including life products, investment-link products, and variable annuities.

–  Developed, maintained, and improved the asset/liability module in Prophet

Economic Scenario Generator (ESG) project

–  Improved efficiency by using dimensionality reduction and introducing parallel computing

–  Modified the incorrect program to make scenarios meet assumptions

–  Prepared a validation report for economic scenarios from ESG

–  Designed and developed the UI interfaces of ESG

–  Generated and analyzed scenarios and assisted ALM in economic capital analysis

Internal model technical manual writing

–  Asset module (Prophet)

–  Variable annuity module (Prophet)

–  Economic scenario generator (Matlab, R)

Panel member of the annual actuarial report (2018 and 2019)

– Analyzed the surplus of some segmented accounts

–  Analyzed the economic scenarios provided by the Insurance Development Bureau

–  Developed the scenario conversion tool for Prophet to read

Simon Fraser University (2022-Present)

Master of Actuarial Science

National Chengchi University (Graduated 2016)

Master of Statistics