Gusnadi Wiyoga

FSO Insurance | Risk & Actuarial Services

• Executing and coordinating regular risk capital calculations for Allianz Lebensversicherungs-AG (AZL) according to Solvency II internal model, delivering based on them analysis results for internal and external reporting, creating presentations and decision-making documents prior to Risk Committee meetings. • Presenting Solvency II results in the closing call with the participation of CFOs of AZL and Allianz Group. • Ensuring quality controls on model input parameters and managing their documentations.

• Assessing and commenting on acquisition proposals for new alternative investments prior to Investment Committee meetings, particularly taking into account investment risks. • Monitoring asset modeling in the risk platform with focus on fixed income securities for the asset closing process and risk capital forecast, performing special analyses such as liability hedging analysis, collaborating closely with various departments incl. analytics, asset management function and others.

• Researched in field of insurance liability modeling comprising such approximation approaches as replicating portfolio (RP) and least-squares Monte Carlo (LSMC). • Analyzed new approach by combining both methods and evaluated in R (using ggplot2, dplyr and more packages).

• Advanced and maintained analysis tools for replicating portfolio methodology as key component in insurance liability modeling for risk capital calculations within Solvency II internal model (using Excel and VBA). • Supported during replication process in quarterly closings. • Performed statistical analysis for re-validating replication methodology (using R with stats, ggplot2 packages).

• Developed machine learning algorithms such as elastic net, XGBoost and vector autoregressive models to predict future cash flow of real estate property in various German cities (using Python with numpy, scikit-learn, matplotlib and more libraries). • Acquired various economic factors from internal and public sources, ranging from object location factors (household income, vacancy rates) to macroeconomic factors (interest rates, GDP) and regulation (rent control), to apply as explanatory variables.

• Executed individual contractual calculation requests from life insurance customers. • Conducted quality controls on mathematical values in annual stand notifications and tested their consistency with inventory management system. • Tested contractual documents of newly developed life insurance products.

• Taught and assisted students in such areas as stochastic and calculus, created tailored lesson plans and study guides on subject matter. • Proctored exams for students and answered questions.

• Received DAAD scholarship for the whole study duration. • Master’s thesis: "Combination of Two Approximation Approaches in Insurance Liability Modeling: Least-Squares Monte Carlo on the Residuals of Replicating Portfolio"

• Received DAAD scholarship for the whole study duration. • Bachelor's thesis: "Brownian Motion and its Erratic Properties: From a pollen grain to options pricing" • Awarded the Bachelor's Prize of Berlin Mathematical Society.