Oscar Thomas, ASA
Senior Analyst, Hedging and Quantitative Solutions at Delaware Life Insurance Company- Claim this Profile
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Bio
Credentials
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SOA QFI QF Exam
Society of ActuariesJul, 2023- Nov, 2024 -
SOA QFI IRM Exam
Society of ActuariesJan, 2023- Nov, 2024 -
Associate of the Society of Actuaries (ASA)
Society of ActuariesJan, 2022- Nov, 2024
Experience
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Delaware Life Insurance Company, A Group 1001 Company
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United States
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Insurance
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100 - 200 Employee
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Senior Analyst, Hedging and Quantitative Solutions
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Sep 2022 - Present
- Performed daily monitoring of automated FIA dynamic hedging process, using SQL and Power Query to investigate hedging databases - Determined and validated weekly FIA dynamic hedge options trades created through Python and VBA code and performed trades with major bank counterparties through Bloomberg and email - Developed visualization improvements, including a detailed display of option and policy payoffs through Power Query and a customized Power BI display of market data - Converted legacy C# market and liability data loading code suite to Python code for ease of modification and understanding and increased modularity - Developed and implemented Python code for novel linear-programming-based optimization of bond futures trading to meet rho hedging mismatch limits for VA embedded options Show less
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Lincoln Financial Group
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United States
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Financial Services
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700 & Above Employee
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Actuarial Specialist
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Feb 2021 - Aug 2022
- Spearheaded and performed detailed Excel- and VBA-based analysis of costs introduced due to rate strategies in the fixed annuity business, collaborating across teams and presenting up to the Senior Vice President and Head of Annuities levels to receive buy-in, educate on the issue and my analysis, and reconcile my recommendations with overarching enterprise goals- Helmed pricing modeling work for new fixed annuity product and presented to 70+ stakeholders in total, responded to inquiries and promptly performed takeaway analyses- Led development of several variable annuity ALFA model improvement pieces, including full modeling of a growing product suite and a wide-reaching reinsurance deal; facilitated check-in meetings with 10 key stakeholders across teams and fielded questions and concerns with modeling as necessary- Managed a summer intern and assigned him a SAS-based automation project of my own design, turning a 2-to-3 day YoY comparison process into one taking only a few hours Show less
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Actuarial Analyst
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Jan 2019 - Feb 2021
Assumed leadership of the 2Q-4Q assumption update process for the variable annuityALM model following extensive collaboration with longtime previous process owner- Coded and developed almost all assumptions utilizing SAS, Excel, and ALFA and strategized development approach to ensure deadlines were met- Facilitated numerous communications – regularly explained assumption and methodology updates to team members and other relevant stakeholders for documentation/Sarbanes-Oxley purposes or to achieve buy-in across teams, formally presented results to and fielded questions from the Valuation Actuary and Appointed Actuary, and coordinated data requests and clarifications across the enterprise where necessary- Personally overhauled all outdated documentation for ease of transition before rotating out of role- Performed all asset adequacy runs and compiled results under tight deadlines, remaining vigilant of necessary run submissions during and outside of work hours and negotiating for distributed computing resources with other usersCompleted numerous ad-hoc performance and accuracy improvement initiatives usingExcel, ALFA, and SAS for quarterly model update process, many running into one another or into the assumption update process and requiring dynamic priority shifts Show less
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Actuarial Development Program Intern
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May 2018 - Jan 2019
- Utilizing VBA, developed the framework for an extensive, multiple-workbook code-validating procedure concerning two life databases spanning hundreds of thousands of records- Planned and produced ad hoc methodology to extrapolate missing smoking status codes from over half a million policies and adjusted for new developments and changes in data assumptions as they occurred- Coded in VB .NET a robust, generalizable utility to expedite file and directory manipulation for monthly and quarterly reserving and officially presented said utility to the traditional life valuation team Show less
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Milliman
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United States
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Business Consulting and Services
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700 & Above Employee
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Actuarial Student Intern
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Jun 2017 - Aug 2017
- Calculated and exhibited Excel-based results, including work for a Fellow’s research paper and extensive computations specifically requested by the Indiana Office of Medicaid Policy and Planning - Modified and streamlined existing VBA macros to create and update spreadsheets, especially those relevant to the IMP’s Monthly Finance Report - Using data pulled from Teradata/SQL, wrote VBA macros and SAS programs to check new indicators in proprietary healthcare database, add appropriate figures to existing spreadsheets, and introduce automation to previous ad hoc work - Worked extensively with all members of the Indiana Medicaid team and maintained contact through e-mail communication and one-on-one meetings Show less
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Hopewell Staffing
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Franklin, Indiana
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General Intern
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Jun 2016 - Aug 2016
- Searched through and cross-referenced external resume databases - Updated, cataloged, and managed information crucial to business in internal resume database - Proofed, edited and composed internal and external job descriptions and postings, often to increased traffic - Collaborated with recruitment and marketing departments on daily and longer-term needs - Searched through and cross-referenced external resume databases - Updated, cataloged, and managed information crucial to business in internal resume database - Proofed, edited and composed internal and external job descriptions and postings, often to increased traffic - Collaborated with recruitment and marketing departments on daily and longer-term needs
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Education
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2015 - 2018
Purdue University
Bachelor's degree, Actuarial Science
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