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Carlie Mao
309 Gravesend Neck Rd, Brooklyn NY, 11001 Email: carlie@gmail.com Telephone: 646-464-9876 Visa
Status - US Citizen
EXPERIENCE
QBE
the Americas New
York City, NY
Catastrophe
Modeling - Actuarial Analyst May 2010 - Present
·
Provide
quarterly zonal probable maximum loss (PML) for AM Best SRQ and S&P
questionnaire and for senior management
·
Execute
zonal PML disaggregation, excess loss estimation, reinsurance cost allocation
and return on capital analyses concerning new business opportunities
·
Manage
tornado/hail and hurricane post event loss estimation and regularly provide
real time reports to senior management
·
Spearhead
in-house tool development for efficiency improvement which requires extensive
usage of VBA/Macros, SQL and other programming language
·
Responsible
for building RMS Rerun EP function in C# to calculate exceedance probability
(EP) curve outside of RiskLink for Occurrence (OEP), Aggregate (AEP) and Tail
Value at Risk (TCE)
·
Currently,
participate in the RiskBrowser project, working with actuary and IT team to design and implement catastrophe pricing
algorithm for field underwriters
·
Lead
training of junior modeling analysts on RiskLink troubleshooting, data cleanse,
debugging Excel template in VBA and SQL
Insight
Catastrophe Group New York City, NY
Statistic
and Mathematic Programmer September
2008 – May 2010
·
Implemented
quantitative policy scoring methodologies integrated with catastrophe modeling
results into pricing software to support client’s policy underwriting business
·
Applied
mathematical reinsurance algorithm into state of the art, patent-pending policy
quoting software using SQL, C# and XML
·
Calculated
reinsurance layer loss based on large event loss simulations against client’s
portfolio, and subsequent updates to ensure accuracy
·
Performed
profitability analysis utilizing VBA/Macros-based spreadsheet to assist clients
in the selection process of policies
Ma*Laboratory
International Inc Edison, NJ
Account
Manager August 2004 – May 2006
·
Team
leader responsible for providing on-site support and quotation for clients’
server migration requests
EDUCATION
The
New School University
New York City, NY
MS
in Financial Engineering, Department
of Global Finance June 2008
·
Mechanics
and Synthetics of Financial Derivatives, Monte Carlo simulation and pricing
model implementation in C++, Portfolio Optimization Theory and Important
sampling in MATLAB, Stochastic Calculus in Finance, and Option Pricing Theory
·
Teaching
assistant in credit derivatives class, topics include structure products (CDS,
CLN, FtD, CDO and MBS), credit risk measurement and pricing models (Structural
Model, Reduced Form Model)
Michigan
Technological University
Houghton, MI
BS
in Electrical Engineering, Department
of Electrical and Computer Engineering May 2004
·
Multi-variable
Calculus, Advance Probability and Statistics, Linear Algebra, Digital Signal
Processing, Microelectronics, Electromagnetic
·
Recipient
of the Outstanding Performance Award for Senior Design; In recognition of the
Cellular Antenna Alignment Project; Awarded annually for exemplary work in
applied mathematics
·
SKILLS
·
Excel/VBA/Macro,
SQL, Access, C#, C/C++, MATLAB, XML
·
RiskLink,
RiskBrowser, Catrader, Visual Studio, SQL Server Management Studio
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