At Munich Re, I had the opportunity to work in a fascinating area: pricing and hedging of life reinsurance. It is a fascinating subject because certain life insurance contracts, like variable annuities are among the most complex financial products available. They are a challenge to properly value and risk-manage due to (1) their long-term nature, (2) the multitude of product parameters and (3) the optionality originating from the options for the policyholder to adjust the contract parameters and the options for the insurance company to adjust the management of the portfolio. All the "usual" issues for the valuation of financial derivatives, like collateral-specific funding costs, counterparty-credit risk valuation adjustments and cross-currency rate differentials apply as well (if the valuation is market-consistent).
Reinsurance in general - and Munich Re specifically - has a pronounced culture based on long-term relationships and tailor-made solutions.
Agile Software Development
Navigating through a multi-year IT project was a valuable experience. Re-organizing the department into teams such that rapid deal-making is supported required some experimentation. I introduced Kanban and Scrum in my two sub-teams.