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Nate Dorr, FSA

Quantitative Developer
Chicago, IL, US

Tel: +1 312 5772858

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Professional Designations

  • Fellow, Society of Actuaries

Education

  • Bachelors of Mathematics and Economics, Rose-Hulman Institute of Technology

Current Responsibility

Nate is a member of the Quantitative Development Group within Milliman's Financial Risk Management practice in Chicago. He focuses on market-consistent valuation and hedge strategy development. His responsibilities include development of quantitative software tools for economic scenario generation as well as hedge strategy testing, with application to a range of life insurance products.

Experience

Nate provides quantitative finance support for a number of active hedge programs spanning a range of life insurance products, such as indexed annuities and variable annuities. His work has included development of calibration tools for market-consistent economic scenario generation and development of nested stochastic simulations to test EIA hedging strategies. The quantitative software tools he has developed take advantage of graphics processing units for high-performance computing. He also plays a key role in reviewing client hedge programs and providing feedback on hedging strategies.

Prior to joining Milliman, Nate worked for multiple insurance companies in derivative strategies and investment management roles. He worked on equity derivative strategies, variable annuity hedging, EIA design, and risk management, and has worked in interest rate derivative risk management and hedging. Additionally, he has worked in investment risk management for fixed-income portfolios.

  • Work at Milliman

    • “I was offered a chance to come in, shake things up, create something."
    Work at Milliman