Model validation is an important step in the regulatory approval of internal models under Solvency II. It aims at ensuring that all material risks are adequately measured in the internal model. Furthermore, the validation exercise should lead to more confidence in the model outcomes for use in decision-making.

 

What Detralytics can do for you

Detralytics actuaries can support you on the different steps in the validation process, for instance the review of the

  • Data;
  • Underlying methods and assumptions;
  • Expert judgment;
  • Validation tools such as back-testing, model stability and sensitivity analysis, stress and scenario testing, P&L attribution.

 

Detralytics’ experience

Detralytics actuaries have assisted major European insurers in their validation exercise under Solvency II. They have conducted conceptual and implementation validations of numerous models, such as

  • Models addressing the non-life risk, more specifically the premium risk, the reserve risk and the catastrophe risk.
  • ECAP models for the non-life risk and health risk similar to non-life.
  • Models addressing the health risk similar to life.
  • Models related to the market risk (Equity and Property risk models, interest rate risk models, credit spreads risk models including the stochastic volatility adjustment, etc.).
  • Models aiming at aggregating several risks using different copulas.
  • Best estimates models in non-life, more particularly models calculating provisions of premiums, loss reserves and provisions for reinsurance.

Also, Detralytics actuaries have built methodologies in line with internal model validation requirements under Solvency II.