The analysis and validation whether the standard formula under Solvency II is appropriate for a company and its risk exposure and structure is a particularly exciting challenge actuaries are facing with the introduction of Solvency II. Using concrete examples from the context of Solvency II we will introduce various validation techniques and procedures which can be applied to both, the Solvency II standard formula and more sophisticated internal model aspects.

Organised by the EAA - European Actuarial Academy GmbH.

The seminar targets actuaries and non-actuaries who work in the field of life insurance and want to get an introduction to and overview of best-practice validation techniques for standard formula and internal model calculations under Solvency II. It aims at giving a first introduction to the topic of model validation in the context of Solvency II and will be particularly relevant for an audience with basic knowledge of the standard formula (for life insurers).

Attendees are encouraged to bring a laptop computer with Microsoft Excel installed.

In this seminar, we use the risk-modules "market" and "life" and corresponding sub-modules of the Solvency II standard formula as examples to explain different validation techniques for actuarial models and their applications in the context of Solvency II. This includes questions such as how to choose the basic modelling approach for specific risk factor as well as the specific choice of the parameters and respective validations. In addition, validation approaches are presented for the aggregation formulae involved and their underlying assumptions.

Thomas Albers serves as Manager at Milliman’s Duesseldorf office. Thomas advises his clients on all different aspects of stochastic models, particularly with regard to implementation and validation for MCEV, Solvency II and SST. Thomas is a member of the German actuarial society (DAV).

Dr Florian Ketterer serves as Senior Manager at Milliman’s Duesseldorf office. Florian advises his clients on various Internal Model implementation and validation topics involving proxy modelling techniques (such as Least Squares Monte Carlo, Curve Fitting or Replicating Portfolios), modelling of risk factors, validation of economic scenario generators and asset pricing. He is a member of the German actuarial society (DAV) and member of the DAV working parties dedicated to Capital Management and Operational Risks.