Dr Liyi Lin is principal model validator with NN Group, focusing on the validation of Solvency II related insurance models and interested in model risk management in general. Previously she worked for ABN AMRO bank in Amsterdam as risk analyst and in London as fixed income strategist, and for APG Asset Management in Amsterdam as senior researcher/strategist for the pension industry. She has extensive research and client advisory experience in many quant areas such as interest rate modelling, scenario generation, portfolio optimization, interest rate and FX hedging strategies, ALM, and derivate pricing. She also lectured part-time on finance in St Andrews University previously. Liyi Lin received a PhD in Applied Physics from Columbia University.
In this paper, the authors derive an analytical solution for sub-SCR VTs starting with a model risk appetite (MRA) that defines acceptable errors for an insurer’s total SCR.