Dr Marc Heemskerk heads the Group ALM & Analytics department at Rabobank, which focuses on ALM, Treasury, Modelling, Validation, implementing and processing the models of Rabobank. Heemskerk previously worked for well-respected banks and insurers in Europe and the US in the area of Risk Management. Prior to this, he ran a consulting business in Operations Research out of the US to optimize business processes for very many industries. When leading the Group Risk unit within NN Group, this unit has engaged in objectifying the Model Validation process resulting in the groundbreaking methodology and paper published in this journal.
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.