Drs Peter Dekker MSc AAG is currently principal model validator at NN Group. Before he joined the model validation team of NN Group, he established and headed the model validation team of ING Insurance Benelux. During the first decade of his career he was lecturer in mathematics and statistics at the Hogeschool voor Economische Studies in Rotterdam, where he also headed the expertise group mathematics and statistics. Peter wrote several books and readers. He is a qualified member of the Dutch Actuarial Society.
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.