Proxy modelling develops under Solvency II

The alternative route

tomwilsonallianz

When it comes to internal models, Solvency II is a regime somewhat ahead of its time. The blunt truth is that for large complex liability portfolios, today’s technology is simply not up to the full stochastic modelling that the regime requires for internal model solvency capital calculations. It probably won’t be for a number of years. So, what is to be done?

Fortunately, human ingenuity is good at solving this kind of problem. There are many areas of endeavour where full detailed modelling

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