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Audit capability: How to control your financial models

By David Gregson, OAC Actuaries and Consultants

As we are all aware, Solvency II has recently come sharply back into focus. While this means renewed focus on insurers financial models, an item that has remained a constant requirement is a need for control and auditability of models. Auditing requirements are going to be at least as tight, if not tighter, than under current regimes. For example, the need for models to be demonstrably used across different business areas means the control of models is key.

This increasing requirement reflects a growing shift from users of financial models towards tightening their control over their models and how they are being used. The balance is to ensure this does not choke innovation. The following article helps paint a picture of how both innovation and control can work together.

What is Audit capability?

Auditability of a financial model covers a very wide range of diverse items but a few key points a user or auditor might include are as follows.

1. Model source control
Auditing and control of changes to the model either in development or in production is of particular interest as either new models are written ...Read More

Making Uncertainty Explicit: Stochastic Modelling

Deloitte's Andrew Smith and Seema Thaper take part in an exclusive Actuarial Post Q&A about Stochastic Modelling, and, in particular, stochastic claims reserving.

How does stochastic claims reserving compare to more traditional methods?

All reserving involves a combination of statistical methodology and expert knowledge of the business. Stochastic reserving is no different in this regard; the difference is that the output is a probability distribution rather than a point estimate. This helps to embed the uncertainty around the estimated reserves into the core reserving process.

...Read More

Solvency II Pillar 3 – Unravelling the Technology

The EU parliament finally approved the Omnibus II Directive on March 11 2014, which effectively brings Solvency II into force from January 2016. Many insurers slowed down their Solvency II programmes when there was uncertainty over the final implementation date. Pillar 3 reporting now requires focus because it was often put on hold during the uncertainty. Now, insurers need to react and make progress on Pillar 3 reporting.

Most insurers have Q3 2015 targets to hit EIOPA guidelines but larger insurers and the Lloyds of London market (dry-run required for Q3 2014) have accelerated deadlines. It is ...Read More

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