Despite recent computational advances, internal/economic capital models remain time-consuming to run and often highly complex.
We are currently researching into the use of proxy models in general insurance capital modelling, including a study into current market practice and evaluation of common techniques. We are planning to present our results and findings at actuarial conferences later this year/in early 2020.
By a proxy model, we mean a simplified version of a more complex model, in this case the more complex model being the insurer’s capital model. Proxy models are used by actuaries in life insurance, where there is a growing literature on the topic, but there are currently no papers on their use in general insurance.
We would like to invite Heads of Capital, Chief Actuaries and other practising actuaries in the European general insurance market to complete the survey. It will take around 10 minutes to complete, and your personal details will remain anonymous in our presentations/publications. We are really grateful for your time in participating, which will hopefully enrich the Actuarial Profession’s understanding in this un-tapped area for research.
If you would like a copy of our findings, please let us know.