External validation – cutting through complexity

We carried out a comprehensive independent review for a large Lloyd’s managing agency writing a broad mix of property and casualty direct and reinsurance business. Features of our approach were:

• Top-down and bottom-up testing – considering whether the overall result was correct as well as identifying detailed areas for future enhancements
• Consideration of both quantitative and qualitative aspects – while the focus was on the numeric output of the model, we were able to provide valuable insights to the board on model governance and use through benchmarking them against our wider client experience.
• Value-added approach through: Targeting detailed testing to key risk areas; peer review of secondary risks.
• Scope and coverage testing: Identifying where model design and coverage fell short of requirements.

We provided our client with a series of reports suitable for provision to regulators as part of the firms’ internal model approval activity.