Oliver Wyman has worked with a number of major insurers in developing aspects of their internal models including model design, detailed build, documentation, management education, model review, capital optimisation, programme review and cost cutting.
During this time we have encountered many issues and learned valuable lessons. In this article we focus on the aspects related to designing and optimising internal models used to address the Pillar 1 quantitative requirements of Solvency II and to determine the Solvency Capital Requirement (SCR). We give a summary of the key issues and how they can be addressed over the course of the coming 6-18 months before the models go live.
