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Lloyd’s Syndicate

Lloyd’s internal Solvency II model

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Lloyd’s internal Solvency II model

Client description A Lloyd’s Syndicate with US earthquake, windstorm, property and liability exposures

 

The Client’s requirements

Provision of actuarial consulting services with respect to Solvency II as follows:

•Provide meaningful advice on the risk drivers of the capital requirement and the implications of the results for the operation of the syndicate
•Streamline the data processes which drive the Solvency II model and re-parameterisation of the internal model
•Further development of the Syndicate’s internal Solvency II model and development of management information
•Change management and model validation
•Execution of model runs
•Distribution of management information
•Advise the syndicate and Lloyd’s managing agent regarding response

 

Our solution

Key aspects of the solution from Pro include:

•Provide a project plan with agreed milestones and deadlines
•Improve the process for data which drives the internal model
•Develop a new reinsurance model to enable the client to more efficiently structure their reinsurance programme
•Develop a new suite of management information
•Provide assistance where required in producing the parameterization input sheets
•As and when model runs are requested by the client, provide detailed results
•Provide assistance where required in discussion of results and implications
•Maintain the documentation (where required) of the internal model in compliance with Solvency II requirements
•Continue the validation process for the internal model in compliance with Solvency II requirements
•Assist in the communication and explanation of the internal model, to the Lloyd’s syndicate, Lloyd’s managing agent and third parties as requested
•Provide a named client manager as a point of contact in the event of the need to review details of the engagement

 

Services/Value delivered

•Simplification of the linked model input and output files from over 150 linked files down to 4 files
•New management information enabling the client to manage the risk drivers of their capital requirement, provide information to Lloyd’s pertaining to their Lloyd’s Capital Requirement, and disclose information to the PRA
•New reinsurance module which enabled the client to make an informed decision to significantly increase the number of policies underwritten whilst only modestly increasing the client’s capital requirement

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