Validation of external catastrophe-models under Solvency II

A joint LMA / Lloyd’s presentation took place in Lloyd's Old Library on Monday 9 July which was attended by over 100 people.  This was an update on the collaborative, market-wide model validation initiative that was started following a market presentation in January.  The LMA Catastrophe Model Validation Group have now published the following two documents which relate to this work:

• an illustrative example of a cat-model validation document, assuming very high materiality of cat-risk for the region/peril
• an example summary of some cat-model limitations and weaknesses.

Lloyd’s also announced details of a project to support Managing Agents in relation to the validation of external catastrophe models within an Internal Model under Solvency II.  The project will be managed by Simon Sherriff, with assistance from Mya Parker.

If you have any questions relating to the above please contact gary.budinger@lmalloyds.com
Slides from the presentation on the 9th July have been sent to all managing agents and are available to download below.