About CPD: Solvency II Advanced - Pillar II: Model Risk & Proxy/Stochastic Modelling (29/09/2026) - 2 CPD

IA|BE Solvency II Advanced - Pillar II: Model Risk & Proxy

Model risk and the use of proxy and stochastic modelling techniques sit at the heart of the Solvency II quantitative framework, yet the governance, validation and documentation requirements around these models are often less well developed than the models themselves. This session provides a rigorous treatment of model risk and proxy/stochastic modelling under Solvency II Pillar II, covering the regulatory requirements for model governance, the design and implementation of an effective model risk management framework, and the key validation standards expected by supervisors. Participants will examine the main proxy modelling techniques used in the Solvency II context, including curve fitting, replicating portfolios and least squares Monte Carlo, and the practical trade-offs between accuracy, runtime and auditability. The session also addresses stochastic modelling approaches for life and non-life risks, the use of economic scenario generators (ESGs), and how model uncertainty and limitations are communicated to senior management and the board. Attention is given to supervisory expectations around model documentation and change management, the findings from recent thematic reviews on model risk, and the implications of the 2026 Solvency II review for model governance requirements.

This session is suited for actuaries and quantitative risk professionals involved in model development, validation or governance at Belgian insurers or reinsurers who want to deepen their understanding of model risk management and proxy/stochastic modelling requirements under Solvency II.

Practical info: The session will be delivered in English, and a Teams link will be shared two days prior to the session.