Solvency II—Accelerating the calculations: Replicating portfolios and model compression

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By Dominic Clark, Oliver Gillespie, Henny Verheugen | 01 November 2008
Solvency II places great importance on embedding risk management within companies, their processes, and governance. Standard methodology revolves around an economic balance sheet, which is then stress tested for various risks. The calculations involved in constructing this balance sheet can lead to considerable run-times for large models, reducing the flexibility of the reporting and the depth of insight available. This paper considers two approaches for accelerating the calculations in the context of life insurance.