Proxy modelling has now been in use across the UK and Europe for several years, principally in support of Solvency Capital Requirement calculations within Solvency II internal models. This paper provides a brief introduction to proxy modelling and contributes to the current debate around validation via a discussion of a number of the tests that might be contemplated and an illustration of a potential “validation dashboard.”
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Michael Leitschkis
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Proxy model validation
This paper provides a brief introduction to proxy modelling and contributes to the current debate around validation via a discussion of a number of the tests that might be contemplated and an illustration of a potential “validation dashboard.”