Listen now as April Shen, FSA, MAAA interviews Jennifer Caplin, FSA, MAAA on the components, challenges and project management for model validation under LDTI.
Long Duration Targeted Improvements (LDTI) will result in a significant change in the reserving and DAC models for long duration products—significant modeling/assumption changes for liabilities for future policyholder benefits (LFPB), market risk benefits (MRB), DAC changes, and disclosure requirements for LDTI.
Model validation refers to a formal review conducted by a group independent of the model developer and model owner. By using an independent team, this mitigates the risk of self-review. “Independent review” is also sometimes used to refer to validations. Most leading insurers have well developed model validation practices and validation of all models is the responsibility of their model risk management (MRM) team. Many model risk management programs in the industry include requirements to perform model validations on models before they go into production.
In this episode, we’ll discuss the five components of an end-to-end full model validation process.
