Modelling team of the year - highly commended: Scor
Scor views its internal model, in development for the last 15 years, as more than just a calculation engine.
Instead, the French reinsurer sees the model as a comprehensive framework encompassing documentation, governance, risk mapping and validation.
This is why the internal model is used to assess every major business initiative at Scor from a solvency perspective.
Initially developed to satisfy the Swiss Solvency Test, Scor’s internal model has been adapted for Solvency II and was one of the first full internal models to be approved in the EU.
In 2017 the internal model was migrated from a legacy closed-source modelling platform to a full open source technology stack. It is based on the Linux operating system, uses applications platform Docker and is programmed in Python.
In addition to the core simulation model, an in-house model administration platform has been built to manage input data and parameters, to conduct model runs and to provide an integrated reporting platform.
Scor publishes year-end financial results and solvency positions early in the year, in the second half of February.
Over three years, the reinsurer’s internal model team has been able to reduce the time it takes to produce the annual solvency capital requirement for the group, and all internal model Solvency II legal entities, from six months to less than three weeks after year-end.
The judges praised the submission for demonstrating real value and links to strategic planning and deployment of capital.