RiskIntegrity ™ Proxy Generator – Proxy Model Validation.

The most common application of such proxy models to date has been the valuation of projected liability and/or asset values in one year’s time, in order to calculate 1-year VaR capital.

In practice, proxy model validation inevitably involves a certain amount of subjectivity and is specific to the exact problem at hand. This research paper explores the validation of proxy models commonly used in the insurance industry to replace valuations that would otherwise require Monte Carlo simulation.