IAALS: Open IRM – A Publicly Accessible Internal Risk Model of an Artificial Life Insurer for Analyzing and Benchmarking Actuarial Methods in the Solvency II Setting

Predicting and understanding solvency figures poses major challenges for life insurers. Internal risk models provide realistic representations, but they remain company-internal and make model understanding difficult. This makes it hard to compare new machine-learning methods for prediction and explainability objectively and under realistic scenarios. We developed openIRM, an open-source internal risk model for an artificial life insurer. It combines an economic scenario generator based on the G2++ interest-rate model with a cash-flow projection model. The model supports both outer real-world simulations and inner simulations for determining basic own funds. It has also been calibrated for all trading days from September 2016 to December 2023 and allows the use of direct and indirect valuation methods, which have been shown to produce consistent results. This talk gives a short introduction to risk modelling for a life insurer under Solvency II, outlines how the openIRM model works, and demonstrates its practical use through a concrete example. Speaker: Mark-Oliver Wolf Moderator: Ernst Visser