Solvency II capital calculation processes are computationally intensive, and require sufficient time for performance of runs, models and analysis. For capital optimization purposes, speed is also key in this aspect. Machine Learning (‘ML’) models like deep neural networks and ensemble methods provide faster and accurate approximations, enabling real-time assessments under stress scenarios and supports optimization by identifying key risk drivers and improving capital allocation strategies across business lines through predictive analytics and reinforcement learning.

Jeffrey Hennen is Lead Actuarial Consulting at Oliver Wyman. Key expert in Solvency II, ALM, and capital optimisation.

Stan Bergkamp is a Consultant at Oliver Wyman. Key expert in Insurance, and Artificial Intelligence.