Actuarial Advisory

Capital, reserving, and model validation

SAM, Solvency II, IBNR reserving, MCEV, ORSA, life insurance valuations, and IFRS 9 for banking. Independent technical review for regulators, audit firms, and in-house actuarial teams.

Capabilities

What I deliver

Capital Modelling

SAM (South Africa) — first-line actuarial function, SCR and own-funds modelling
Solvency II (EU) — standard formula and internal-model workstreams
ORSA — risk-appetite design, stress and scenario testing, governance documentation
Internal capital adequacy reviews and capital-allocation frameworks

Reserving & Valuation

IBNR reserving — chain ladder, Bornhuetter-Ferguson, and Cape Cod across short-tail and long-tail lines
Market-consistent embedded value (MCEV) methodology and calculation
Life insurance valuations — statutory, IFRS, and economic bases
IFRS 9 for banking — expected-credit-loss modelling and stage allocation

Model Review & Validation

Independent model validation for internal committees and external stakeholders
Technical review supporting regulators, audit firms, and second-line risk teams
Gap analyses against Solvency II / SAM / IFRS standards
Methodology benchmarking across jurisdictions and lines of business

Governance & Regulatory

Methodology papers, model-change logs, and documentation suites
Board and audit-committee walkthroughs — technical translated for non-specialists
Regulator Q&A preparation and response drafting
Peer review and second-opinion support for audit and actuarial functions

Case studies

Representative engagements

Client names are anonymised. Each card is representative of multiple engagements — the note below each card indicates the wider delivery footprint.

Southern Africa

Life insurer · EV methodology + calculation model

Designed and delivered market-consistent embedded-value methodology and calculation model for a new life book.
Risk-free yield-curve selection, assumption setting, and data-quality review across policy and valuation feeds.
Methodology paper, EV calculation model, and signed EV report delivered and handed to in-house finance.

Outcome: signed EV report and documented methodology; model handed over for ongoing in-house use.

Representative of 2 embedded-value engagements for Southern African life insurers.

South Africa

Reinsurer · SAM first-line actuarial function

Established SAM-aligned first-line actuarial function replacing an outgoing provider — implementation through steady-state BAU.
Capital-adequacy modelling, own-funds breakdown, and ORSA narrative delivered to board and regulator.
Reserving review and methodology refresh across lines of business, with audit-ready documentation.

Outcome: multi-year first-line actuarial retainer; SAM returns and ORSA report delivered to the Prudential Authority.

Representative of SAM and Solvency II first-line actuarial engagements across SA and EU insurers.

Multi-jurisdiction

Independent model validation · audit-firm and regulator support

Independent validation of actuarial and risk models on behalf of audit firms and second-line risk functions.
Gap analyses against Solvency II, SAM, and IFRS standards — benchmarking assumptions, methodology, and documentation.
Technical review deliverables including validation reports, board walkthroughs, and regulator Q&A responses.

Outcome: validation findings accepted by audit committees and regulators; remediation roadmaps handed to client actuarial teams.

Representative of 4+ model-validation and technical-review engagements across SA, EU, and ASEAN.

Methodologies & Standards

Frameworks applied

SAM (South Africa)

Solvency Assessment & Management — first-line actuarial function, SCR modelling, own-funds breakdown, and ORSA narrative delivered under Prudential Authority requirements.

Solvency II (EU)

Standard formula and internal-model workstreams — capital modelling, technical provisions, risk margin, and ORSA governance aligned with EIOPA expectations.

MCEV Principles

Market-consistent embedded-value methodology and calculation — risk-free yield curves, frictional costs, and required-capital framework for life insurance valuations.

IFRS 9 (Banking)

Expected-credit-loss modelling and stage-allocation review for banking IFRS 9 frameworks — methodology benchmarking and validation support.

IBNR Reserving

Chain ladder, Bornhuetter-Ferguson, and Cape Cod methods across short-tail and long-tail lines; reserving methodology papers and peer review.

Delivery partner

Engagements on this page are delivered in partnership with Virtual Actuary. Virtual Actuary is the delivery vehicle; strategic direction, scoping, and technical leadership sits with me.

Start an engagement

Ready to scope an actuarial advisory engagement?

SAM or Solvency II capital, IBNR reserving, MCEV, model validation, or regulator support — book a call to discuss the scope.

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Writing on this topic

sam12 Apr 2023

Climate Risk and Solvency Capital: Capability Gaps vs Regime Gaps

The Bank of England's distinction between capability gaps and regime gaps — and what it implies for SAM, Solvency II, and climate capital add-ons in South Africa.

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climate-risk27 Mar 2024

Scenario Analysis vs Stress Test: Two Tools, One Climate Question

Scenario analysis and stress testing get used interchangeably in climate-risk reporting. They are not the same tool. The difference matters for ORSA, IFRS S2, and any serious view of climate resilience.

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climate-risk6 Mar 2024