Julien Masselot

Principal, Head of Capital and Risk

Julien supports a range of general insurance clients in a variety of areas, including capital modelling, internal model validation, risk management, model use, Solvency II and process transformation projects.

With over 15 years in the insurance industry, Julien has managed multiple major model change applications and supported numerous cycles of validations, engaging with regulators and senior management to promote and embed the use of an Internal Capital Model (ICM) for risk management and decision making. 


Significant experience:

  • Business Lead for a large multinational firm’s ICM, ensuring the use, development, maintenance and governance of the capital model 

  • Communicating model results to technical owners and senior management, with regular updates of the capital requirements for the firm 

  • Providing oversight of the model’s development so that it met Solvency II compliance and relevant legal and regulatory requirements, as well as reflecting the firm’s profile and the needs of users 

  • Ensuring the capital model outputs and their limitations were well understood, well communicated and appropriately used by the firm  

  • Presentation of model uses to the Risk Committee and the Board of Directors 

  • Led the first line validation of capital models, performing sensitivity testing, stress and scenario testing, backtesting and analysis of change 

  • Supporting the design of validation test plans with appropriate pass/fail criteria  

  • Extensive experience with regulators and insurance company boards 

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