Did Romans keep a wax seal copy of people likely to send them a sealed letter?
No, sealing wax weren't used to prove authenticity, but to prove that the letter hadn't been tampered with.
The letters ended with an impression of the wax seal and the receiver could check if the wax seal outside was intact and identical.
But forgery was a great problem in Rome and there were very severe laws against it (Legitimacy and Law in the Roman World). However, for important people it was usual to leave several copies of their wills so they couldn’t be forged (or left one with the Vestals because no one wanted to get caught in the Vestals’ Temple).
The Roman writer Lucian explains the tricks magicians and oracles used. The oracle of Alexandria, Glykos, specialized in knowing, “thanks to the gods,” the content of sealed letters: the priest had learned how to open them with a hot needle without breaking the wax seal.
I think that if authenticity was very important, sender and receiver could have arranged a secret code or even ancient encryption. Cicero complained to his friends that Caesar’s spies knew his handwriting better than them but he could be hiding information in ink-spots, spare letters or any similar method.
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