A proxy signature scheme allows one user to delegate his/her signing authority to another user called a proxy signer in such a way that the latter can sign messages on behalf of the former. Moreover, after verification, the verifier is convinced of the original signer's agreement on the signed message. There exist several certificateless proxy signature schemes in the literature, but all of them are proved to be secure in the random oracle model. However security proof in the random oracle model can only serve as a heuristic argument and does not necessarily imply security in the real implementation. In this paper, the authors present an efficient certificateless proxy signature scheme and prove that their scheme is secure in the standard model.