In order to implement HTTPS inspection, you need to either use Root or sub-CA.
The easiest way to get this to work is to issue a self-signed certificate on your Check Point gateway and distribute it to PCs and servers in your organization via GPO, (or installed manually or scripted).
Alternatively, if you have an established PKI in your organization, you can create certificate in there and import it in Check Point gateways.
If you were thinking about using host certificate purchased from one of the vendors such as Comodo, GoDaddy, etc, this will not work.
I strongly suggest reading HTTPS Inspection FAQ and HTTPS inspection with 3rd party certificate shows browser error .