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STAY TUNED! If you are anticipating additional search filters by attribute and level to align with the CAS Capability Model, it is coming later this Summer. As the CAS begins to code recorded sessions by specific attributes and levels (starting with the 2023 Annual Meeting), these will be tagged in the CAS database of presentations going forward and should be searchable.
But you may use the Capability Model now to help you identify topics. For example, if you want to move up one level under the content area “Functional Expertise,” you may search topics in the particular functional area to expand your knowledge.
Recorded content is searchable by Capability Model attribute and level in the CAS Online Library.
Actionable Predictive Learning for Insurance Profit Maximization
Predictive modeling is a core strategic capability of many top insurers. The common goal of predictive models is to achieve high accuracy in predicting the value of an outcome measure based on a number of observable policyholder characteristics. However, in many important settings, in addition to the observable characteristics, the insurer may proactively decide to implement an action that affects the outcome of interest (such as a rate change or a marketing intervention activity). In this context, the goal is not necessarily to predict the outcome with high accuracy, but to estimate the expected change in the outcome as a result of the action at the individual policyholder level. This estimate allows us to derive optimal future actions. An optimal action is the one that maximizes the probability of a desirable outcome. We will discuss statistical methods aimed at selecting optimal actions in the context of pricing, insurance marketing and insurance profit maximization.
Source:
2014 Ratemaking and Product Management Seminar
Type:
Concurrent Session
Moderators:
David Holland
Panelists:
Leo Guelman, Montserrat Guillen
Workers Compensation—State of the Market
An overview of the current state of the workers compensation line will be presented, including a review of financial results, recent trends, and a discussion of where the line might be headed.
Source:
2014 Ratemaking and Product Management Seminar
Type:
Concurrent Session
Moderators:
David Holland
Panelists:
Brent Otto, Tony DiDonato
Workers Compensation Ratemaking–An Overview
The panel will review the essential components of a typical rate filing from the perspective of the NCCI, other bureaus, and from the view of companies in loss cost jurisdictions. The discussion will highlight coverages, exposure bases, and data sources used for workers compensation ratemaking.
Source:
2014 Ratemaking and Product Management Seminar
Type:
Concurrent Session
Moderators:
David Holland
Panelists:
Jay Rosen, George Busche, Mary Gaillard
Workers Compensation Insurance: A State and Federal Perspective
There are a myriad of issues both directly and indirectly impacting workers compensation insurance. From terrorism risk insurance to prescription drugs, 2014 is sure to see a great deal of legislative and regulatory activity at the state and federal levels. This session will provide a deep dive into the most timely and relevant issues impacting workers compensation insurance.
Source:
2014 Ratemaking and Product Management Seminar
Type:
Concurrent Session
Moderators:
David Holland
Panelists:
Tim Tucker, Peter Burton, Lori Lovgren, Doug Holmes, Baird Webel
Using Predictive Modeling Beyond Ratemaking (i.e., Product Management, Underwriting, Agency/Sales Management, etc.)
We have used predictive modeling to help market the most profitable segments of a book with the highest closing ratio, underwrite the least profitable, identify underperforming agents and reward most profitable agents, and for many other things across Homeowners, Auto, WC, and other lines. Let's share ideas about what you have or would like to use predictive modeling for and learn from each other.
Source:
2014 Ratemaking and Product Management Seminar
Type:
Concurrent Session
Moderators:
Michael Henk
Using Adjuster Notes & Text Mining for Auto Insurance Predictive Analytics
Distracted driving attributed to cell phone use and driving under the influence of drugs (DUID) are attracting considerable attention from law-enforcement officials, automobile insurers, vehicle safety experts, healthcare professionals, and policymakers. Recently, the National Highway Traffic Safety Administration (NHTSA) issued a policy statement recommending that states prohibit novice drivers from using electronic communication devices (including cell phones). A 2007 survey by the NHTSA found that 16.3 percent of nighttime drivers tested positive for legal or illegal drugs. The survey was not part of an enforcement initiative but a random, roadside study.
This session will (1) explain how text data can be extracted and organized to gather information not readily available in structured data and (2) demonstrate how information captured in unstructured data can improve the results from multivariate, predictive analytics. The objective will be to demonstrate how the results from predictive analytics can be improved using data that are usually not readily accessible to the analyst (because text data is in an unstructured form).
Source:
2014 Ratemaking and Product Management Seminar
Type:
Concurrent Session
Moderators:
Michael Henk
Panelists:
Philip Borba
Predictive Modeling Workshop
A Laptop and pre-seminar preparation is required for this workshop.
This popular, hands-on and interactive predictive modeling workshop has been offered by Jim Guszcza at CAS meetings for many years. This year’s presenters plan to cover essentially the same material as did Mr. Guszcza. The course is designed for beginners, and will exclusively the R statistical computing language, widely adopted by statisticians and data scientists.
The course will provide a refresher of regression theory before proceeding to a variety of practical modeling applications and case studies. The focus will be on General Sessionized linear models (GLMs) – specifically their specification, interpretation, and validation. A variety of regression types will be covered, including classical, Poisson, logistic, gamma, and Tweedie. Other topics will be discussed and illustrated as time permits. All datasets will be distributed to attendees prior to the seminar.
Important note: familiarity with R is assumed. An "introduction to R" presentation will be distributed before the seminar, containing installation instructions. While R beginners are encouraged to attend, they should prepare sufficiently before the workshop to develop a comfort level with the language. This workshop has been designed for beginning predictive modelers, but more experienced modelers seeking a refresher or a deeper working knowledge of R have attended past workshops and expressed satisfaction with the coverage of topics.
Now for more detail.
The workshop begins with a refresher of ordinary least squares (OLS) regression, and then motivates the General Sessionization of GLMs. Students will practice specifying model forms, including link functions, distributions, weights and offsets. Additional topics include grouped data and nonlinear transformations. Small “textbook” case studies illustrate the concepts and build familiarity with R.
The mechanics and methodology of modeling are treated next. Variable selection and model validation concepts will be illustrated using case studies. Also covered: graphical analysis of model fit, model diagnostics such as residual analysis, analysis of deviance, and F-tests. Model validation topics will include lift curve analysis, bootstrapping, and cross-validation.
Finally, a more in-depth case study will illustrate how to convert a business problem into an appropriate model design; data preparation; the “level” of analysis; target variable specification; GLM-based modeling of frequency, severity, and pure premium; missing values; exploratory data analysis; variable selection and transformation; multicollinearity; interpretation of model parameters and diagnostic output; nested model comparison; and evaluation of model segmentation power. Other topics will be discussed as time permits.
Source:
2014 Ratemaking and Product Management Seminar
Type:
Concurrent Session
Moderators:
Thomas Hartl
Panelists:
Glenn Meyers, John Baldan, Mark Goldburd
Value-Based Pricing
What Do People Buy? It is a deceptively simple question: What are we getting paid for? Still, many businesses arrogantly assume they know what their customers want and believe they have been giving them exactly for years. This is a myopic vision, and potentially harmful. This roundtable will be a thought-provoking discussion, focusing on buying behaviors of consumers and businesses and their impact on the insurance industry.
Source:
2014 Ratemaking and Product Management Seminar
Type:
Concurrent Session
Moderators:
Thomas Hartl
Professionalism and Predictive Modeling II
During the past decade, predictive modeling has increasingly become part of many actuaries’ job descriptions. Whether building predictive models, implementing them with business partners, or supporting them in rate filings, actuaries are often asked for their opinions on issues that relate to the ethics of the profession. This session was given at previous RPM seminars. This year, the interactive format will remain the same, but the content has been changed. We will discuss all-new scenarios that touch on common issues around predictive modeling, and how those issues relate to the Code of Conduct, Statement of Principles, and Standard of Practice. Audience participation in these discussions will be encouraged!
Source:
2014 Ratemaking and Product Management Seminar
Type:
Concurrent Session
Panelists:
Claudine Modlin, Kevin Mahoney
Ask a Regulator
During this session, each member of a panel of regulators will field questions about current issues, the rate regulation process in their state, and other concerns raised by the audience. “Hot Button” issues will also be identified and discussed. A roundtable group discussion will follow, with audience participation strongly encouraged. The differences and the similarities in regulatory approach will be highlighted.
Source:
2014 Ratemaking and Product Management Seminar
Type:
Concurrent Session
Moderators:
Thomas Hartl
Panelists:
Cara Blank, Kathryn Koch, Thomas Hess, Lynne Wehmueller
Rate Assessment
Rate structures are becoming more and more complex. One of the harder challenges is getting internal acceptance associated with the structure. Oftentimes the socialization of the new product can be one of the longest phases in a rate structure change. In this session we will discuss different ideas in prospectively assessing the new pricing as well as retrospectively monitoring the results.
Source:
2014 Ratemaking and Product Management Seminar
Type:
Concurrent Session
Moderators:
Thomas Weist
Novice Drivers and Experience Rating Mechanisms in Auto Insurance
Sustainable insurance pricing requires that premiums collected cover the losses generated by policyholders, insurer expenses and provide an adequate rate of return. The two mechanisms for allocating these costs across policyholders are social pricing and risk-based pricing.
In implementing risk-based insurance pricing, insurers set premiums based on observable characteristics that are correlated with loss experience and group drivers into categories, charging the same base premium within a category. Even in jurisdictions with social pricing, an accurate predictor of an insured’s future losses is past driving history. Insurers use experience rating to assign drivers to risk classes where the premium reflects the driver’s past driving history.
Experience rating cannot be used for novice drivers because they have no driving history, and how jurisdictions price insurance for these drivers may create availability or affordability problems. In many jurisdictions, the premium charged for novice drivers is not distinguished from the premium charged for higher-risk drivers. Other jurisdictions have developed mechanisms to promote affordability. Examples include lower state-prescribed rates for novice drivers, risk-sharing pools for novice drivers and increasing the number of driver risk categories. We summarize these different mechanisms that are commonly used in North America, Europe and Australia.
We examine the impact of these different rating mechanisms on novice drivers. We use stochastic modeling to abstract from jurisdiction-specific policy provisions models. Drivers in the system are assigned a constant annual at-fault accident rate intensity drawn from a distribution of accident frequencies and move between the driver risk categories according to their driving history. Transition probabilities between the states arise from the movement of drivers according to their claims histories and the experience rating mechanism. We calibrate our model using data on accident frequency by driver risk class and by numbers of years licensed collected by the General Session Insurance Statistical Agency in Canada. Using a constant severity per claim, we derive the expected losses for the entire portfolio of drivers and for each driver risk category. For each experience rating mechanism, we calculate the actuarially fair base premium and the driver risk class differentials. We then compare the different systems with respect to fairness to both novice and experienced drivers.
From a policy perspective, the point to emphasize is that mechanisms that promote affordability should not lessen incentives for safe driving but should strengthen the responsiveness of insurance premiums to driving history. This will reduce moral hazard and adverse selection.
Source:
2014 International Congress of Actuaries
Type:
Concurrent Session
New Developments in the Modelling of Longevity Risk
This talk will review recent developments in the modelling of
longevity risk. Of particular concern is the need to develop
models that are fit for purpose. Applications range from
simple risk assessments for single annuity populations, through
to more complex situations that involve multiple populations.
We will discuss how to resolve the conflict between the
need for complexity at the level of individual populations
versus the need for robustness in forecasting.
Source:
2014 International Congress of Actuaries
Type:
Concurrent Session
New Customers: New Propositions
New Customers: New Propositions
The life insurance industry is always subject to change but since the financial crisis of 2008/9 there has been added impetus to adapt: new markets, better products, improved processes, different channels. Against a background of "flat growth" providers are looking to the so-called "middle market". Who is this mythical middle market, what are its expectations and how can providers align insurance propositions with their customers' needs?
This presentation will highlight the challenges faced by the life market and how reinsurers can and do support insurers with innovation, data insights, a global view and shared best practices.
We will explore the makeup of the "middle market", highlight why it's important for growth, what the benefit is to society (by analysing the protection gaps) and where the opportunities lie. This will include key concepts such as the protection gaps, the importance of easy-to-buy policies, how to mitigate the potential anti-selection; as well as what support reinsurers can give in terms of pricing, product development, predictive models and underwriting and claims technology.
We will look into how reinsurers have supported insurers with campaigns aimed at the "middle market". The case studies will help us illustrate the importance of understanding the market in order to assess the optimum solution to improve customer value and access; and then show examples of how automation, simplified policy issue and predictive analytics (which models and techniques could be used and which expected and unexpected variables emerge as predictive) were used to open up new markets, improve ease of purchase, and provide protective value for the customer.
Source:
2014 International Congress of Actuaries
Type:
Concurrent Session
New Brunswick Shared Risk Plans
The New Brunswick Shared Risk Pension system is an amalgam of the Dutch pension concept and the market consistent risk based management concepts used by Canadian financial intermediaries. Unlike the Dutch system which was designed to promote defined benefit continuation starting with a relatively healthy pension plans, the defined benefit pension plans converted to under the shared risk pension regime were underfunded and sometimes significantly underfunded. The principal goal of the shared risk regime is to encourage troubled defined benefit plans to continue sound mortality risk sharing by "getting ahead" of the improvements in the mortality curve while also imposing strong risk measurement criteria (no future reduction in base benefit expected at least 97.5% of the time measured over 20 years in the future and attainment of "target benefit" objectives at least 75% of the time over 20 years in the future). Both member and sponsor contributions are set to obtain these objectives and can only vary by a small predetermined amount in the future. Contingent benefit increases or decreases absorb all other future financial volatility.
The New Brunswick government is agnostic as to what level or type of pension benefits are provided in a pension plan. It sees its role as trying to ensure that indicated base and target pension benefits are delivered in the future with a high degree of certainty. To this end, it requires annual calculation of a proxy for risk based capital called the "open group funded ratio" the level of which determines future pension benefits and future pension contributions.
Source:
2014 International Congress of Actuaries
Type:
Concurrent Session
New Annuity Concept with Coverage against Serious Illnesses and Long Term Care
The new regulation on unisex insurance provides various opportunities for the product development. With regards to this matter, there is a broad discussion on how enhanced annuities from the UK market can be considered as an alternative solution to traditional annuity products. To date, these products were not successful on the Central European market since it seems like a bet on the premature death. In such cases, critical illness policies have been considered and preferred.
Furthermore, enhanced annuities are no solution to the longevity risk of those who did not yet suffer a serious illness before entering the contract.
The General Sessioni Life Insurance AG has investigated the framework under which enhanced annuities could be successful. The result is a combination of the advantages of the enhanced annuity and the critical illness insurance concept.
Starting point is a flexible deferred annuity where the savings accumulation period is followed by a flexible pay-out phase ending at the age of 85. The final retirement starts after the pay-out phase.
If the customer suffers a serious illness such as cancer, heart attack or stroke in the flexible pay-out phase the client can claim a lump-sum benefit of at least 20 percent of the contract value as financial aid which is guaranteed at the commencement of the insurance. The original annuity amount and the annuity start date remain unchanged. In case of later occurrence of long-term care an additional increase of the monthly annuity can be claimed.
This concept has been realized by close interaction of different calculation elements such as an adjustment of the mortality table and a changed form of profit participation.
To our knowledge this product approach is unique in its intention as well as in its actuarial design.
Source:
2014 International Congress of Actuaries
Type:
Concurrent Session
National Health Insurance Schemes In West Africa
National Health Insurance Schemes in West Africa:
Overview and its opportunities for the development of the actuarial profession in the region
Some West African Countries (Ghana in 2003, Ivory Coast in 2006 and Benin in 2012) have made significant efforts by introducing National Health Insurance Schemes but the response in terms of growth is still very limited.
In this presentation in English, we explore the different National Health Insurance Schemes in the region and the challenges that lay ahead of the initiators and actuaries in the years to come.
We also show how the actuarial association “Ecole Superieure d’Actuariat” and the National Health Insurance Authority of Benin (ANAM) are trying to collaborate for a viable and sustainable health insurance industry in Benin in the interest of the people as well as for the development of the actuarial profession.
We also explore the potential applications of the experiences made in Benin to other countries in Africa.
Source:
2014 International Congress of Actuaries
Type:
Concurrent Session
Mortality Trend in Bangladesh  Life Insurance Perspective, Phase II
Bangladesh has the highest population density in the World. As per recent Demographic data its current population is about 150 million, 61.4% of the total Population are in the age structure 15-64 Years, Life expectancy 60.25 Years.
According to Bangladesh Insurance Association (BIA) Year Book 2011 - Life Insurance market grew at an impressive rate of 26.7%. Whereas the penetration (Premium as a % of GDP) remains low at 0.7% for Life Insurance.
Bangladesh Economy is vibrating. Life Insurance Policies become popular in Bangladesh day by day. So there is a bright prospect to enhance the Life insurance Service in Bangladesh. There are 18 Life Insurance Companies operating the service. Traditional, Typical products are mainly issued and the range of Life Insurance products are limited. The necessary and important products for the civilian like Health Insurance is mostly neglecting. An exclusive confidential study leads that the Life expectancy is growing up where as the Life Insurance Industry’s Premium rate is higher instead of decreasing and the benefits are lower. There are several reasons for these anomalies - it happens mostly because actuaries are using different Life Tables of the other region which are backdated also. Bangladesh Life Table is the fundamental requirements for the actuaries and Life Insurance Industry now a days. Unfortunately it unprepared. Some young energetic actuary students in Bangladesh are trying to prepare a Bangladesh Life Table. Last five years they engaged themselves to find the Mortality Trend of Life Insurance in Bangladesh which shows the recent Mortality Trend.
Source:
2014 International Congress of Actuaries
Type:
Concurrent Session
Mortality of People Entitled to Pensions and Pension-Type Benefits (Poster Session)
This study deals with mortality of Hungarian beneficiaries partaken pay-as-you-go pensions or
pension-type benefits. It shows the used data (number and mortality rate of
pensioners, mortality by ages, distribution of periods in the pension
system) by accentuated main benefits (old-age and disability pensions). The
paper examines the pensioners’ mortality, assigns mortality probabilities
and the residual life expectancies for several ages by sex and types of
benefits. It pans out about the regular Hungarian retirement age ( 60, 62, 65 ).
Source:
2014 International Congress of Actuaries
Type:
Concurrent Session
Mortality Issues And Regulatory Challenges In Sub-Saharan Africa (CIMA Region)
CIMA (Conference Interafricaine des Marches d’Assurances) is an International Organization in charge of Regulating the Insurance Industry within fourteen countries in Africa. Created in 1992, the Institution appear today as a great example of a successful inclusion experience among countries.
Most of the State members are underdeveloped countries with very limited actuarial experience. The regulator inherited the laws and technical support from some western countries, leaded by France. For many years, Life Insurance companies have been forced to use an old French mortality table (PM 60-64) for pricing and reserving. In September 2012, CIMA has issued new mortality tables (CIMA H and CIMA F) with data from some Insurance Companies of the Region. This new tables that come into force in January 2013 will definitely carry out some critical challenges for the whole industry. Some critics are already registered concerning the inadequacy of theses tables in a such multi-cultural context.
Although the initiative is very worthy, it rise some important issues about the ability of the African markets to develop their own tools of Risks Assessment and Management. Moreover, the need for a strong actuarial expertise is evident in this Region. A solid partnership between the Regulator (CIMA) and independent actuaries could enable the mandatory of some products like the Whole Life Insurance for Microinsurance, similar to Car Insurance for Non-Life Insurance.
Thus, there is a huge room of opportunities for the actuarial profession in Africa, the new Eldorado. The Regulation of the Insurance must be more intrusive taking into account Models validation by the supervisor, setting Standards of practices, profit testing to prevent corporate insolvency or systemic crisis, regulating the insurance business on the Internet…
Source:
2014 International Congress of Actuaries
Type:
Concurrent Session
Mortality - Meaningful Sensitivity Disclosures
It is common to disclose the expected mortality experience of a writer of life insurance or annuities. However, the user of that information also needs to recognize the effect of alternative scenarios. To provide useful information, these scenarios are not necessarily always the same, that is for example, they may involve the level, the expected change or shocks. The objective of this paper is to explore the needs of users for this information and propose one or more sets of types of scenarios that may prove useful information for the audiences of this information.
Source:
2014 International Congress of Actuaries
Type:
Concurrent Session
Modelling the Liquidity Risk Premium on Corporate Bonds
This talk will discuss the different methods that can be used
to assess the liquidity risk premium (LRP) component of credit
spreads on corporate bonds. We will focus on two techniques.
First, the LRP can be modelled in a number
of different ways and we will discuss progress with regression
techniques where a proxy for the LRP is regressed against various
observeable market variables. Second we will look at how structural
models for credit risk can be developed to incorporate bid-ask
spreads. We will use the latter as a pedagogical tool to
derive stylised facts about the nature of the LRP.
Joint work with:
Alex McNeil, Paul van Loon
*Awarded ERM/Financial Track Prize
Source:
2014 International Congress of Actuaries
Type:
Concurrent Session
Modelling Tail Dependence with Multivariate Skew T-Copula
Copula is defined as a joint distribution of random variables with uniformly distributed marginals. Several classes of copulas have been constructed which have different mathematical properties. One very important property of a copula is tail dependence. Mathematically answer to question will a large loss of X enlarge the probability that Y also will be large is characterized by the limit of the conditional probability P (Y|X) when value of X tends to infinity, Y is greater or equal to X. The limit is the characteristic of tail dependence. It has been proved that for the Gaussian copula which is constructed from multivariate normal distribution, this limit equals to zero. This property makes Gaussian copula not suitable for many financial applications. In the paper Kollo, Pettere (2010) skew t-copula is constructed. The construction is based on the multivariate skew t-distribution. First applications have shown that the copula can successfully be used in practice. However, we have not been able to get an analytic expression for the tail dependence. To get some idea about the tail behavior of the copula we have carried out a simulation experiment. The results of simulation will be presented in the talk.
References • Kollo T., Pettere G. Parameter Estimation and Application of the Multivariate Skew t-Copula. Copula Theory and Its Applications. Proceedings of the Workshop Held in Warsaw, 25-26 September 2009, Springer, 2010, p. 289-298.
• Petere G. , Kollo T. Future cash flow modelling using copula approach. http://www.ica2010.com/paper_downloads.php, Non-Life Insurance (ASTIN) No74.
Source:
2014 International Congress of Actuaries
Type:
Concurrent Session
Modelling Premium Risk for Solvency II: From Empirical Data to Risk Capital Evaluation
Solvency II will introduce economic risk-based solvency requirements for insurance companies across all European Member States for the first time. These new solvency requirements will be more risk-sensitive than in the past, thus enabling a better coverage of the real risks run by any particular insurer. Focusing only on technical risk, that has usually the greatest impact on the capital requirement for Non-Life insurers, particular attention need to be paid to estimate the distribution of aggregate claim amount. A collective risk model is usually chosen with a separate evaluation of frequency and severity distribution. At this regard many works show that standard parametric model does usually not provide an acceptable fit to both small and large claims of severity distribution. Focusing on a common case study (the Danish fire claims provided by McNeil), actuarial literature proposed several approaches based on the use of mixture and combined distributions calibrated with a Maximum Likelihood Approach. The target is to extend these results by exploring the performance of the Minimum Distance Approach (MD) to fit pure, mixtures and spliced distribution compared to Maximum Likelihood Approach. In particular we extend the classical MD approach by introducing alternative loss functions and weights on the empirical data. This topic is relevant in the actuarial literature in order to analyse the impact of a threshold to separate attritional and large claims in estimating the claim size distribution to be used for risk capital evaluation as requested in premium risk by Solvency II.
Source:
2014 International Congress of Actuaries
Type:
Concurrent Session
Measuring Herd Behavior in Financial Markets
In this paper we introduce different measures for the strength of the co-movement between dependent random variables. In a first part, we show how the distribution of the sum can be used to characterize a random vector. We give an interpretation in a utility framework and using distorted expectations.
The distribution of the sum and the theory of comonotonicity are the main ingredients to construct a set of dependence measures, called herd behavior measures. These measures can be used to derive indices for the co-movement between stock prices. Each index is model-free and based on option price data. It represents the expectation of the market about future co-movement between stock prices.
Source:
2014 International Congress of Actuaries
Type:
Concurrent Session
