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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.
The Entrepreneurial Actuarys Different Way of Thinking
We’ll start with asking & answering questions related to “What is entrepreneurship?” and “Who is an entrepreneur?” Spoiler alert – everyone can be an entrepreneur, regardless of title, employer, career history, and training/education! We’ll also dive deeper into topics related to the Entrepreneurial mindset and Entrepreneurial motivations and behaviors. Within that discussion, particular focus may be directed to the process for identifying opportunities, threats, influences, and disruptive forces within an industry, and how to ascertain who may be best suited to respond to those factors (e.g., entrepreneurs within larger corporate settings, smaller entrepreneurial companies, or entrepreneurs on their own?).
Source:
2014 International Congress of Actuaries
Type:
Concurrent Session
The Effect of Observation Errors on the Assessment of Insurance Losses due to Seismic Activity
The paper discusses the development of several procedures for estimating parameters of statistical models, by making allowances for the errors inherent in observed data and applying this to a data set describing the South African insurance landscape. The classical assumption that the real observation is a sum of two random variables, namely the actual (true) value of the observed variable and observational error, is considered. Most often the error is assumed to be distributed as Gaussian noise; however, other distributions for the error function may sometimes offer better approximations. The paper considers the Laplacian distribution as an additional option. The approach is applied, for both assumptions as well as for other well-known methodologies, to estimate parameters of the frequency-magnitude Gutenberg-Richer relation, which describes the distribution of different sizes of earthquakes. The implications of the newly derived estimation procedures for the insurance industry are also discussed. This pertains specifically to the estimation procedures serving as a means to improve the hazard at risk for short term property reinsurance caused by earthquakes. A discussion of the probabilistic seismic risk assessment methodology and an application to the South African insurance landscape underpins the above investigation.
This paper will summarise the findings of research that is currently being conducted. In terms of the Congress, the paper will aim to discuss the statistical findings and focus on the implications for the insurance industry, particularly pertaining to short term property insurance. This is expected to be done by means of a presentation with the opportunity for discussion afterwards.
Keywords: Observation errors, parameter estimates, reinsurance, earthquake magnitudes, catastrophe insurance, probabilistic seismic risk analysis
Source:
2014 International Congress of Actuaries
Type:
Concurrent Session
The effect of HIV AIDS on Life Insurance business in Kenya
The Effect of HIV AIDS on Life Insurance Industry in Kenya
Since its onset in 1984 when the first case was reported, HIV AIDS has become a major determinant in the running of the Life Insurance industry. Its effect range from marketing, underwriting claims, reserving, pricing and much more. This presentation will consider the extent to which these areas have been impacted by the pandemic.
After more than 25 years data and experience has been amassed and in light of these the presentation will further consider any adjustment possible for the future success of the industry. The current penetration rate stands at 3.2% and though this cannot be entirely as a result of the pandemic, changes of in the above areas of life business would most likely provide welcome results for the industry players and the consumers.
Source:
2014 International Congress of Actuaries
Type:
Concurrent Session
The Development of the Actuarial Profession in Macedonia
The actuarial profession in Macedonia is finally at a stage when people recognize the profession, the need of actuaries and the recognition is from a broad audience. Several changes to the educational system have been made, the role of the supervisor is strengthened and the role of the association is going upwards. What are the next steps for developing the profession, what's the sufficient number and quality of the actuaries meeting the new chalenges of the profession, when a country as small as Macedonia is in question? Are there additional changes to the education system that might be made and are a better solution for the practical knowledge of the future actuaries? What's the role of the universities in improving the profession? These and other questions are to be answered in the discussion.
Source:
2014 International Congress of Actuaries
Type:
Concurrent Session
The Cramer-Lundberg and the Dual Risk Models: Ruin, Dividend Problems and Duality Features
In the present paper we study some existing duality features between two very known models in Risk Theory. The classical Cramer–Lundberg risk model with application to insurance, and the dual risk model with (some) financial application. For simplicity the former will be referred as the primal model. The former has been of extensive treatment in the literature, it assumes that a given surplus process has constant deterministic gains (premiums) and random loses (claims) that come at random times. On the other hand, the latter, called as dual model, works in opposite direction, losses (costs) are constant and deterministic, and the gains (earnings) are random and come at random times. Sometimes this one is called the negative model. Similar quantities, with similar mathematical properties, work in opposite direction and have different meanings. There is however an important feature that makes the two models quite distinct, either in their application or in their nature: the loading condition, positive or negative, respectively.
The primal model has been worked extensively and focuses essentially in ruin problems (in many different aspects) whereas the dual model has developed more recently and focuses on dividend payments. I most cases, they have been worked apart, however they have connection points that allow us to use methods and results from one to another, basically from the first to the second. Identifying the right connection, or duality, is crucial so that we transport methods and results. In the work by Afonso et al. (2013) this connection is first addressed in the case when the times between claims/gains follow an exponential distribution.
We can easily understand that the ruin time in the primal has a correspondence to the dividend time in the latter. On the opposite side the time to hit an upper barrier in the primal model has a correspondence to the time to ruin in the dual model. Another interesting feature is the severity of ruin in the former and the size of the dividend payment in the latter.
Source:
2014 International Congress of Actuaries
Type:
Concurrent Session
The Challenge of Longevity Risk
The challenge of longevity risk in an ageing society comes from the accumulation of a long-dated systematic risk.
The insurance sector currently provides risk transfer capabilities but ultimately the exposure is greater than the capacity of the insurance sector to support the risk.
The presentation/discussion will cover
- The existing supply of longevity risk and implications for current holders - governments and corporates
- Demand for longevity risk transfer to the insurance industry (drivers for risk transfer)
- Longevity risk transfer via insurance and reinsurance (the means of risk transfer)
- Management within the insurance sector of that risk and (capital and risk management)
- Challenges on transfer to the wider capital markets and successes to date in that field.
Source:
2014 International Congress of Actuaries
Type:
Concurrent Session
The Affordable Care ActA Summary of Its Effect on the System for the Finance and Delivery of Health Care in the US: The State of the States Before and Shortly After
This presentation will focus on the current state of the US health care system, its recent history, and where it is going, specifically as it relates to the Affordable Care Act (ACA) and the improvements this legislation intends to achieve. Key concepts will include the problems posed by access, cost, and quality—particularly, the exacerbation of the uninsured problem in the 20 years prior to the ACA, the growth in per capita cost at a rate roughly double that of CPI, and the continuing emphasis on improving quality and outcomes. This presentation will also concisely explain how the ACA addresses these issues.
The ACA could not have been implemented without the development of actuarial tools, such as risk adjustment, that foster social equity and fairness among competitors in a market-based managed competition approach. Given the size of the US and complexity of the current fragmented system, the scale of the undertaking of the ACA is extremely large. The interplay between state vs. federal government will be considered, as will state-specific variations in the roll-out of reform and exchanges.
A brief overview of the multi-payer US system will be provided, as will the changes in the number, scale, and organizational structure of payers and providers due to the ACA, such as the rise in Accountable Care Organizations, Patient-Centered Medical Homes, and cooperatives. The effect of the ACA on national, regional, and community health plans, which each have different strengths and weaknesses, will also be touched on.
The international problem of cost-growth created by advances in medical technology and longevity will also be presented, as it affects all nations.
The presentation will also consider in detail the recent efforts in Massachusetts to address cost growth. Massachusetts is home to the most expensive health care in the country and perhaps in the world. The presentation will review recent legislation and initiatives both by government and the industry to ‘bend the cost curve.’
Source:
2014 International Congress of Actuaries
Type:
Concurrent Session
The Actuarial Profession in Developing Countries: South America
Actuaries Without Borders is the IAA section whose mission is to promote the public good globally, focusing on countries that lack the actuarial expertise needed to create productive, sustainable, and stable markets for insurance and other risk mitigation products, and the resources needed to develop the actuarial profession. In such countries, our volunteers serve as actuarial educators and mentors, working with actuarial associations, public entities, governmental organizations, and NGOs. Our panel will bring together volunteers and the local actuaries who have benefitted from their services in three recent AWB projects. Panelists will discuss how the various projects were conceived and developed and how they benefited actuaries and promoted the actuarial profession in the specific countries. The session will seek to provide insights both for actuaries from countries with a developed profession who work or plan to work in countries where actuaries are less experienced and for actuaries in those countries who would like to benefit from the mentoring of more experienced actuaries. Participation by members of the audience will be greatly encouraged.
Source:
2014 International Congress of Actuaries
Type:
Concurrent Session
The Actuarial Profession in Bangladesh  Challenges and Prospects
Actuarial Service is essential in Life Insurance Company for Product Designing, Pricing, Mortality Investigation, Reserve Calculation, Valuation etc. But surprisingly in the last four decades the Actuarial Profession in Bangladesh was limited in pricing & valuation only to meet up the Statutory issue. Notable that there were 3 or fewer Actuarial desks in the Life Insurance Industry since 30 March 2012.
After independence of Bangladesh in1971 the only state owned Jiban Bima Corporation (JBC) and General Session Insurance Corporation (GIC) were established. In 1984 Private Insurance Companies started their Service. In 2000 there were 18 Life Insurance companies including State owned JBC and foreign ALICO.
Recent statistics 2011by Bangladesh Insurance Association reported that Life Insurance business is expanding at an impressive rate of 26.7%.
Parliament on 03 March 2010 passed two insurance laws in a bid to further strengthen the regulatory and make the industry operationally vibrant. The new laws, came in to on 18 March 2010, are Insurance Act 2010 and Insurance Development and Regulatory Authority (IDRA) 2010.
As per IDRA Circular no. Life 02/2012 it was mandatory to open Actuarial Desk in every Life Insurance Company of Bangladesh. As a result Actuarial Desks were opened and Actuarial Students were engaged in these desks. IDRA also imposed some restrictions to the Actuarial Practice in Bangladesh. Out of 2 qualified actuaries 1st one is the FSA serving as the Chairman of IDRA and another one is AIA the Chairman of JBC as well as the consulting actuary of all most private Life Insurance Companies. The recent demand of the Actuarial service in Bangladesh the actuarial students have to face a lot of challenges and opportunities. This Paper is a step to trace out the Challenges and Prospects of the Actuarial Profession in Bangladesh.
Source:
2014 International Congress of Actuaries
Type:
Concurrent Session
Swiss Re's Pandemic Flu Model
An overview of Swiss Re's pandemic flu model will be provided with a broader focus on infectious diseases, both the understanding of diseases and interventions. The overview of Swiss Re's pandemic flu model will include highlights of why modeling infectious diseases is so tricky.
Source:
2014 International Congress of Actuaries
Type:
Concurrent Session
Swiss Re's Enterprise Risk Management
In our presentation we will talk about Swiss Re's Enterprise Risk Management (ERM) and focus on the following topics: "Risk Tolerance and Appetite", "Risk Limit System", "Use in Strategic Decision Making", "Internal Model Complexity Management" and "Investment Strategies" We will introduce the principles that are established and the processes that are executed within our ERM framework to systematically and comprehensively address risk throughout the Group. Risk Tolerance and Risk Appetite are the basis for risk steering and Risk Limit setting.
The risk-taking activities of Swiss Re are governed by the Group risk policy. We will briefly discuss the cornerstones of this document, namely the Risk Tolerance definition based on targeted capital adequacy in light of extreme loss absorbency capacity and respectability capital.
When – within the boundary of Risk Tolerance – Risk Appetite is articulated, then a Risk Limit Framework can be defined and broken down to appropriate levels within the company. We will discuss the considerations that led to our first level of the risk limit framework.
An important component of ERM is in fact the quantitative assessment of risk, which – when done in an integrated fashion – will typically rely on an internal risk model. Based on the example of Swiss Re's internal risk model, we will discuss the aspect of Internal Model Complexity Management.
Finally we will touch on how we incorporate Investment Strategies in the ERM framework. Here we highlight the consistent integration of the operational investment process into the overarching Economic Value Management framework of the firm.
Source:
2014 International Congress of Actuaries
Type:
Concurrent Session
Sustainable Value: When And How To Grow?
Understanding the main drivers of Value creation is essential to manage efficiently any business. While P&C insurers are used to monitoring their activity according to short term goals, the purpose of our paper is to determine the optimal prospecting and pricing strategy an insurer must adopt to maximize the Value of his business. More precisely, we focus on two questions:
- How to select the most profitable customer segments at a given period
- How the optimal pricing and prospecting strategy varies with respect to insurance cycle.
Our model relies on a Customer-Value metric, defined as the sum of a current policyholder or a future New Business’s economic cash-flows, generated over the remaining lifetime of the policy. We assume that the insurer’s quotes number depends on marketing investment, and that policyholders’ conversion and retention rates depend on the relative premium (the ratio of the insurer’s price to the market’s price). Thus, the insurer's objective function is the sum of the value of his in-force portfolio and his future New Business generations. Our approach differs from Taylor (1986) and Emms (2007) in two ways: (a) pricing optimisation accounts simultaneously for Customer Value and Insurance cycles (b) and marketing spending is considered as a decision variable of the optimization program.
Using a logit demand function, we find a closed-form solution to the optimization program and analyze how the optimal policy varies with respect to customers’ price elasticity, the market price and the current state of the insurance cycle. We also consider the case where the renewal rate depends on price evolution as well as the premium relative to market. A numerical example illustrates the behaviour of the optimal pricing policy in this case.
Furthermore, we provide a case study based on car insurance data, showing the practical uses of our framework: assessing the insurer's Value and building his strategic planning, improving the trade-off between short-term profitability and long-term value creation, as well as identifying customer segments with high value in order to optimize the insurer's marketing and pricing policy.
Reference
Taylor, G. C. (1986). Underwriting strategy in a competitive insurance environment. Insurance: Mathematics and Economics , 5(1), 59-77.
Emms, P., Haberman, S., & Savoulli, I. (2007). Optimal strategies for pricing General Session insurance. Insurance: Mathematics and Economics , 40 (1), pp. 15-34.
Source:
2014 International Congress of Actuaries
Type:
Concurrent Session
Sustainable ERM through Principles of Sustainable Insurance
Abstract
Sustainable development was first introduced in 1987 as ‘meeting the needs of the present without compromising the ability of future generations to meet their own needs’ (UN Brundtland Commission). A vast array of current global economic, ecological, and social challenges necessitates the inclusion of sustainability in risk management. This should be a critical component of ERM strategies which considers environmental and social performance in addition to a corporation’s financial aspect as the three bottom lines (Anderson, 2005).
In June 2012, the Principles for Sustainable Insurance (PSI) were launched at Rio+20 to serve as guidelines for managing Environmental, Social and Governance (ESG) risks and encourage active participation from the insurance industry in response to global challenges. These principles—if practiced by corporations—have the power to ameliorate such problems as climate change, food crises, and economic shocks while providing opportunities to foster competitive advantages. Adoption of the PSI will largely impact the actuarial profession with financial, regulatory and rating agency implications.
This presentation will discuss the benefits, challenges and risks associated with embedding the PSI into an ERM framework. It will provide practical guidelines to incorporate sustainability into the four-step ERM process by Segal (2011): risk identification, risk quantification, risk decision making and risk messaging.
Since climate change is often considered as the most serious threat to global society, examples will be provided to focus on (re)insurance product innovation under the proposed sustainable ERM process as it relates to measures and reactions to climate change. This section will discuss current practices used by leading (re)insurers, including various public-private initiatives, to cover weather-related extreme events.
Lastly, global problems require collaboration among diverse stakeholders. The author would like to advocate the involvement of actuaries in non-traditional fields and use of actuarial expertise in various UN initiatives, like the PSI.
Source:
2014 International Congress of Actuaries
Type:
Concurrent Session
Survival of the Fittest: The Actuary as Modern Dinosaur vs. Preeminent Professional in the New Data-Driven (Business) World
Companies like Google and Facebook have taken data mining and predictive modeling to new heights, analyzing and deploying results real-time. (The presenters cannot stand the targeted ads but respect the analytical power they demonstrate.) Today a company’s value is materially impacted by its ability to effectively and efficiently collect and analyze data, and to develop and deploy 'good' statistical models – even when they are part of an industry like (re)insurance that seems driven primarily by supply and demand. The rise and success of Progressive makes the case.
The quantity of data is growing rapidly with respect to risks, customers and their behavior. Are actuaries evolving in way that will leverage their unique skill set by taking on the challenge of quantifying risk in this ‘brave new [data-intensive] world’? Actuaries have traditionally focused on a specific task; for example, ‘pricing actuaries’ mainly focus on determining the price of an account or a pricing manual and ‘reserving actuaries’ on determining reserve amounts using industry-accepted methods. Their work is, or should be, used to support decision making within the business – from pricing and reserving, to marketing and strategy-setting.
The presenters strongly believe that actuaries should be involved in the entire process – from data to decision – and that they are uniquely equipped to function in a data-driven analytically-sophisticated world. This requires an evolution in how we think about the role of the actuary, moving away from the specific task to framing our work in the context of the era of Big Data where we balance sophisticated analytics with ‘real life’ business needs. Drawing from examples in the fields of P&C and health, they will share their joint learning of the wins (and losses), and their vision for the Actuary as the preeminent professional in the new data driven (business) world.
Source:
2014 International Congress of Actuaries
Type:
Concurrent Session
Supervision of DB Pension Plans: South Africa
Even though Defined Benefit (DB) pension plans are being phased out worldwide, countries like the USA, UK and the Netherlands have a fair amount of DB pension plan liabilities and hence the need for supervision of these plans. In the South African retirement fund landscape, a fair amount of DB pension plan liabilities exist, and the supervision of these plans must be brought in line, as far as it is practical and relevant, with international standards.
The author intends to present a case study on the South African experience as viewed from a prudential supervisory perspective. An overview of the DB pension landscape will introduce the presentation and brief comments will be made about the surplus legislation which was promulgated during late 2001 in terms of which pension plans had to distribute large actuarial surpluses which had accumulated over the years, in stark contrast to many other countries where DB pension plans were experiencing funding crises.
South Africa is now in the post-surplus era and the need arose, in line with international practice, to develop prudential supervisory tools by which DB pension plan liabilities can be regulated efficiently. The presentation will cover the options and suitability thereof within the South African context, and draw on inferences made from acceptable international standards, such as those published by the International Organisation of Pensions Supervisors. In addition, feedback will be provided on the South African DB pension plan experience since the introduction of a more robust supervisory framework with the aim of efficiently regulating these plans going forward and encouraging longterm sustainability.
Source:
2014 International Congress of Actuaries
Type:
Concurrent Session
Stress Scenario Generation for Solvency and Risk Management
In the presentation we propose a method which generates parameters (interest rate, transition intensities, etc.), drawn from a given set, that maximize the reserve. We will refer to this as generating an endogenous (with respect to the model used to calculate the reserves) stress scenario. These endogenous stress scenarios can be used in e.g. calculation of solvency capital requirements or in risk management in General Session. Focus of the presentation is on computational aspects.
Finding the parameters that maximize the reserve is a common actuarial practice. In the new solvency regime of the European Union (Solvency II) this is done in form of a Value-at-Risk (VaR) approach and used in order to calculate the Solvency Capital Requirement (SCR). We propose an endogenous stress scenario which can be chosen such that the resulting capital requirement is on the safe side (higher) of VaR. Finally, for risk management in General Session the endogenous stress scenario is relevant for premium settlement of traditional with-profits life insurance products making sure that the resulting premiums are high enough to cover the benefits in essentially all realistic scenarios.
When the biometrical intensities vary independently, the endogenous stress scenario can be found as in Christiansen, M.C. (2010). However, in the presentation we allow for dependence which is in accordance with the Solvency II framework. First between the transition intensities and, second between transition intensities and the interest rate, where interest rate dependent surrender intensity is a relevant example. In General Session, finding the endogenous stress scenario is equivalent to solving partial differential equations. However, there are some important situations where this can be reduced to systems of ordinary differential equations resembling those solved when computing the traditional reserve. In the presentation we take concrete examples and show the formalistic results as well as numerical illustrations of our main points.
In addition to Mr. Schomaker, the authors of this report are: • Marcus C. Christiansen, University of Ulm
• Lars Frederik Brandt Henriksen, University of Copenhagen
• Mogens Steffensen. University of Copenhagen
References: • Christiansen, M.C. (2010). Biometric worst-case scenarios for multi-state life insurance policies. Insurance: Mathematics and Economics 47, 190-197.
Source:
2014 International Congress of Actuaries
Type:
Concurrent Session
Strategies for the Management of the Monthly Medical Insurance Valuation Process
In a 2009 Society of Actuaries’ monograph by Chadick, Campbell and Knox-Seith (Chadick), a detailed comparison of various medical liability (IBNR) calculation methods is made. Chadick shows that, based on their statistical analysis, there will almost always be some restatement. Chadick states: “Finally, it is important to note that ultimately the best method or combination of methods to use in a particular situation may be dependent upon factors and actuarial judgment that cannot be tested through a scientific model” (Chadick, page 6). While management may continually inquire about the level of restatement, the actuary is aware that restatements will not go away. This paper’s focus is on the management of the IBNR process.
The paper is organized as follows: • The problem of IBNR restatement is discussed.
• An example showing how recent market changes need to be incorporated into monthly IBNR calculations is presented.
• An outline of a management process of IBNR is shown.
• Effective strategies for presenting IBNR results are discussed.
This information will be presented as both a paper and presentation at ICA 2014. The goal of the paper and presentation is to strengthen actuaries’ management skills in the IBNR process and to share best practices among actuaries attending the presentation.
Source:
2014 International Congress of Actuaries
Type:
Concurrent Session
Stochastic Loss Reserving Using Bayesian MCMC Models
This presentation will illustrate how Bayesian Monte-Carlo Markov Chain (MCMC) methods can be used to construct Stochastic Loss Reserve Models that predict the distribution of (1) ultimate losses, and (2) calendar year losses. The presentation will then test the distributions predicted by these models, and other standard models such as Mack and ODP/Bootstrap, with outcome data that is in the CAS Loss Reserve Database.
I expect the results obtained to date to generate some interesting discussions. There are • When applied to cumulative incurred data, the Mack model understates the variability of the outcomes.
• The Correlated Chain Ladder (CCL) model, applied to cumulative incurred claims data, can predict the distribution of outcomes within a 95% confidence range based on separate analyses of 200 loss triangles.
• When applied to incremental paid losses, the ODP/Bootstrap gives a biased prediction of the distribution of outcomes.
• The Correlated Incremental Trend (CIT) model is an attempt to fix that problem by introducing a payment year trend. Its predictive distribution is similar to that of the ODP/Bootstrap model and it fails to fix the problem.
One conclusion that can be drawn for this is that there is information that claims adjusters use in setting their loss reserves, that is not observable in the paid claims data. These conclusions are debatable and need discussion.
Source:
2014 International Congress of Actuaries
Type:
Concurrent Session
Some New Insights into Large Commercial Risks
We present some new evidence on large commercial risks based on a unique dataset on large commercial risks based on contributions from Lloyd's of London syndi- cates. We use granular information on losses and exposures to shed some light on the risk profile of medium to high layers of exposure as a function of different rating factor configurations. We then carry out a benchmarking exercise in which we quantify the risk premiums embedded in market rates as proxied by suitably constructed indices.
Source:
2014 International Congress of Actuaries
Type:
Concurrent Session
Some Lessons from Japanese Social Security Pension Plans for 50 Years
Japanese social security pension plans started for government officers or militaries in around 1880,and for General Session workers 1942( Workers Pension Plan), and in 1961 realized “ National universal pension plan”, in which all the people living in Japan were covered by at least one of social security pension plans.
“ National universal pension plan” celebrated 50thanniversary in 2011.
Japanese government is integrally trying to reform social security and tax system at present.
This paper will review the history of Japanese social security pension plans development for fifty years and discuss financial issues including,
1.( Premium ) Japanese social security pension plans adopted “Level premium method”,
2.(Financing) Japanese pension plans started by funding method and gradually changed to partial funding method, and is multi-pillar system composed of social security, corporate and private pension and saving, in addition, in 2004 changed from infinite equilibrium method to finite method,
3.(Benefit level) In Japan benefit level had gradually raised in accordance with high economic growth since mid-1960s, and finally cost-of living adjustment was introduced in 1973, and reduced the level afterwards by slowdown of economic growth
4.(Pensionable age) Though pensionable age had gradually increased with life span increased, it was usually very difficult and took much time to do it, and
5.(Pension syatem) Fiscal adjustment has been done among employee pension plans in 2012.
Social security pension plans developments in a country are thought to be highly path dependent by their social, ecomic, or financial situations. However economic and informational globalization has developed recently. Authors hope that lessons from Japanese Social Security Pension Plans for 50 years would be beneficial to other countries, particularly those discussing the introduction of social security pension plans.
Source:
2014 International Congress of Actuaries
Type:
Concurrent Session
Solvency II Implementation Challenges in Small Transitional Countries
Solvency measurement is definitely one of the most sensitive actuarial tasks in insurance company. Its specific importance does not change if we discuss life, health, non-life or pension insurance. Also, in each of the previously mentioned insurance types, solvency is one of the most relevant indicators.
The current regime, Solvency I, took some time to be appropriately adopted in all counties obliged to implement the system. At the beginning, the implementation of Solvency I was a challenging issue, but these days that is the history for most developed countries. Unfortunately, we cannot conclude the same for transitional countries.
As logical consequence of the financial sector transition in last decades, European Union financial authorities was trying to define the new, better solvency assessment system that could be adopted in most countries in the Union. That procedure was officially started in 2006 and it is still not done.
All EU members will be obliged to implement the system, at least its standard part. All more sophisticated measures are left for the countries’ insurance companies and/or supervisors to decide either to implement or not.
When discussing the developing countries, that are knocking at the EU door, the insurance directives implementation possibilities is one of very important questions. Given the importance of small countries’ stabilization and association procedures, the financial sector if one of its key elements. When it comes to insurance, solvency measurement is, at the time being, the most challenging part of it.
Challenges are numerous, and as the most demanding ones are related to lack of data, inappropriate knowledge and continuous education. Also, the supervisors are not aware of their importance in the whole process. The survey concluded between actuaries in insurance companies, has also identified some other important issues that will be elaborated in paper further.
The intention of the paper is to make clearer the key challenges of Solvency II regime implementation in small transitional countries, considering the small countries characteristics and the Solvency II complexity.
Source:
2014 International Congress of Actuaries
Type:
Concurrent Session
Social Security Reform: Is the Brazilian Pension System Actuarially Fair? (Poster Session)
Since 1999 the pension benefit in Brazilian Social Security System is calculated by multiplying the average 80% higher earnings by the Social Security Factor (SSF). This factor is an Automatic Balancing Mechanism, that can be understood as a Notional Defined Scheme. The formulation of SSF takes into consideration contribution years, social security tax rate, age and life expectancy at the retirement year. The formulation also presents a gender differentiation, by adding five contributory years for women. Although this formula is based on actuarial fundamentals (i.e., the higher the contributory period, the higher the value of the benefit), it has been extremely criticized. At least three important changes have been analyzed in the congress. The first one is Rule 85/95 (the sum of age and contributory years must be at least 85 for women and 95 for men). The second proposal is to eliminate the SSF. And the third proposed change is to compute the earnings average using only the last 36 months in the labor market. Based on this scenario, the paper has two objectives. The first is to evaluate the actual formulation and the three proposals using four parameters largely adopted in the social security literature: Replacement Rate, Internal Rate of Return, Effective Rate and Actuarially Fair Rate. The second objective is to calculate the Actuarially Fair Social Security Factor (what should be the SSF values to be classified as actuarially fair) and compare it with the SSF. The results show that the current formula penalizes (encourages) the workers who retire early (in late ages) in a more than actuarially fair way, according to the four criteria. The actual system is also progressive and strongly benefits women of all ages, compared to men. All proposals are more generous than the current rule, what raises strong doubts about their adequacy.
Source:
2014 International Congress of Actuaries
Type:
Concurrent Session
Representation of Economics its parameters by polynomial model (Poster Session)
The report is devoted by questions of the representation of Economics and its parameters in the form of dynamical models by polynomial model and tree of numbers. It is shown that many questions of economical analysis and their applications are reduced to construction of models in extremes regimes and connected with it construction of Model of Tree Numbers. Besides considered also question of its applications economical information security
Source:
2014 International Congress of Actuaries
Type:
Concurrent Session
Regulatory Risk and EU and U.S. Regulatory Frameworks
Come to this session to learn about leading edge perspectives on regulations and regulatory risk! In this session, research results related to regulatory risk and regulatory frameworks in the US and EU will be presented. In the past year, the North American Actuarial Council (NAAC) Collaborative Research Group initiated a study on regulatory risk. Dave Sandberg will discuss the results of this effort. For another perspective on regulations, Brian Paton will describe findings from a recent research report exploring the emerging developments, historical contexts, and potential implications for insurers in the US and EU regulatory frameworks.
Source:
2014 International Congress of Actuaries
Type:
Concurrent Session
Regional Variation of Healthcare Expenditure in the South African Insured Population
This paper aims to explore regional variability in healthcare expenditure and outcomes for the South African Insured population based on the methodology and approach used in the Dartmouth Atlas Project. The Dartmouth Atlas Project aims to provide information to reduce unwarranted variation in the healthcare industry. The following factors will be explored by region as well as the consequent impact on cost:
- the demand for healthcare resources (the disease burden)
- supply of healthcare services
- bed days per patient
- mortality rate
This paper is relevant and useful to healthcare actuaries internationally as it acknowledges that healthcare is provided in systems. If all healthcare providers practiced evidence based medicine (for relevant clinical conditions) there would be little variation in utilisation rates and cost (adjusted for regional disparities in price). Where variation exists, understanding it provides insights into future claims experience given specific regional growth in lives assured it assists with more targeted management strategies.
Source:
2014 International Congress of Actuaries
Type:
Concurrent Session
