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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.
ORSA - Perspectives on an International Practice
Own Risk and Solvency Assessment or ORSA is a requirement of the International Association of Insurance Supervisors (IAIS) and jurisdictions world-wide are implementing it beginning as early as 2014 in some jurisdictions. While it is a supervisory requirement, the focus of ORSA is on "Own" and insurers are making ORSA a logical part of their risk and governance frameworks. Come and hear some perspectives on ORSA, its promise and its challenges, from both regulators and insurers.
Source:
2014 International Congress of Actuaries
Type:
Concurrent Session
Optimal Investment, Consumption and Insurance with Recursive Utility
We unify two directions of General Sessionization of Merton’s consumption-investment problem of an individual, important for the pension industry: Uncertain lifetime and recursive utility. This allows us to discuss both optimal insurance and consumption strategies in standard markets and optimal product design that makes the ‘buy-and-hold your pension contract’-strategy optimal. On one hand, lifetime risk in Merton’s problem is well-studied dating back to Richard (1975) and has since then General Sessionized in various directions, see e.g. the General Sessionization to multistate models in Kraft and Steffensen (2008). Typically, however, these General Sessionizations assume time-additive utility, implicitly aligning the investor’s attitudes towards risk and inter-temporal aspects. On the other hand, there exists a vast literature on so-called recursive utility where the investor’s preferences with respect to risk and inter-temporal substitution, respectively, are disentangled. However, the concept is developed explicitly for diffusive markets, see Duffie and Epstein (1992) and little is known about how the concepts General Sessionizes to e.g. the jump risk that formalizes the uncertain lifetime. Nevertheless, the long-term nature of pension products is characteristic and makes the special attention to inter-temporal aspects in connection with uncertain lifetimes particularly important for the pension industry. We 1) discuss the various notions at play, 2) solve the integrated problem with recursive utility and an uncertain lifetime and 3) illustrate our solution in terms of optimal pension advice and product design.
References: • Duffie, D, and Epstein, L.G. (1992). Stochastic Differential Utility. Econometrica, 60(2):353-394.
• Kraft, H. and Steffensen, M. (2008). Optimal consumption and insurance: a continuous-time Markov chain approach, ASTIN Bulletin, 28:231-257.
• Richard, S. F. (1975). Optimal Consumption, Portfolio and Life Insurance Rules for an Uncertain lived Individual in a Continuous Time Model. Journal of Financial Economics, 2(2):187-203.
Source:
2014 International Congress of Actuaries
Type:
Concurrent Session
Optimal Asset Allocation in the Pre-Retirement Accumulation Period, Conditional on the Post-Retirement Deccumulation
We investigate optimal asset allocation in the pre–retirement period, when the individual accumulate his assets, with the respect of the chosen optimal asset allocation and annuitization strategies in the post–retirement period. We assume that the individual has access to the three assets: risk–free asset i.e. one year bond, low–risk asset i.e. 10–years rolling bond and risky asset i.e. equities. We assume that the individual is going to retire at age 65. Before retirement the individual has income from salary and has no access to the annuities and after retirement the individual has no salary but social security income. We investigate three cases regarding the availability of the annuities after retirement. The first one is when the individual has no access to annuities, the second one is when the individual has access to the annuities at age 65 only, and the third one is when the individual can annuities at any age. If the individual has access to annuities, we assume that he will annuitize optimally. We assume that the individual draws utility from consumption and that the criterion for optimization is maximizing expected discounted utility. We use the results for post–retirement optimal consumption, asset allocation and annuitization from Gavranovic (2012). These results are characterized in the utility function at age 65. In this paper, we start from that utility function and investigate optimal consumption and asset allocation in pre–retirement period. We compare the resulting expected discounted utilities in pre–retirement period and make the conclusions about the pre–retirement optimal consumption and asset allocation with respect to the availability of the access to annuities in the post–retirement period assuming optimal consumption, asset allocation and annuitization.
Source:
2014 International Congress of Actuaries
Type:
Concurrent Session
Optimal and Extreme Economic Model with Crisis, a Risk and Catastrophe (Poster Session)
The report focuses on questions of construction of the so-called ehtremalnyh models emerging economic crisis for the system of "level of technology, capital and labor whose resources" in extreme conditions. Associated with this model will address issues of modeling and control of the interaction between countries with different levels of economic development. There are numerous computer simulations for specific countries.
Source:
2014 International Congress of Actuaries
Type:
Concurrent Session
Opportunities and Challenges in the Implementation of Solvency II
The implementation of the Solvency II framework in Europe is still subject to a significant degree of uncertainty both in terms of the actual implementation date as well as the details of the framework. This presentation will elaborate on the latest information available at the time of submitting the final presentation and will cover the areas listed below. This information will be provided leveraging the author's experience as the implementation leader for a company based in Switzerland but with significant operations based in Europe. The project covers 8 legal entities based in 4 different countries in the EEA.
Source:
2014 International Congress of Actuaries
Type:
Concurrent Session
Operational Risk Management: Practical Implications for the South African Insurance Industry
Like its European counterparts, the South African insurance industry is moving towards its own risk-based regulatory regime, Solvency Assessment and Management (SAM). As a result greater focus is being placed on the appreciation of risks facing firms, of which operational risk forms a significant part.
This paper aims to review operational risks as they pertain to South African insurers. Consideration is given to the implications of this ‘insidious’ risk for both internal risk-management practices and for the purposes of regulatory compliance.
A survey of South African insurers was conducted so as to investigate the perceptions towards the various aspects of operational risk. The survey also sheds light on the current significance of operational losses to the industry and the current status of operational risk management practices.
Through an operational-risk management framework, the paper presents principles and initiatives that have the potential to assist insurers in their identification and management of their operational risks. Furthermore, the use of operational-loss data in this framework is discussed as it is believed that is a valuable tool at every stage. The paper looks at the more specific uses of this data as well as the sources of the data.
Prompted by our finding of a lack of applicable operational-loss data sources for local insurers, a high-level investigation was done into the feasibility of an industry-wide operational-risk consortium.
Source:
2014 International Congress of Actuaries
Type:
Concurrent Session
Operational Risk Effect on Insurance Markets Activity
Solvency II framework sets a lot of challenges for every insurance company as it requires for a more sensitive, balanced and sophisticated risk analysis to prepare and establish better risk coverage. Operational risk is one of the most critical and important risks that affects every insurance company’s activity and development as it causes unexpected losses incurred from inadequate internal processes, people and systems, or from other external events. The concept of the paper is to identify, analyse, assess, measure, manage and control operational risk effect on insurance company’s activity with the help of the discriminant model created by the authors. The discriminant model combination with the stochastic methods allow the authors of the paper to use for risk assessment such risk measures as the Value – at – risk and the Tail Value – at – risk. Also the developed method enables to analyse and measure each factor's effect on total result. Through the conducted research the authors of the paper would measure the operational risk possible effect on insurance company’s activity in order to prepare the possible operational risk management plan. The main aim of the operational risk management is to minimize operational risk possible effect through its occurring probability minimization and reduction of possible losses. In order to achieve the target of the stated research the authors of the paper use a theoretical analysis of the scientific literature, analytical methods, statistical and mathematical methods and comparative methods with the purpose to study the elements and functions of the operational risk management and Solvency II Directive requirements. The authors of the paper would like to present the achieved results as the Panel Discussion with Questions since this method includes moderated question-and-answer period.
*Awarded ERM/Financial Track Prize
Source:
2014 International Congress of Actuaries
Type:
Concurrent Session
On Risk Classification
This paper was developed by the Risk Classification Monograph Work Group of the American Academy of Actuaries at the request of the Academy’s Risk Management and Financial Reporting Council. Its purpose is to provide background and information to the public regarding the purpose of risk classification and the design and management of risk classification systems. It is also designed to provide a systematic development of these concepts for actuaries and other professionals in a form applicable to all areas of actuarial practice. Some of the topics discussed in the paper are risk and risk subjects, transfer of risk, financial or personal security systems, the impact of individual choice on such systems, voluntary and compulsory systems, the importance of expected cost in managing such systems, the need for risk classification, risk characteristics, risk classes, risk classification and the success of financial or personal security systems, and considerations in designing and maintaining a risk classification system. The paper may be expected to heighten the awareness of the audience to the complexity of the issues surrounding risk classification and provide a carefully reasoned discussion of these issues. A summary of the paper could be given as a presentation, with questions from the audience entertained.
Source:
2014 International Congress of Actuaries
Type:
Concurrent Session
On Improving Pension Product Design
The paper provides some guidelines to individuals with defined contribution (DC) pension plans on how to manage pension savings both before and after retirement. We argue that decisions regarding investment, annuity payments, and the size of death sum should not only depend on the individual's age (or time left to retirement), nor should they solely depend on the risk preferences, but should also capture: 1) economical characteristics - such as current value on the pension savings account, expected pension contributions (mandatory and voluntary), and expected income after retirement (e.g. retirement state pension), and 2) personal characteristics - such as risk aversion, lifetime expectancy, preferable payout profile, bequest motive, and preferences on portfolio composition. Specifically, the decisions are optimal under the expected CRRA utility function and are subject to the constraints characterizing the individual.
The problem is solved via a model that combines two optimization approaches: stochastic optimal control and multi-stage stochastic programming. The first method is common in financial and actuarial literature, but produces theoretical results. However, the latter, which is characteristic for operations research, has highly practical applications. We present the operations research methods which have potential to stimulate new thinking and add to actuarial practice.
Source:
2014 International Congress of Actuaries
Type:
Concurrent Session
Obesity - The Epidemic and Actuarial Implications
Certain human behaviors have resulted in adverse health conditions. In particular, inadequate physical activity and nutrition has to an increasingly obese world. The objective of this paper will be to describe the current circumstance of the worldwide obesity epidemic and its adverse effects on contingencies that actuaries deal with, especially premature mortality and increased morbidity, with resulting higher health care costs.
It will synthesize the results of the abundant recent studies regarding the impact of obesity on these contingencies and costs, including what some researchers have observed as being the so-called obesity paradox, where it has been hypothesized that the existence of obesity may provide protection against the effects of an adverse medical condition and at older ages.
Source:
2014 International Congress of Actuaries
Type:
Concurrent Session
Group Life is Short - Got Cover?
Session Description:
This session will discuss reinsurance solutions tailored for Group business. This includes
- a recap of the specifics of group business
- an overview of the available solutions
Source:
2014 International Congress of Actuaries
Type:
Concurrent Session
Legal Considerations of Ethics and Professionalism in the US
TBD
Source:
2014 International Congress of Actuaries
Type:
Concurrent Session
CERA - A Global Risk Management Qualification for the Future (Poster Session)
Global demand for skilled enterprise risk management professionals is growing in nearly every industry.
CERA is one of the most comprehensive and rigorous enterprise risk management qualifications available. It aims to address the urgent need for highly-qualified risk management professionals worldwide, especially in the financial sector. The CERA credential encompasses a world-class curriculum that combines actuarial science with the theoretical, practical and professional principles of enterprise risk management.
CERA is designed to equip actuaries to fulfil roles such as chief risk officer in fields such as insurance; reinsurance; consulting; energy; infrastructure; transport; manufacturing; technology; media; and healthcare.
CERA was first developed by the US Society of Actuaries which later joined with a group of other actuarial associations to sign the CERA Board Treaty in Hyderabad in November 2009. It was the first time that actuarial organisations had worked globally to offer a specialized professional credential.
Speakers from the Society of Actuaries, Institute and Faculty of Actuaries, and Casualty Actuarial Society will explain the benefits of obtaining this elite qualification and the various pathways available.
CERA's dedicated website can be found at: www.ceraglobal.org
Source:
2014 International Congress of Actuaries
Type:
Concurrent Session
Beyond Marginal Analysis
Many large insurance companies are using their capital models to evaluate strategic decisions on a marginal basis. For example, many firms measure the value of a reinsurance purchase based on the marginal impact of that reinsurance on required capital. However, the larger the insurer, the smaller the marginal impact of any given decision. Taken to an extreme, no individual risk mitigation decision would appear to be worth making. This session will first explore whether other types of large organizations use marginal decision analysis, then to consider alternative decision evaluation approaches insurers can employ.
Source:
2014 In Focus Seminar
Type:
Concurrent Session
Moderators:
Michael Green
Panelists:
Donald Mango, Spencer Gluck
Dare to be a CERA
More than 2,000 actuaries globally have now been awarded the CERA designation, including about 150 CAS members. CAS members interested in learning more about the benefits of the CERA designation or how to qualify under the CAS process should attend this session. Our panel will provide a brief history of the CERA designation, including an overview of the existing CAS qualification process, the current state of the CERA designation and future plans for enhancing the CAS CERA qualification process. Panelists include a current CAs board member involved with the iniital development of the CERA designation and two CAS members who earned their CERA designation under the current CAS qualification process. In addition to discussing the designation itself and the CAS qualification process, panelists will explore how they apply CERA learning objectives in practice within their respective job responsibilities.
Source:
2014 In Focus Seminar
Type:
Concurrent Session
Moderators:
Michael Green
Panelists:
Bryan Ware, Avraham Adler
What’s Ahead for Terrorism Insurance
Industry trade groups have made the case that the Terrorism Risk Insurance Act (TRIA) is among the most effective public-private partnerships currently in existence, but absent congressional action TRIA expires at year-end. Non-renewal of TRIA would be a serious issue for the industry. This session will bring people up to speed on the reasons for the program's existence as well as how it currently works. Major discussion will be around current political issues over TRIA renewal, the range of possible outcomes for TRIA in 2015 and what firms are doing and can do now to plan, manage, quantify and address uncertainty over TRIA renewal.
Source:
2014 In Focus Seminar
Type:
Concurrent Session
Moderators:
Michael Green
Panelists:
Joe Sigona, Tom McCrocklin
So Much to Do... So Little Time (and Resources)!
Enterprise risk management isn’t just for the big boys and girls! Even those companies not yet large enough to be subject to NAIC’s ORSA requirements can, and should, install an ERM process. This discussion will follow one company’s journey as it installed (and is still installing) an ERM process without full-time dedicated resources. With the help of outsiders (consultants), and insiders (Fellows of the CAS taking time from other responsibilities), it is getting done one stage at a time, over multiple years. There will be a special focus on implementing the linkage of local risk limits to global risk appetite through the case study.
Source:
2014 In Focus Seminar
Type:
Concurrent Session
Moderators:
Michael Green
Panelists:
Stephen Lowe, Bill Mech
Risk Culture – How it Drives Everything
Financial regulators, rating agencies and many commentators have blamed weak Risk Culture for many of the large losses and financial company failures of the past decade. But their exposition regarding a strong Risk Culture only goes as far as describing a few of the common ERM practices of an organization (Tone from the Top, Accountability, Communication and Challenge and Incentives in a recent report from the Financial Stability Board) These short lists of practices fall far short of describing the beliefs and motivations that are at the heart of any culture. This discussion will present thinking about how the fundamental beliefs and objectives of real risk cultures can be seen and how those beliefs may or may not align with the practices that are wanted by the regulators and rating agencies. Insights from cultural anthropology, business organizational theory and real life experiences talking to over 200 insurance organizations about their risk management programs over the past 10 years will be incorporated into the discussion.
Source:
2014 In Focus Seminar
Type:
Concurrent Session
Panelists:
David Ingram
Reserving and Reserve Risk: Thinking Outside the Triangle
What would actuaries do if they had never estimated reserves before and faced a blank sheet of paper today? And how would we model the risk in those reserves? We will share some ideas from areas such finance and social sciences. We’ll introduce you to Thomas Bayes and how his theorem can be applied to our problem. We’ll look at the social sciences and draw conclusions about latent variables that are not directly observable, which may help us incorporate market cycles.
Source:
2014 In Focus Seminar
Type:
Concurrent Session
Moderators:
Michael Green
Panelists:
Jessica Leong, Dave Clark
Reserve and Underwriting Risk: Dependencies and Volatility
Loss reserves are the biggest liability item on the balance sheet of property-casualty insurers. Combined with current year underwriting results, these two components General Sessionly drive financial results.
How do we quantify dependencies between lines of business regarding reserve and underwriting risks? In their recent article, Stuart Hayes and Steve Lowe study historical market-based correlations between P&C lines of business, based on an industry database built since the early 1980s. Stuart will outline the high-level observations and implications from this dependency study and paper, including the conclusion that models ignoring the issue could significantly understate the aggregate variability of both risks.
The session will also include a discussion of the common drivers that create dependency, and will present a decomposition of industry data to measure drivers that affect reserves and underwriting, including insurance prices and drivers that act on losses according to the accident year and the calendar year of payment. Common movements across lines of business can be observed and measured, and macroeconomic effects on these drivers can be studied.
Source:
2014 In Focus Seminar
Type:
Concurrent Session
Moderators:
Michael Green
Panelists:
Spencer Gluck, Stuart Hayes
ORSA’s Beneficial Impact on Capital Management
The NAIC’s Own Risk and Solvency Assessment (ORSA) program is shedding new light on risk and capital modeling programs across the industry. Insurer’s with modeling capabilities are enhancing their capabilities and improving model governance. Others with underutilized, immature or excessively complex models are rethinking their approach as the 2015 ORSA deadline approaches. In the two decades since the first DFA models were conceived, there has seldom been as much clarity of purpose among capital modelers and the companies that they serve.
We will discuss risk and capital measurement requirements under ORSA, specifically focusing on the current and prospective solvency assessments. The discussion will cover key requirements for capital models to emphasize the need to design methodologies based on business objectives independently of the choice of modeling software.
By focusing on the ratio of actual capital to required capital, we will discuss opportunities for effective sensitivity testing and scenario analysis. A “forward” view of this capital ratio will be reviewed as an option for fulfilling ORSA’s prospective solvency assessment. Further we will discuss how this forward view can help to drive connections to the business plan and provide a basis for attribution of year-over-year changes as required in future ORSAs.
The session will focus on practical steps that insurers can implement to achieve greater senior management and board buy-in and will avoid complex modeling theories. The flexibility afforded to insurers under ORSA and a range of modeling methodologies suitable for different circumstances will be discussed.
Source:
2014 In Focus Seminar
Type:
Concurrent Session
Moderators:
Michael Green
Panelists:
Thomas McIntyre, Matthew Berasi
ORSA for U.S. P&C Insurers
Until a few years ago, many actuaries have never heard of the International Association of Insurance Supervisors (IAIS). Now, everyone is awakening to discover that this body has a great deal of influence over how insurers in the U.S. and elsewhere will be regulated for solvency. The IAIS has set standards for ORSA and are working on standards for group-wide regulation. With the NAIC model ORSA law having been adopted in multiple states effective January 1, 2015, how will the ORSA requirement be implemented in the U.S., and how will it compare with the ORSAs required by Bermuda, the U.K., and elsewhere? What can U.S. P&C insurers expect and how prepared are they to meet the new requirements? What role will actuaries play in meeting ORSA requirements?
Source:
2014 In Focus Seminar
Type:
Concurrent Session
Moderators:
Michael Green
Panelists:
Kevin Madigan, Carl Groth
Operational Risk: What is It and How Can You Manage It?
This session will start by defining operational risk, and then discuss a framework for managing the many facets of operational risk within an insurance company. We will include examples on a how to use the three lines of defense to manage operational risk. The presentation will necessarily be more qualitative than quantitative but will involve some quantitative approaches.
Source:
2014 In Focus Seminar
Type:
Concurrent Session
Moderators:
Michael Green
Panelists:
Brian Neary
Model Validation
As the topic of model risk evolves at insurance companies, risk managers & model owners are faced with questions from business leaders about how model risk is being managed across the enterprise. How do you create a model validation practice? What does success look like? What’s the value? How do you get buy-in from senior leaders and business partners? This session will focus on these questions and other topics related to the emerging issue of model risk across the insurance industry.
Source:
2014 In Focus Seminar
Type:
Concurrent Session
Moderators:
Michael Green
Panelists:
Gary Venter, Brian Neary
Inconsistent Inference in Qualitative Risk Assessment
The variety of risks that the financial industry faces nowadays requires different approaches to risk assessment. If enough experience data exists, quantitative risk assessment using statistical inference is normally chosen. For risks with insufficient data, qualitative risk assessment using human inference is used. While standard rules are used in statistical inference in most cases, human inference is subject to cognitive biases. Biases can be caused by loss aversion, overconfidence, anchoring, representativeness, and the incapability of processing too much information.
Biases likely affect our risk assessment and decision-making. As a result, exposure levels to different risk types may be inconsistently estimated; they may be overestimated, underestimated or even ignored. Suboptimal and inferior decisions may be made. It is difficult to eliminate biases but some strategies can be used to reduce their negative impact.
In this session, strategies that could be used to reduce the impact of biased inferences will be discussed. Most materials will be drawn from a prize-winning paper titled “Inconsistent Inference in Qualitative Risk Assessment,” sponsored by the North American CRO Council.
Source:
2014 In Focus Seminar
Type:
Concurrent Session
Moderators:
Michael Green
Panelists:
Kailan Shang
