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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.
Stochastic Reserving Today and Tomorrow
In spite of a burgeoning literature, stochastic reserving methods have to date been largely absent from the practical toolkits of most actuaries. There are a number of reasons for this, including the inherent limitations of linear modeling methods being applied in a non-linear world. Rather than focusing on such linear methods, this session will focus on stochastic approaches applied to non-linear models. Two complementary case studies will be discussed. In the first, maximum likelihood (the inferential technique underlying linear regression) is used to directly estimate the parameters of several non-linear models currently in common use in loss reserving, including the traditional Chain Ladder and the Cape Cod. In the second, a Bayesian approach is presented. The Bayesian approach provides virtually unlimited modeling flexibility, a mechanism for incorporating background knowledge in the analysis, and full distribution estimates of outstanding losses. Furthermore, the Bayesian appraoch has recently become a practical option thanks to the proliferation of sophisticated open-source statistical computing software.
Source:
2013 Spring Meeting
Type:
concurrent
Moderators:
Karen Clark
Panelists:
Roger Hayne, James Guszcza
Issues in Underwriting and Modeling
A Family of Chain-Ladder Factor Models for Selected Link Ratios
The models of Mack (1993) and Murphy (1994) are expanded to a continuously-indexed family of chain ladder models by broadening the variance structure of the error term. It is shown that, subject to certain restrictions, an actuary’s selected report-to-report factor can be considered the best linear unbiased estimate for some member of this family. The approach given in Murphy (1994) yields a mean square error estimate of the unpaid claim liability that is consistent with the actuary’s selections.
Risk-Adjusted Underwriting Performance Measurement
To measure economic profits generated by an insurance policy during its lifetime, we compare the terminal assets of the policy account with certain break-even value. The break-even value is an increasing function of the claims risk and the asset investment risk. It can be calculated with closed-form formulas. We study policies with multi-year loss payments and tax payments. Profits from underwriting and from capital investment are measured separately. Relationships between the cost of capital and the risk-adjusted discount rate of loss are derived. Methods developed in the paper are also useful for fair premium calculation.
Source:
2013 Spring Meeting
Type:
concurrent
Moderators:
Karen Clark
Panelists:
Emmanuel Bardis, Daniel Murphy, Yingjie Zhang
Issues in Ratemaking and Regulation
PEBELS: Policy Exposure Based Excess Loss Smoothing
Winner of the 2013 Ratemaking Prize for the Most Practical Paper. The invention of PEBELS, or policy exposure based excess loss smoothing, was motivated by the need to develop estimates of high layer expected loss cost for extremely small, non-credible segments of a primary property book of business. The existing actuarial literature provides methods for estimating high layer excess loss cost for large property portfolios in aggregate, but does not provide a method to produce similar provisions for smaller subsets of such a book. PEBELS was developed to be just such a method. PEBELS generalizes existing pricing theory from published property per risk reinsurance exposure rating methods and leverages increasingly available exposure data to produce a method which allows the practitioner to develop accurate high layer expected loss cost estimates down to the policy level. Once the theoretical framework required to implement this method in practice has been formulated, this paper continues to explore applications of PEBELS outside of primary insurance pricing where granular segmentation of expected loss by layer would refine results, such as adjusting modeled catastrophe average annual losses (AALs) for bias from implicit linearity assumptions, improving the predictiveness of property predictive models including generalized linear models (GLMs), and refining the published property per risk reinsurance exposure rating method.
The Impact of Rate Regulation on Claims: Evidence From Massachusetts Automobile Insurance (ARIA Prize Paper)
Presentation of 2012 ARIA prize-winning paper. This paper tests the hypothesis that insurance price subsidies created by rate regulation lead to higher insurance cost growth. Data were analyzed from the Massachusetts Private Passenger Automobile insurance market during a period when explicit rate cross-subsidies were imposed by regulation. Massachusetts loss cost levels are found to be 29% higher than expected after controlling for demographics, other regulations, and mandatory coverage levels. The article on this paper was published in Risk Management and Insurance Review (Vol. 14, No. 2, 173-199) and the full paper can be viewed at www.derrig.com/research/RMIRFall2011/derrig-tennyson.pdf.
Source:
2013 Spring Meeting
Type:
concurrent
Moderators:
Emilee Kuhn
Panelists:
Sharon Tennyson, Richard Derrig, Marquis Moehring
Issues in Financial Risk
Understanding Contingent Capital
This research was prepared as a response to the Casualty Actuarial Society’s request for proposals on "Contingent Capital." In light of the recent financial crisis, contingent capital, a type of hybrid security, is seen as an innovative way of recapitalization given the occurrence of a specified event, such as the capital adequacy ratio falling below the threshold. Although it has gained prominence among regulators, there are some doubts from market participants. The effectiveness of this automatic bail-in hybrid security is still too early to tell, given the limited market experience and unclearness of the impact on the share price when the conversion is triggered. The goal of this research is to explore the key features of contingent capital, its market, the appropriate pricing and valuation tools, and its application in insurance industry. It is hoped that the research will increase our understanding of contingent capital and facilitate the assessment of its value and risk.
An Analysis of the Market Price of Cat Bonds
Existing models of the market price of cat bonds are often too exotic or too simplistic; the authors present a model that is grounded in theory yet also tractable. They also intend for our analysis of cat bond pricing to shed light on broader issues relating to the theory of risk pricing. By analyzing several years of cat bond prices “when issued,” they describe the market clearing issuance price of cat bonds as a linear function of expected loss, with parameters that vary by peril and zone. The results provide a compact form of describing market prices of cat bonds and thus provide a framework for measuring differences in prices across various perils and zones; the output also allows analysts to measure changes in the issuance price of cat bonds across different time periods. The results also suggest an overarching theory of risk pricing, in which price of risk depends on two factors: the first factor is the required rate of return on downside risk capital in a portfolio context, and the second factor is the uncertainty of the estimate of the expected loss.
Source:
2013 Spring Meeting
Type:
concurrent
Moderators:
Glen Leibowitz
Panelists:
Neil Bodoff, Kailan Shang
Interaction among Pricing, Reserving and Claims
Minor changes in the manner or speed in which claims are handled can affect reserving patterns as well as rate change indications. Without knowing what (or if) changes are being made by colleagues in the other areas of the company, professional indications are likely to be inaccurate. Erroneous reserving increase or decrease indications could incorrectly affect a company's reported results. Moreover, these changes could result in indicated price changes that are inaccurate and which could cost a company business. Pricing actuaries, reserving actuaries and claims specialists depend heavily on one another to ensure that this does not happen. This panel will discuss best practices done within insurance and reinsurance companies to keep all processes flowing efficiently and effectively.
Source:
2013 Spring Meeting
Type:
concurrent
Moderators:
Glen Leibowitz
Panelists:
Gregory Beaulieu, Christine Fleming, Sally Levy
How to Become an Expert Communicator to the Non-Expert Listener
Have you ever tried to communicate something you understand well to someone who doesn't understand it at all? One of the challenges we all face is how to communicate complex information to those who do not have the background or experience needed for understanding. It isn't unique to any particular Expert; it's just that you understand something someone else does not understand. It might be technical data or it might be the way a new-hire must learn your system. At any rate, effective communication from the known (Expert) to the unknown (Non-expert) can make a difference is time, efficiency, and mistake avoidance. Understanding how communication works (and fails) will allow you to make use of neglected techniques that help 'Experts' bridge the gap for 'Non-Experts'. Best of all, what you'll learn can work 'on the spot' in one-on-one communication (when you need it the most).
Source:
2013 Spring Meeting
Type:
concurrent
Panelists:
Fred Lybrand
Homeowners Profitability
How has the Homeowners line of business performed historically? How have recent CATs affected the profitability of this line? How have the use of CAT exposure analysis tools changed the landscape for insuring homes? What are the major Homeowners frequency and severity drivers? How have expense ratios been adjusted over time? Finally, how are companies responding to all of these issues? This panel will address these issues and more…..
Source:
2013 Spring Meeting
Type:
concurrent
Moderators:
Glen Leibowitz
Panelists:
Klayton Southwood, David Snow, Kelleen Arquette, Nancy Watkins
Government Ownership of an Insurance Company – A Good Thing or a Bad Thing?
The name "government-owned" conjures up thoughts of inefficient, unsophisticated, and wasteful. The speakers, representatives from two government-owned organizations, will separate myth from fact, as well as highlight numerous and sometimes surprising benefits of a government-owned model for providing compulsory insurance.
Source:
2013 Spring Meeting
Type:
concurrent
Moderators:
Glen Leibowitz
Panelists:
William Vasek, Camille Minogue
Global Data and Analytical Challenges in the 21st Century
The 21st Century has seen major changes in the insurance landscape globally including greater regulation, increased demand for higher return on capital and significant increase in the cost of catastrophic events. All of these changes have contributed to the need to more actuarially driven and validated pricing of risks. Actuaries are being tasked with building models for underwriting of global risks which drives the need for reliable data. There is also a need to resource external benchmark data to validate against an insurer's own portfolio of business.
In this session, the panelist will discuss the latest efforts for creating benchmarks and the latest status of pricing methodologies for global risks.
Source:
2013 Spring Meeting
Type:
concurrent
Moderators:
Paul Delbridge
Panelists:
Beth Fitzgerald, Joseph Palmer
Estimating Insurance Attrition Using Survival Analysis
Retention is an important factor that impacts both profit and growth of insurance companies. Conventional retention analysis, such as logistic regression, does not distinguish two types of attritions: mid-term cancellation and end-term nonrenewal. In this session, the presenters propose to use survival analysis to estimate attrition and retention. Compared with conventional methods, the approach has three advantages: 1) it addresses not only whether the policy will leave but also when it will leave; 2) it analyzes mid-term cancellation and end-term nonrenewal sequentially, and therefore provides a dynamic insight of retention, which improves the static view derived from snapshot data; 3) it can take into account time-varying macroeconomic variables, and would help researchers to understand how insurance retention is impacted by the broader economic environments. A case study illustrates the technique from creating the panel data required by survival analysis to interpreting the model results.
Source:
2013 Spring Meeting
Type:
concurrent
Moderators:
Paul Delbridge
Panelists:
Luyang Fu, Hongyuan Wang
ERM Capital Modeling
Capital models are widely used for many reasons in the P&C insurance industry, and they have been for decades. Recently they have taken on increasingly important roles in insurance company ERM and will soon be looked upon by the regulatory community as part of the new Own Risk and Solvency Assessment (ORSA) requirements. We will discuss capital modeling at a high level, including what makes a model an Economic Capital Model. The uses of such models, the current state of modeling in the industry, the necessary ingredients and how to deal with some of the common challenges will also be addressed. This session offers an interesting mix of high level overview and detailed technical discussion. Additionally, a representative from the US regulatory community will address two questions of current interest: the extent to which regulators expect insurers to adopt ECMs and the preparations regulators are making to ensure their ability to appropriately review the ECM discussions that may be contained ORSA Summary Reports.
Source:
2013 Spring Meeting
Type:
concurrent
Moderators:
Paul Delbridge
Panelists:
Alietia Caughron, Benedict Escoto
Efficiency: The New Thing In Reinsurance
Companies are retaining more and looking for better, smarter ways to buy cover to optimize reinsurance purchases.
Every company is different with different needs, including small catastrophe volatility, peak catastrophe concentrations, line of business diversification, underwriting leverage management, and post-loss coverage affordability.
Presenters will discuss ways companies can pursue more efficient reinsurance structures, getting away from single-cat, single-line, single-year programs.
Source:
2013 Spring Meeting
Type:
concurrent
Moderators:
Paul Delbridge
Panelists:
Scott Carpinteri, Kirk Conrad
Earthquake and Fire Following Catastrophe Update
This panel will discuss the latest developments in modeling Earthquake and Fire Following exposures.
Source:
2013 Spring Meeting
Type:
concurrent
Moderators:
Karen Commons
Panelists:
Thomas Larsen, Erik Olson, Patricia Grossi
Don't be a Takafool - An Overview of Takaful
Takaful, literally meaning ‘joint guarantee’, is the world’s youngest and most dynamic insurance market which traces its origins back to over 1,400 years. It is an Islamic insurance concept based on cooperation, shared responsibility and mutual protection which avoids elements of uncertainty, gambling and usury. The Takaful market is mostly concentrated in the Middle East, North Africa and Malaysia, but is expected to grow significantly in Indonesia and the Indian & African sub-continents.
Speakers will discuss the origins of Takaful and how it works, including a description of actuarial roles and responsibilities. They will also describe recent financial performance of Takaful operators, as well as the strategic challenges and opportunities they face in the global marketplace.
Source:
2013 Spring Meeting
Type:
concurrent
Moderators:
Karen Commons
Panelists:
Richard Gauthier, Hussain Ahmad
Developing a Reserve Range, From Theory to Practice
Different actuaries develop reserve ranges in different ways, from the most basic rules of thumb to cutting edge statistical techniques. This session will outline several different approaches and apply them all to a common dataset to compare the results. The panelists will then present the results of an industry survey on the pros and cons of each method and facilitate an interactive discussion with the audience.
Source:
2013 Spring Meeting
Type:
concurrent
Panelists:
Justin Brenden, Kishen Patel
Dare to be a CERA
This session is intended for those that are considering pursuing the Chartered Enterprise Risk Analyst (CERA) credential. The CAS announced its CERA credentialing program in October 2011. Since then over 100 CAS members have received the CERA designation via the experienced practitioner pathway or by the exam process. Panelists will discuss the background of the CERA credential, how the CAS became an award signatory organization and the CAS's plans for developing their own exam.
Taking the ERMM Seminar and passing the ST9 exam are part of the current requirements for CAS members to attain the CERA designation. This panel will provide their perspectives on going through this process and how it compared to their experiences with the CAS exams. The panelists will invite questions and comments from the audience.
Source:
2013 Spring Meeting
Type:
concurrent
Moderators:
Karen Commons
Panelists:
Barry Franklin, David Moore
Claims Applications for Predictive Modeling
Insurers can use predictive modeling in several aspects of the claims process to reduce losses and LAE and improve customer service. Predictive modeling can be used for early identification of potentially large claims, streamlining assignment of claims adjusters, and optimizing resources, to name just a few.
Presenters will provide practical examples of ways predictive modeling can be used in the claims process, as well as advice on data collection, analyses and interpretation and implementation of results.
Source:
2013 Spring Meeting
Type:
concurrent
Moderators:
Kevin Helman
Panelists:
Philip Borba, Brett Nunes, David Otto
China Insurance Market
China’s insurance industry has been experiencing rapid growth in recent years, expanding at an average annual rate of 21 percent during the past 10 years. In 2011, insurance premiums totaled CNY 1.443 trillion (USD 226 billion). Despite these changes and the potential for continued future growth, foreign participation in China’s P&C insurance market has been the lowest in Asia, hovering around 1% for the last few years.
One reason for the limited foreign participation could be the regulatory controls. On May 1, 2012, China opened its MTPL market to foreign insurers. In the mean time, regulatory changes on non-MTPL motor insurance are pending. With the entry of foreign firms, will the Chinese regulators loosen their controls on tariff rates? What does this mean for the insurance industry? How should local and foreign insurance companies be prepared for these changes?
This session is a joint effort coordinated by CAS and CAA (Chinese Association of Actuaries). Our panelists will discuss the opportunities and challenges faced by local and foreign firms, as well as Chinese insurance regulators in this new environment. Panelists will also address recent developments and the current state of the marketplace.
Source:
2013 Spring Meeting
Type:
concurrent
Moderators:
Kevin Helman
Panelists:
Xiaoying Liang, Jenny Lai, Sen Chen, Peng Ding
Yes, There is Life After Run-Off!
What happens when an insurer decides to exit or run-off a segment of or all of its business? It may look for another company to sell its business to or manage the run-off themselves. There is a growing market of run-off firms looking to acquire business that is discontinued or placed into run-off. How do run-off firms see value in business that an ongoing company has discarded? What are the unique run-off issues facing businesses as they prepare for run-off management, set loss and expense reserves, strategize and price commutations and prepare to acquire a run-off portfolio? This panel will discuss numerous run-off issues from the view of the business acquirer to the view of the organization that places business into run-off. - See more at: http://cas.confex.com/cas/rein13/webprogram/Session6248.html#sthash.PI3Ol5s9.dpuf
Source:
2013 Seminar on Reinsurance
Type:
concurrent
Moderators:
Kevin Helman
Panelists:
Joanne Spalla, Jean-Claude Jacob, Karen Boisvert
Workers Comp Exposure Rating
During this session updates to industry exposure curves will be discussed. The presenter will also explore component-cost modeling approaches to the derivation of workers compensation exposure curves. - See more at: http://cas.confex.com/cas/rein13/webprogram/Session6277.html#sthash.6rwwcusS.dpuf
Source:
2013 Seminar on Reinsurance
Type:
concurrent
Moderators:
Kevin Helman
Panelists:
Gerald Yeung
The Perspective of the Ceding Company
What is the ceding company really looking for? We will present the perspectives of three ceding companies: how they think about reinsurance, deal makers/breakers, the various considerations in the decision making process, unique reinsurance needs, and the changing cedant/reinsurer dynamic. We will then hold a question and answer session with audience participation.
Source:
2013 Seminar on Reinsurance
Type:
concurrent
Moderators:
Kevin Helman
Panelists:
Scott Belden, John Forney, Stephen Belden
The Future of Cat Modeling Data
What might catastrophe modeling data look like in the coming years? This session will address the impact of data quality on modeling accuracy and market pricing, including discussion of the current state of catastrophe modeling data and the potential implications of the coming paradigm shift in data ownership. Attendees will gain a heightened awareness of the issues surrounding catastrophe modeling data quality and their implications.
Source:
2013 Seminar on Reinsurance
Type:
concurrent
Moderators:
Kevin Helman
Panelists:
Jonathan Hayes, Gary Kerney, Prasad Gunturi
Stepping Out of the Model: Estimating Tail Risk via Reverse Stress Testing, Characteristic Events, and Realistic Disaster Scenarios
Catastrophe models are widely used to evaluate both average annual loss and tail risk for property reinsurance. There are, however, a number of alternatives to these models which can be useful in evaluating the tail end of the severity curve. This session’s panel will describe and discuss various methods, including realistic disaster scenarios, maximum foreseeable loss, and characteristic event analysis.
The panel will discuss potential applications and limitations for these methods, with ample time available for the audience to offer additional methods and ideas, or to pose questions of the panelists regarding the methods presented.
Source:
2013 Seminar on Reinsurance
Type:
concurrent
Moderators:
Kevin Helman
Panelists:
Karen Clark, Prasad Gunturi, Angela A'Zary
Perspectives on Excess Casualty Loss Development
Projection of ultimate losses for long-tail lines of business, particularly on an excess of loss basis, presents a challenge for a reinsurance actuary. There is rarely enough relevant data to deal with the tail, and an actuary frequently finds themselves in a situation where they need to rely on industry benchmarks.
This session will present, compare and contrast benchmarks created based on reinsurers’ claims data (RAA) and those built on layered primary data by ISO. The panel will discuss data and approaches used in developing the excess loss development benchmarks, and associated advantages and limitations.
Source:
2013 Seminar on Reinsurance
Type:
concurrent
Moderators:
Kevin Helman
Panelists:
Don Yahalom, Michael Christian
Negative Frequency Trend
In analyzing the various components of the underwriting cycle, a spotlight has been shone on the impact of frequency changes over the last dozen years. Apparently some significant frequency reductions may help solve the puzzle in some lines of relatively good overall results in spite of overall price reductions and not keeping up with steadily increasing average severities over the last decade. This session will survey the level of frequency reductions in various lines of business, investigate the difference between reductions in nuisance claims and large claims, peel apart the components driving the reductions, and attempt to assess which of those components could turn around either slowly or abruptly under changing circumstances.
Source:
2013 Seminar on Reinsurance
Type:
concurrent
Moderators:
Kevin Helman
Panelists:
John Buchanan, Brian Alvers, Jill Cecchini
