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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.
C-25: Understanding Operational Risk Governance and Designing its Effective Implementation
Source:
2012 ERM Symposium
Type:
Concurrent Session
Moderators:
Dragica Grbavac
Panelists:
James Kallman,Dragica Grbavac
C-24: Systemic Risk in the Eye of the Regulator: To Be, or not to Be (a SIFI, that is)
Source:
2012 ERM Symposium
Type:
Concurrent Session
Panelists:
Dave Sandberg
C-23: Solvency II Implementation Issues
Source:
2012 ERM Symposium
Type:
Concurrent Session
Panelists:
Masashi Kikuchi
C-21: Research Session: Pension Risk and Trifurcation
Source:
2012 ERM Symposium
Type:
Concurrent Session
C-20: Research Session: ERM Management Tools
Source:
2012 ERM Symposium
Type:
Concurrent Session
Source:
2012 ERM Symposium
Type:
Concurrent Session
C-18: Public Private Partnership: Risky Proposition?
Source:
2012 ERM Symposium
Type:
Concurrent Session
Panelists:
Michel Rochette,Steve Cohen
C-17: Public Pension Risk Dynamics
Source:
2012 ERM Symposium
Type:
Concurrent Session
Panelists:
Bob McCrory,Alan Milligan
C-16: Preparing for the US ORSA
Source:
2012 ERM Symposium
Type:
Concurrent Session
Panelists:
Jayashree Ishwar
C-15: Methods for Modeling Sovereign Credit Risk in a Portfolio Setting
Source:
2012 ERM Symposium
Type:
Concurrent Session
Panelists:
Nihil Patel
C-14: Managing Risk in a Dangerously Changing World
Source:
2012 ERM Symposium
Type:
Concurrent Session
Panelists:
Alan D. Roth
C-13: Linkage between Risk Appetite and Strategic Planning
Source:
2012 ERM Symposium
Type:
Concurrent Session
Panelists:
Mary Neumann,Kailan Shang
C-12: Interest Rate Earnings Risk Analysis for Insurers: Repricing Gap Analysis Approach
Source:
2012 ERM Symposium
Type:
Concurrent Session
Panelists:
Mark Scanlon,Ikwhan Oh,Joonghee Huh
C-11: Integrating ORSA Requirements Between Europe and the US
Source:
2012 ERM Symposium
Type:
Concurrent Session
Panelists:
Andreas Graser
C-10: Hedging VA Guarantees: From Defining Objectives To Optimizing a Program
Source:
2012 ERM Symposium
Type:
Concurrent Session
Panelists:
C. Dan Cazacu,Alan Yang
C-1: Bringing Private-Sector Risk Management Discipline to Large-Scale Government Risks
Source:
2012 ERM Symposium
Type:
Concurrent Session
The Future of the Profession
The future of the actuarial profession will be determined in part by how we address two key issues: the encroachment of non-actuaries on areas that have traditionally been dominated by actuarial expertise, and the expansion of actuarial skill sets into non-traditional areas.
Traditionally, areas such as pricing and loss reserving have been handled primarily by actuaries. However, with the advent of new statistical and analytics techniques, there have been other quantitative disciplines that are now working in these areas without any traditional actuarial training. How should we as individual actuaries and as a profession respond to this? What can be done to ensure that the actuarial profession stays on the cutting edge of what has been considered "our territory?"
In addition to our traditional areas of expertise, actuarial skills are being applied to other new and emerging areas, such as Enterprise Risk Management and Predictive Analytics. These areas incorporate not just pricing and reserving, but other areas of an insurance entity such as asset risk, marketing, claims, and risk from market competition. While the skill sets of actuaries are well suited for these areas, actuaries are not, as a general rule, being sought out as leading experts by users of these services. What steps can be taken to change this perception? Is the answer in education? Branding? Actual experience? During this roundtable discussion, we will discuss the trends that are emerging, the implications of these trends, and what we can do now to address not only these issues but issues in the future as well that are sure to arise.
Source:
2012 Spring Meeting
Type:
general
Moderators:
Jim Weiss
Panelists:
Steven Armstrong, Mark Vonnahme
Workers Compensation: Recent Research on Medical Costs
The panelists will discuss recent research on Workers Compensation medical costs.
"Impact of Changes to Physician Fee Schedules in Workers Compensation: Evidence From 31 States," by Frank Schmid The study provides evidence of the impact of changes to physician fee schedules in workers compensation. The data set comprises transactions of workers compensation physician services from 31 states for the time period 2000 through 2010; services provided by hospitals and ambulatory surgical centers are excluded. It is found that in response to a fee schedule increase, price and quantity of physician services combined increase by about 80 percent of the legislated price level change, on average. The magnitude of this response varies with the difference between fee schedule prices and actual prices (price departure). In response to a fee schedule decrease, price and quantity taken together decline by about 50 percent of the legislated price level change, on average.
"The Impact of Health Care Reform on Workers' Compensation Medical Care: Evidence from Massachusetts," by Paul Heaton
Although it is widely recognized that health care reform has the potential to affect the volume and cost of medical care received through the workers' compensation (WC) system, to date there is little empirical evidence of this effect. This study used the experience of Massachusetts, which implemented a health care reform package with several provisions similar to those in the Patient Protection and Affordable Care Act of 2010, to empirically estimate how health reform impacts WC hospital care. It was found that WC billing frequency for both emergency room visits and inpatient hospitalizations fell by 5 to 10 percent as a result of reform, but that billed charges and treatment volume were not measurably affected. These impacts were observable among patients with more costly injuries and persisted even after various approaches were used to account for the effects of the economic downturn that began at the end of 2007. While many outstanding questions about the impacts of health reform on WC remain, this early quantitative, empirical evidence suggests that reform may reduce medical costs borne by the WC system.
Source:
2012 Spring Meeting
Type:
concurrent
Moderators:
Jim Weiss
Panelists:
Brian Ingle
Variance Papers
“On the Importance of Dispersion Modeling for Claims Reserving: An Application with the Tweedie Distribution”; By Jean-Philippe Boucher and Danaïl Davidov; Variance 5:2, 2011
The researchers consider Tweedie’s compound Poisson model in a claims reserving triangle in a generalized linear model framework. They show that there exist practical situations where the variance needs to be modeled as well as the mean of the costs. They optimize the likelihood function through either direct optimization or double generalized linear models (DGLM). Because it is well known that the maximum likelihood variance estimators are biased downwards in such situations, they also enhance the estimation of the variance parameters within the DGLM by using the restricted maximum likelihood (REML). Having a flexible variance structure allows the model to replicate the underlying risk more appropriately and shrinks the gap between the predicted variances of different models.
“Chain-Ladder Correlations”; By Greg Taylor; Variance 5:2, 2011
Correlations of future observations are investigated within the recursive and non-recursive chain ladder models. The recursive models considered are the Mack and ODP Mack models; the non-recursive models are the ODP cross-classified models. Distinct similarities are found between the correlations within the recursive and non-recursive models, but distinct differences also emerge. The ordering of corresponding correlations within the recursive and non-recursive models is also investigated.
“U.S. Property-Casualty: Underwriting Cycle Modeling and Risk Benchmarks”; By Shaun S. Wang, John A. Major, Hucheng (Charles) Pan, and Jessica W. K. Leong; Variance 5:2, 2011
The risk benchmarks and underwriting cycle models presented in this paper can be used by insurance firms in their own risk analysis and Enterprise Risk Management (ERM) modeling. The findings are based on a recent research study of the U.S. property-casualty insurance industry, building upon thousands of hours of data gathering of statutory filings. In the first part the researchers analyze the historical underwriting cycle, develop a regime-switching model for simulating future cycles, and show its superiority to an autoregressive approach. In the second part they compute benchmarks for pricing and reserving risks for different lines of business and segments of the industry (Large National, Super Regional and Small Regional). They also compute the historical correlation of the ultimate loss ratio between lines of business, as well as the correlation of the changes in the reserve estimate between lines of business.
Source:
2012 Spring Meeting
Type:
concurrent
Moderators:
Jim Weiss
Panelists:
Jean-Philippe Boucher
Variance Paper and ARIA Prize Paper
“An Economic Approach to Capital Allocation” (ARIA Prize); By George Zanjani; (Journal of Risk and Insurance 77:3, pp. 523-599)
This paper starts with primitive assumptions on preferences and risk. It then derives prices consistent with a social optimum within an insurance company and the consumer-level capital allocation implied therein. The allocation “adds up” to the total capital of the firm (a result echoing findings in the congestion pricing literature—where optimal tolls exactly cover the rental cost of the highway). The allocation follows each consumer's share of recoveries in states of insurer default, weighted by the severity of the default in terms of welfare impact. However, the article argues that an economic approach technically restricts only the capital allocated to marginal units of coverage: inframarginal units could in principle receive different allocations.
“Robustifying Reserving”; By Dumaria R. Tampubolon and Gary G. Venter; (Variance 4:2, 2010, pp. 136-154, http://goo.gl/90e0o)
Robust statitical procedures have a growing body of literature and have been applied to loss severity fitting in actuarial applications. An introduction of robust methods for loss reserving is presented in this paper. In particular, following Tampubolon (2008), reserving models for a development triangle are compared based on the sensitivity of the reserve estimates to changes in individual data points. This measure of sensitivity is then related to the generalized degrees of freedom used by the model at each point.
Source:
2012 Spring Meeting
Type:
concurrent
Panelists:
Gary Venter, George Zanjani, Dumaria Tampubolon
The Revolution and Evolution of Predictive Modeling
The purpose of this session is to provide context of the growth of predictive analytics within the actuarial tool box over the past several years. The panelists will discuss how the application of these techniques had humble beginnings in pricing departments and now encompass many aspects of day to day operations within the enterprise. The panelist will then shift the focus and discuss how predictive modeling has evolved into more complex routines and algorithms but still is only as good as the insurance knowledge of the modeler. Finally the panelists will wrap up and predict how the application of models will change over the coming years.
Source:
2012 Spring Meeting
Type:
concurrent
Panelists:
Claudine Modlin, Steven Armstrong
Reserving Documentation: Does Yours Make the Cut?
The purpose of this session is to review a sample actuarial report produced to support a fictional company's internal loss reserve analysis of their general liability book of business, and to discuss how that report holds up relative to the actuarial standards of practice governing reserving work products. The session would involve the participants breaking out into smaller groups, reading through the report, and discussing the report's shortcomings in relation to ASOP 43, ASOP 41, and overall application of actuarial judgment. Once the smaller group discussions are complete, the entire session would come back together to discuss each smaller groups findings, in hopes of generating conversation about and consensus around best practices.
Source:
2012 Spring Meeting
Type:
concurrent
Panelists:
Joseph Herbers, John Wade
Reserve Risk Models: White, Grey and Black Swans
The goal of stochastic loss reserve models is to capture the true risk in our reserves, but how good are they really? In this session, we will explore how stochastic reserving methods have performed retrospectively, using real Schedule P Annual Statement data. We find that the models of risk we currently use underestimate the reality of uncertainty. In light of this, we'll explore different ways to make our stochastic loss reserve models more realistic. Is there information in the case estimates that will help? Does the answer lie in the reserving cycle?
Source:
2012 Spring Meeting
Type:
concurrent
Panelists:
Glenn Meyers, Jessica Leong
Reinsurance Evaluation Using Capital Tranching
Current industry practice treats the cost of capital (“hurdle rate”) as a fixed value which is estimated on a proforma basis under steady-state conditions. Cost benefit analyses of strategic decisions, such as hedging, compare net costs with capital cost savings. Given a fixed hurdle rate, capital cost savings become solely a function of the reduction in required capital. This decision process leads companies to purchase far “out of the money” hedges such as very high layer catastrophe covers, which reduce the “lowest cost” required capital.
A framework known as "capital tranching" will bepresented which tranches capital into equivalent layer positions similar to a CDO structure. The different tranches of capital have different equivalent ratings, and, therefore different hurdle rates. The framework shows how overall average cost of capital can be calculated. This framework provides a basis for increasing or decreasing overall capital costs with increases or decreases in risk.
This approach explains many critical observed facts and provides markedly different interpretations of cost benefit of hedging.
Source:
2012 Spring Meeting
Type:
concurrent
Panelists:
Donald Mango, Richard Goldfarb, Claude Bunick
Professional Standards regarding ERM
The ERM Task Force of the Actuarial Standards Board has been working for over two years on the development of new Actuarial Standards of Practice to provide guidance to actuaries when providing professional services related to certain aspects of Enterprise Risk Management. Two members of the task force will discuss the need for such standards and provide an update on the development of them.
Source:
2012 Spring Meeting
Type:
concurrent
Moderators:
Jim Weiss
Panelists:
Kevin Madigan
