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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.
There is Probably a Risk Focused Exam in Your Future. How Do You Deal With It?
The financial examination of an insurance company by its domestic insurance regulator has changed in the last few years. The regulators now carry out risk-focused, on-site exams (at least every 5 years) in which the insurer's corporate governance, management oversight and financial strength are evaluated, including the system of risk identification and mitigation. Find out your role as either the company actuary or the individual acting on the behalf of the regulator. What are the issues in either performing the exam or receiving the exam?
Source:
2012 Casualty Loss Reserve Seminar (CLRS)
Type:
concurrent
Moderators:
Brian Ingle
Panelists:
Melissa Greiner, Craig Moore
The Workers Compensation Reserve Cycle: Navigating the Mysteries, Myths and Misperceptions
Changes in estimates of ultimate loss for Workers Compensation between 12 and 120 months appear cyclical in nature, but the most significant cost drivers, e.g. medical cost inflation, wage inflation, etc., do not exhibit the same cyclical behavior. Direct application of these trends fail to explain the periods of favorable and adverse development of estimates. The key to understanding the cycle is accounting for embedded assumptions related to these cost drivers. This session presents a model to understand and account for the effects of the primary driver of the cycle, medical cost inflation, and explore the effects of other residual cost drivers.
Source:
2012 Casualty Loss Reserve Seminar (CLRS)
Type:
concurrent
Panelists:
Jessica Leong, Mark McCluskey, Joshua Youdovin
The Actuary's Role in The Financial Reporting Process: Interactions with Other Parties and Different Uses of The Loss Reserve Estimates
This panel will discuss the actuary's interaction with other parties in the financial reporting process and various uses of the loss reserve estimates. Our panel will include a company president, a company actuary, a consulting actuary and a CRO. They will discuss the actuary's interaction with company management, CRO, auditors and regulators from their own perspectives. Other than loss reserve estimates, other uses of actuarial analysis will be discussed in the areas of performance monitoring, pricing, and capital requirements.
Source:
2012 Casualty Loss Reserve Seminar (CLRS)
Type:
concurrent
Moderators:
Brian Ingle
Panelists:
Marc Adee, Lise Hasegawa, Patrick Devlin
Subpoenaed! How NOT to Handle a Deposition
This session is a mock deposition of an actuary who handles it poorly. Running commentary on his errors will be provided by an expert witness, the cross-examining attorney, the incompetent actuary, and the attendees. Your participation is encouraged. Throwing ripe fruit is strongly discouraged.
Source:
2012 Casualty Loss Reserve Seminar (CLRS)
Type:
concurrent
Moderators:
Evan Glisson
Panelists:
Charles Cook, R. Muth, Michael Toothman
Stochastic Reserving Today and (Mostly) Tomorrow
Generally speaking, stochastic methods have been absent from the toolkit used by most actuaries. There are a number of reasons for this, including the limitations of linear methods being applied in a non-linear world. Rather than looking at such linear methods, this session will look at stochastic approaches applied to non-linear models. In one case, maximum likelihood (the same technique underlying linear regression) is used to directly estimate parameters of several non-linear models currently in common use in loss reserving, including the traditional Chain Ladder and the Cape Cod. In the other case, Bayesian approaches are presented, further freeing the reserving actuary from restrictions presented by most traditional stochastic approaches.
Source:
2012 Casualty Loss Reserve Seminar (CLRS)
Type:
concurrent
Moderators:
Barry Blodgett
Panelists:
Roger Hayne, James Guszcza
SII Metrics, Risk Diversification, and Capital Allocation
In this session, we will discuss three types of relationships between long tail LOBs; process or volatility correlation, parameter correlation and similar trend structure. These relationships induce reserve distribution correlations by accident year, calendar year and total. In order to measure the process correlation (from the data) between two LOBs, a model needs to be identified for each LOB that estimates (describes) the trend structure in each direction; development year, accident year and calendar year, and the distributions of the volatility about the trend structure. Otherwise, correlations measured are spurious.
Calendar year paid loss correlations for the aggregate of multiple LOBs are important for computing SII one-year risk horizon metrics including SCR, Technical Provisions and Risk Margins. Two LOBs or segments have the same calendar year drivers if calendar year trends change in the same years. This relationship would afford least degree of risk diversification. During the session, we will demonstrate using real data that it is very rare that two LOBs have the same calendar year drivers. Only segments of the same LOB have similar or same drivers. For example, net of reinsurance versus gross and layers such as limited to 500K and limited to 1.5 Million.
Seemingly Unrelated Regressions (SUR) (originated by Zellner (1962)) are used to design a single composite model for multiple LOBs that measures the volatility structure in each LOB and the correlation structure between them. The single composite (SUR) model projects log normal distributions for each cell in each LOB including correlations between LOBs and within LOBs yielding a wealth of metrics required for risk capital allocation and SII one-year risk horizon calculations.
Source:
2012 Casualty Loss Reserve Seminar (CLRS)
Type:
concurrent
Moderators:
Barry Blodgett
Panelists:
Ben Zehnwirth
Risk Adjusted Loss Reserving Based On Cost Of Capital
Solvency II harmonizes insurance supervision across the European Union (EU). Primarily, it concerns the amount of capital that EU insurance companies must hold to reduce the risk of insolvency. Determining this risk involves a best estimate of insurance liabilities and an associated risk margin. There are two approaches to determining the risk margin. The percentile approach involves setting a margin above best estimate liabilities so that, to a specified probability, the provisions will eventually prove to be sufficient to cover the run-off of claims. The cost of capital approach determines a risk margin in a way that enables the insurance obligations to be transferred. It involves computing a fair value, being the amount for which liabilities may be settled, between knowledgeable, willing parties in an arm's length transaction. In our contribution we propose how such a fair value may be computed based on Von Mises’Economic Value theory: value intrinsically related to the worth derived by a risk receiving third party. (Keywords: loss reserving, yield curve discounting, cost of capital surcharge).
Source:
2012 Casualty Loss Reserve Seminar (CLRS)
Type:
concurrent
Moderators:
Barry Blodgett
Panelists:
Bouke Posthuma, Eric Cator
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 Casualty Loss Reserve Seminar (CLRS)
Type:
concurrent
Moderators:
Mario DiCaro
Panelists:
Glenn Meyers, Jessica Leong
Reserve Distributions --> Range of Reasonable Estimate --> What Number do I Book?
Loss Reserve distributions, best estimate Ranges, and point Estimates plus reserve margins. Yeah, but I have to book a number that many people care about. Which X marks the spot?
This session is intended to be an interactive audience/panelist discussion on the theoretical and practical relationships of determining reserve distributions and ultimately considerations of the following:
Given that you have determined a probability distribution of reserves by line of business and in total, this session now discusses where we go from here:
What is my estimate range?
What is management’s best estimate?
What number do we book gross and net?
What number do we book by line of business?
Any number in a reasonable range works right?
To add complication to our analysis we also get other people who care:
Yeah but SBU#2’s incentive compensation is affected if we book too high in the range.
Yeah but the CEO is targeting a current year combined ratio of 104.2. My best estimate is at 105.7. If I lower my estimate, I’m still in range of best estimate, so I’m ok right?
Yeah but we don’t have to worry about ranges anymore if there is a prescribed method booking a point estimate plus prescribed reserve margin. Right? Or do we now have a new pre-scribed “point estimate” to debate about?
You get the message. We’ve all been there. Join us for an active discussion.
Source:
2012 Casualty Loss Reserve Seminar (CLRS)
Type:
concurrent
Moderators:
Mario DiCaro
Panelists:
Glenn Meyers, Scott Weinstein, Anthony Martella
Reserve Disclosures -- From the Outside Looking In
Accounting and regulatory standards require an array of supplemental information around loss reserves, to provide users with important information on the quality of estimates recorded in the balance sheet and income statement. Statutory and U.S. GAAP financial statements provide supplemental information in Schedule P, the 10-K reserve runoff table, and extensive management commentary. Some companies go beyond the strict requirements, and make "global loss triangles" available to the public.
The panelists will provide an insider and outsider perspective on the reserve disclosures. How do investment analysts or rating agencies use the information in contributing to their overall outlook on the company? What's on the mind of the SEC in terms of recent Comment Letters, which may be a pre-cursor for other interested parties?
Source:
2012 Casualty Loss Reserve Seminar (CLRS)
Type:
concurrent
Moderators:
Mario DiCaro
Panelists:
Smitesh Davé, Andrea Selvaraja, Julia Ferguson
Report Card on Reserve Adequacy: A+ or C-
Loss reserving has been a fundamental element of actuarial practice and financial reporting for insurance companies for many years. The actuarial literature includes countless papers describing methods and data for evaluating unpaid claim estimates. So, while acknowledging that the reserves represent estimates, how well have those estimates performed with the benefit of hindsight?
The panelists will provide perspectives on historical and current reserve adequacy by line of business and facilitate an audience discussion around key drivers -- and whether they are common across lines or relevant to one or a subset of lines. Is the phenomenon of adverse and favorable development of prior estimates pre-destined? Can practitioners improve upon the historical report card?
Source:
2012 Casualty Loss Reserve Seminar (CLRS)
Type:
concurrent
Moderators:
Mario DiCaro
Panelists:
Lela Patrik, Jeffrey Carlson
Reinsurance Loop: Pricing-to-Reserving and Back-to-Pricing
Reinsurance actuaries are frequently faced with having to make decisions based on limited information. It is always a challenge to get the tail right, but it is particularly hard to do based on cedants’ data that does not go back far enough, or based on the reinsurer’s own data that is not known for its long-term homogeneity. With this in mind, one would want to make sure that all available data is used. Success in this process requires a strong feedback loop between the two sides of the actuarial coin, pricing and reserving.
This session will connect the pricing and reserving processes and link the roles played by pricing and reserving actuaries. It will address the impact of pricing on reinsurance reserving, starting with simple things like expected loss ratios and mix of business and stretching as far as expected loss distributions. Closing the feedback loop will involve spotting the issues and monitoring the results. Particular attention will be given to the influence of the underwriting cycle on the parameters underlying actuarial estimates. The session will also discuss how to incorporate the output and indicated action steps from the reserving analyses into reinsurance pricing.
Source:
2012 Casualty Loss Reserve Seminar (CLRS)
Type:
concurrent
Panelists:
Chandrakant Patel, Sarah Krutov
Presumptive Benefits in the State of Nevada
The State of Nevada provides for the award of workers compensation benefits to public safety officers who contract specific diseases. The benefits are presumptive in the sense that the emergence of the specified diseases are presumed to be due the individual's employment as a public safety officer. The governing statutes are:
NRS 617.453 Cancer as occupational disease of firefighters.
NRS 617.455 Lung diseases as occupational diseases of firefighters, police officers, and arson investigators.
NRS 617.457 Heart diseases as occupational diseases of firefighters, arson investigators, and police officers.
NRS 617.485 Hepatitis as occupational disease of police officers, firefighters and emergency medical attendants.
NRS 617.487 Hepatitis as occupational disease of certain other police officers.
The purpose of this session is to discuss the methods and approaches used to estimate the expected future cost of a closed population of active and retired employees at any given point in time.
Source:
2012 Casualty Loss Reserve Seminar (CLRS)
Type:
concurrent
Moderators:
Mario DiCaro
Panelists:
Jill Labbadia
Predictive Modeling with Claims Analytics
All too often, insurers silo the use of predictive modeling as an aid to determine pricing, product selection and underwriting decisions. At the same time, they also look at their claims operations solely as a cost center, overlooking the opportunities that could be derived by effectively leveraging the vast amounts of data identified and collected.
Industry leaders are now finding ways to strategically utilize claims data to enable predictive modeling tools to help identify the root causes of claims leakage and accelerate organic growth without disrupting ongoing operations. Gary Ciardiello and Jim Kremer will explore a business case that will demonstrate how insurers are accomplishing strategic growth and quality objectives by linking predictive modeling and claims linkage analysis to improve their underwriting, pricing, marketing, risk selection and product decisions.
Aggregate reserving techniques such as triangle analysis dominate current actuarial practice. There is discussion of moving beyond these techniques to estimate reserves using individual claim detail, but for the most part the traditional techniques remain. This need not be an either/or choice, however, and there is much to be gained in reserve analysis by disaggregating reserving data to investigate issues in a multivariate framework. Some examples include analyzing changes in case reserve adequacy and determining appropriate segmentation of reserve analysis data. Chris Gross will illustrate such approaches and the benefits of using predictive modeling techniques in conjunction with traditional reserving techniques.
Source:
2012 Casualty Loss Reserve Seminar (CLRS)
Type:
concurrent
Practice Note: Executive Summary and Preview of Changes
Many actuaries who sign or prepare opinions consider the Opinion Practice Note to be one of the most important references that they use every year. This session will provide an executive overview for those who need a refresher of the Practice Note for the upcoming opinion season, and will also include a preview and discussion of some of the areas of the Practice Note that are expected to change. Panelists for this session includes members of COPLFR, the AAA committee that wrote and maintains the Practice Note.
Source:
2012 Casualty Loss Reserve Seminar (CLRS)
Type:
concurrent
Moderators:
Mario DiCaro
Panelists:
Paul Struzzieri, David Heppen
Part IV- Extreme Development Techniques
When claims and exposure data are nearly non-existent or when long-tailed liabilities are deep in the tail of development, traditional methods do not produce reliable answers, and "extreme development techniques" are required. While some of these methods are extensions of traditional development methods, others are novel approaches to viewing loss development and projecting future claims.
In this workshop, we will walk through actual examples of applications of some of these "extreme development techniques". Working versions of the models will be distributed to the group, and we will step through some of the important considerations and potential pitfalls of each technique.
Source:
2012 Casualty Loss Reserve Seminar (CLRS)
Type:
workshop
Moderators:
Mario DiCaro
Panelists:
Justin Brenden
Part III- Building an Individual Claim Life-Cycle Model!
Aggregate actuarial reserving methods can ignore the richness of claims data. By building a model of the life cycle of a claim, parameterized with individual claim data characteristics, unique insights into loss development often emerge. This workshop will introduce the participants to using claim level detail within multivariate models to developing and using such claim life cycle models as an alternative actuarial reserve analysis approach. Bring your laptop with Excel.
Source:
2012 Casualty Loss Reserve Seminar (CLRS)
Type:
workshop
Moderators:
Mario DiCaro
Panelists:
M. Germani
Part II- Applying Stochastic Reserving Models under a Common Flexible Framework
This session will be an interactive workshop illustrating how to exercise a generalization of “A Stochastic Framework for Incremental Average Reserve Models” that appeared in e-Forum (Fall 2008, 174-195). The theoretical background behind these models will be presented in more detail in another session titled “A Flexible Framework for Stochastic Reserving Models” by Roger M. Hayne.
Generally, we will look directly at non-linear reserving models and make use of Maximum Likelihood Estimators (MLEs) to derive estimates. This provides an alternative without the need to transform those models to make them tractable for linear or generalized linear models. Using the same general approach and adapting them for a range of reserving methods, we will compare four rather commonly used reserving methods under the same stochastic framework.
Source:
2012 Casualty Loss Reserve Seminar (CLRS)
Type:
workshop
Moderators:
Mario DiCaro
Panelists:
Iva Yuan
Own Risk Solvency Assessment (“ORSA”)- Updates, Issues, Opinions, Debates- A Socratic Dialogue
The NAIC’s current proposal in requiring large insurer groups to perform an Own Risk and Solvency Assessment (‘ORSA”) would arguably be the biggest enhancement to the US financial regulatory framework since RBC was introduced in the 1990s. An ORSA is defined as a process undertaken by an insurer or an insurance group to assess the adequacy of its risk management and current and future solvency position. More can be found in the Solvency Modernization Initiative section on the NAIC Web Site at www.naic.com
Earlier this year, the Joint Risk Management Section of the Society of Actuaries (SOA), the Casualty Actuarial Society (CAS), and the Canadian Institute of Actuaries (CIA) in collaboration with the International Network of Actuaries in Risk Management (“IN-ARM”) published a third series of essays to address “Risk Metrics for Decision Making and ORSA.” This panel comprises of some of key essayists.
Key issues discussed on this panel will include-
What questions does a company need to ask under an ORSA?
How can a company better understand its own risks and what internal structure needs to be in place to act on its developed intelligence.
Is an economic capital model required to perform an ORSA?
Who are the Stakeholders? Just the shareholders? How about the debt holders? Policyholders? Employees? General Public?
What is the ultimate goal of an ORSA? How do you measure success to maximize the benefit of this type of endeavor?
Lessons learned from the financial crises include that most risks emanate from the behaviors and decisions of people. Incentive compensation requires proper alignment with desired performance. Also the authority to make decisions requires alignment with Ultimate accountability. Should these considerations be part of an ORSA?
How do you weigh Precision (99.5th percentile) with human judgment (How much capital can you afford to lose and continue steady-state functioning?
Should an ORSA focus on governance, validation and documentation.
Should an ORSA focus on purpose? What is the question we are trying to answer?
What are the respective roles on the Company’s Boards of Directors, and Senior Management?
How will this initiative impact external stakeholders, rating agencies, regulators, shareholders, customers? An unconstrained approach never really existed in the past?
Ultimately, what role should actuaries play in the ORSA initiative?
Join us for an enlightening discussion. Audience Participation is intended.
Source:
2012 Casualty Loss Reserve Seminar (CLRS)
Type:
concurrent
Moderators:
Brian Johnson
Panelists:
Max Rudolph, Anthony Shapella
No-Fault: Concept vs. Reality
For private passenger automobile, the Personal Injury Protection (“PIP”) environment for certain No Fault states is volatile and some have reforms proposed and new regulations in place. Understanding these changes and impacts on costs and process is important in order to establish accurate reserves and adequate rates. The states of New York, Michigan and Florida are in the news and have seen several changes in the last few years. The panel will discuss these changes and possible impacts on a private passenger carriers results.
Source:
2012 Casualty Loss Reserve Seminar (CLRS)
Type:
concurrent
Moderators:
Brian Johnson
Panelists:
Iva Yuan, Mark Wenger, Jennifer Kubit
No reality please, we're actuaries
Actuaries rely heavily on generally accepted methods to determine reserve estimates & distributions. However, there are 528 CAS papers on reserving methods and reserve variability, but only 4 papers that test if these methods really work in the real world! In this presentation, we will test reserving and reserve risk methods retrospectively with real data to reveal how accurately they predict ultimate losses and reserve distributions. Is your favorite method any good? Come to this presentation to find out.
Source:
2012 Casualty Loss Reserve Seminar (CLRS)
Type:
paper
Moderators:
Brian Johnson
Panelists:
Jessica Leong, Shaun Wang, Susan Forray, Eric Wunder, Han Chen
New Twists on Traditional Methods.
A GLM Based Approach to Adjusting for Changes in Case Reserve Adequacy
This session will introduce a method for adjusting incurred loss triangles for changes in case reserve adequacy. The proposed method is an attempt to improve upon the traditional Berquist-Sherman Method by using a generalized linear model of case reserves as the basis for restating case reserves at earlier evaluations rather than using average case reserves as the basis.
The Mean-Reverting Family of Loss Reserving Methods (or Garp’s Method)
In John Irving’s The World According to Garp, Garp and his wife are shopping for a home when an airplane flies into the house they are looking at. Garp decides on the spot to take the house because it has been “pre-disastered…we’ll be safe here.” This session introduces the actuarially equivalent loss reserving method of this decision.
Source:
2012 Casualty Loss Reserve Seminar (CLRS)
Type:
paper
Panelists:
Andy Staudt, Larry Decker
Managing Reserve Risk with Governance and Risk Management
Governance and risk management are key components to a successful ERM program. Good reserving governance and internal controls are needed to manage reserve risk. This session will focus on the primary elements of a successful reserving governance process along with the role actuaries have within the process. Discussions will be centered around the roles and responsibilities of reserve committees, developing reserving policies, guidelines and procedures, and implementing internal controls.
Source:
2012 Casualty Loss Reserve Seminar (CLRS)
Type:
concurrent
Moderators:
David Harris
Panelists:
Paul Miotke
M&A in MPL: What Does It All Mean?
All of the recent mergers and acquisition activity within the medical professional liability insurance industry brings a host of considerations for reserving actuaries. This session features the expert perspective from a pair of insiders at one of the most active players in the MPL M&A arena. The panelists will discuss their views on what makes the MPL industry ripe for the pickings, outline the parameters that make a good M&A candidate, detail some of the biggest challenges you may face when evaluating a company’s value and assessing the newly acquired portfolio of loss reserves.
Source:
2012 Casualty Loss Reserve Seminar (CLRS)
Type:
concurrent
Moderators:
David Harris
Panelists:
Jeffrey Donaldson, James Anderson
M&A Due Diligence: An Actuary's Role
In the high-stakes and high-pressure world of mergers and acquisitions (M&A), buyers and sellers frequently have divergent views on the reserves of the business in question. Actuaries on both sides play central roles. In addition to the reserves, there are other fundamental aspects of the business that actuaries may be asked to advise on, including pricing adequacy and others.
In this session, actuaries and other professionals involved in M&A work will provide an overview of the insurance M&A process, with a specific focus on the actuary's role. Examples and "war stories" will also be provided.
Source:
2012 Casualty Loss Reserve Seminar (CLRS)
Type:
concurrent
Moderators:
David Harris
Panelists:
Bruce Fell, Nicholas Pastor, Thomas Toce
