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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.
Advances in Reserving - An Exciting Presentation of Call Papers
A Practical Way to Estimate One-Year Reserve Risk & A Total Credibility Approach to Pool Reserving
The authors of these two papers will present interesting ideas in ways you will understand. Ira Robbin will provide an intuitive explanation of One-year Risk in Solvency II. He will summarize how it is computed in the Standard Formula and review different ways that have been proposed for computing it in internal models. He will then present a new method that looks at the projected mix of Case and IBNR over the run-off period. It is simple; but it makes sense and works when other more complicated methods run into trouble.
Frank Schmid will give an accessible overview of Workers Compensation pool reserves and explain prior methods for deriving pool indications. Then he will present a new approach, Total Credibility, which employs a multilevel (hierarchical) model to estimate development parameters for all state pools simultaneously. This overcomes difficulties that arise with sparse or erratic data in particular states. He will show how the Total Credibility approach works, review some initial results, and argue that it is not only practical but also theoretically sound.
Come to learn, ask questions, or just to enjoy – this will be a session that you do not want to miss.
Source:
2012 Casualty Loss Reserve Seminar (CLRS)
Type:
paper
Moderators:
Luyang Fu
Panelists:
Frank Schmid, Ira Robbin
A Practical Approach to Calculating Risk Margins under Developing International Financial Reporting Standards
The International Accounting Standards Board (IASB) and the Financial Accounting Standards Board (FASB) continue to debate and refine the financial reporting standards that will emerge from Phase II of their joint project on insurance contracts. The changes to the measurement of insurance liabilities for financial reporting are potentially quite significant for most insurance organizations around the world.
The paper presents the authors’ views on practical approaches to consider in calculating risk margins in the measurement of insurance liabilities for property and casualty (also referred to as general insurance or non-life) insurance contracts. In particular, the paper focuses on the use of an approach to estimate risk margins that:
Recognizes risk and uncertainty in the amount and timing of future payments needed to satisfy insurance liabilities;
Reflects an objective assessment and measurement of risk for insurance liabilities and the price of risk in terms of the amount an insurer would rationally pay to be relieved of the insurance contract obligations that underlie such liabilities; and
Provides useful financial information for users of IFRS financial statements.
Source:
2012 Casualty Loss Reserve Seminar (CLRS)
Type:
concurrent
Panelists:
Robert Miccolis, David Heppen
A Different Point of View on Medical Professional Liability
Panelists from various backgrounds that practice in medical professional liability will be providing their perspective on the state of the medical professional liability marketplace.
Source:
2012 Casualty Loss Reserve Seminar (CLRS)
Type:
concurrent
Moderators:
Christopher Najim
Panelists:
Phil Dyer, Kristin McMahon, Philip James
Optimal Growth & Illiquidity Risk Premium
Optimal Growth for Property and Casualty Insurance Companies
It is generally well established that new business produces higher loss and expense ratios and lower retention ratios than renewal business. Ironically, to add more new business, an insurer needs higher profitability in order to generate the additional capital needed to support its exposure growth. Irrational growth is one of the top reasons for the insolvencies of property and casualty insurance companies. This study presents a method to balance the opposing forces of growth and profitability. The proposed method is straightforward and can be effectively employed by property and casualty insurers in the strategic planning process.
Illiquidity Risk Premium: What Does It Mean to P&C Insurance Business
Illiquidity risk premium has taken on increased importance in valuation of assets and liabilities. This paper is based on a commissioned research study by the Casualty Actuarial Society with a focus on a theoretical framework for a liquidity risk premium and the interaction of illiquidity with credit effects on the valuation of assets and liabilities. The paper proposes a risk theory for two price economies when markets fail to converge to the law of one price. The two prices are differentiated from classical linear pricing rules as they are nonlinear functions of the cash flows being priced. Asset and liability valuations part company as assets are valued by concave functions of the claims being priced while liabilities are valued by convex functions.
In this talk, one of the researchers of the project will discuss the main findings of the research, discuss illiquidity in the insurance contexts, and to show specific two-price formulae with applications in finding optimal reinsurance programs.
Source:
2012 Annual Meeting
Type:
concurrent
Moderators:
Christopher Najim
Panelists:
Luyang Fu, Shaun Wang
How to Reform Health Insurance Using Casualty Principles
Now that the Affordable Care Act of 2010 (ACA) has been found to be constitutional, there may well be a movement after November to repeal it. While the mandate to purchase insurance was ruled unconstitutional under the commerce clause, the law itself is justified as a federal tax. Yet the tax itself and the penalty for not paying it may both be inconsequential, so the number of young uninsureds who will chose to pay overpriced premiums to subsidize the other more generous coverage expansions may be quite small.
Therefore a new system may be needed to accomplish many of the goals of ACA, but without the perceived infirmities of ACA. Such a system could be developed that offers coverage for preexisting conditions, more competition from insurers, and portable policies that can stay with the insured when changing jobs and have guaranteed renewability.
This session will outline a new personal health insurance system (PHIS) that will, at first, seem radical to many because of how the current health insurance system has evolved.
Source:
2012 Annual Meeting
Type:
concurrent
Panelists:
Michael Walters
How Do You Monitor Data Quality, and Why Should You?
As the universal saying goes, "garbage in, garbage out". Good quality data is essential to underwriting and managing insurance and reinsurance business, but is notoriously difficult to achieve in practice. Solvency II is creating challenging data expectations in Europe, and lessons can be learned across the industry. Data governance and the assessment and monitoring of data quality will be discussed, with a focus on reinsurance data.
Source:
2012 Annual Meeting
Type:
concurrent
Moderators:
Christopher Najim
Panelists:
Mark Allaben, Thomas Le, Henry Jupe
Economic Capital Modeling for ORSA in the US P&C Industry: The Stakeholders Convene
You are a shareholder in the US P&C insurance industry. Our panel will represent its board of directors, tasked with validating a comprehensive economic capital model (ECM) for the industry as a single unit. We will vet the model's assumptions, methodologies, and applications, illustrating the considerations identified by the NAIC as important for an ECM to serve the purposes of an Own Risk and Solvency Assessment (ORSA). Presentation of the model will be followed by critical examination of its components and implications, which include solvency assessment, capital allocation, measurement of risk-adjusted profitability, and ranking of risk sources.
Source:
2012 Annual Meeting
Type:
concurrent
Moderators:
Christopher Najim
Panelists:
Anne Kelly, Wayne Fisher, Shaun Wang, Micah Woolstenhulme
Dynamic Risk Modeling - Pricing and Reserving
DRM is ever-increasingly becoming indispensible to the actuarial toolkit in quantifying in a holistic manner the diverse factors that have an effect on the solvency and profitability of an insurance company. While there are several commercial package programs available for such modeling purposes, it is paramount for actuarial practitioners to have sound understanding of the underlying principles of constructing these models. This session will focus on concepts, principles, and methods from the Dynamic Risk Modeling (“DRM”) Handbook chapters on Pricing and Reserving essential to actuaries developing their own models or adapting external models. While asset and credit risk issues have been extensively treated in various contexts including ERM, pricing and reserving risks are areas where actuaries can enhance organizational value by quantifying the likelihood that various metrics will trigger regulatory or rating agency actions, both favorable and unfavorable. The presentation will emphasize the recently concluded work by the DRM Committee addressing these underwriting risk topics, as it is quintessentially related to actuarial areas of expertise. Attendees will be updated on the continuing activities of the CAS DRM Committee and resources available to the practicing actuary in this area.
Source:
2012 Annual Meeting
Type:
concurrent
Moderators:
Christopher Najim
Panelists:
Christopher Diamantoukos, Alp Can, Wei Xie
DRM Committee Call Paper Program
Effects of Simulation Volume on Risk Metrics for Dynamo DFA Model
Dynamo version 5, written for use in high performance computing (HPC), as used for this paper, has in excess of 760 random variables, many of which are correlated. We have used this model to produce probability distribution and risk metrics such as Value at Risk (VaR), Tail Value at Risk (TVaR) and Expected Policyholder Deficit (EPD) for a variety of modeled variables. In order to construct many of the variables of interest, models such as Dynamo have cash flow overlays that enable the projection of financial statement accounting structures for the insurance entity being modeled. The logic of these types of models is enormously complex and even a single simulation is time consuming.
This paper begins by examining the effect that varying the number of simulations has on aggregate distributions of a series of seven right-tailed, correlated lognormal distributions. Not surprisingly, the values were found to be more dispersed for smaller sample sizes. What was surprising was finding that the values were also lower when using smaller sample sizes. Based on the simulations we performed, we conclude that a minimum of 100,000 trials is needed to produce stable aggregate results with sufficient observations in the extreme tails of the underlying distributions.
Stochastic GBM Methods for Modeling Market Prices
This paper will apply Geometric Brownian Motion (GBM) models to simulate future market prices. The Cox-Ingersoll-Ross approach is used to derive the integral interest rate generator. Through stochastic simulations, with the key location and shape parameters derived from options market forward curves, the approach yields the full array of price outcomes along with their respective probabilities. The method generates the requisite distributions and their parameters to efficiently measure capital risk levels as well as fair value premiums and best estimate loss reserves. The modeled results provide credible estimators for risk based and/or economic capital valuation purposes. Armed with these distributions of price outcomes, analysts can readily measure inherent portfolio leverage and more effectively manage these types of financial risk exposures.
Source:
2012 Annual Meeting
Type:
concurrent
Moderators:
Pete Thomas
Panelists:
William Scheel, James McNichols, Gerry Kirschner, Joseph Rizzo
Death by Chartjunk? Graphical Excellence in Insurance
Data visualization expert Edward Tufte defines graphical excellence as “consisting of complex ideas communicated with clarity, precision, and efficiency.” This session will seek to promote graphical excellence in the insurance world. The first presentation will describe some basic principles of data visualization as laid out by Tufte, and then provide examples, both good and bad, of displaying common insurance data. The second presentation will discuss techniques for visualizing variability across a group of risky variables, including the impacts of diversification and correlation. Illustrating such concepts graphically can be challenging, and various techniques will be discussed. Lively discussion and strong opinions by the audience will be encouraged throughout the presentations!
Source:
2012 Annual Meeting
Type:
concurrent
Moderators:
Pete Thomas
Panelists:
Christopher Gross, Adam Troyer
Current Events in Workers' Compensation - Focus on New York
The latest developments in workers compensation laws, benefits, and trends will be presented, with a focus on recent changes in New York.
Source:
2012 Annual Meeting
Type:
concurrent
Moderators:
Christopher Cooksey
Panelists:
Ziv Kimmel, Ann Bok
Crowdsourcing Predictive Analytics: Using 45,000 Heads without Losing Yours
Astronomical amounts of data are being collected each day. This is not only making it difficult for companies to cope with the data deluge, but is also making it harder to distinguish useful analytics from the big data hype. While much of the development in recent years has focused on tools to manage large volumes of data, comparably less effort has gone into the vital task of using it. Crowdsourcing the analysis task through data mining competitions addresses this imbalance in the marketplace. In this session, we will discuss the remarkable efficiency of using prizes to drive innovation, how other organizations have used predictive modeling competitions to surpass their best efforts, the risks involved, practical steps to crowdsource the analysis of your own company's data, and how to ensure your data remains secure.
Source:
2012 Annual Meeting
Type:
concurrent
Moderators:
Jason Nonis
Panelists:
Linda Brobeck, Floyd Yager, William Cukierski
CAS & You for New Fellows
The CAS is the organization that has provided New Fellows with development and learning opportunities through the examination process. Do you know the mission of the CAS, its history or governance structure? Are you familiar with the member services available from the CAS? Joanne Spalla, current Leadership Development Committee Chair and former CAS Board member, will provide this information and more. Here you will find information about the additional personal development and enrichment available through the many CAS volunteer opportunities. New Fellows are expected in the Osprey Ballroom from 7:00 a.m. - 8:00 a.m. on Wednesday.
Source:
2012 Annual Meeting
Type:
concurrent
Moderators:
Jason Nonis
California Workers Compensation - Focus on SB 863
The three things that you can always count on are death, taxes, and change to the California worker's compensation landscape. In September of this year, Senate Bill 863 was enacted into law. In a joint collaboration between Labor and Business, permanent disability benefits were increased and various changes to the system were made that will reduce costs. Most agree that this law is a step forward, and what remains to be seen is how much of the cost reduction effort will stand the test of legal and procedural challenges.
The speakers will outline the changes incorporated in this new law, along with their assessment of the likely impact on California WC loss costs.
Source:
2012 Annual Meeting
Type:
concurrent
Moderators:
Jason Nonis
Panelists:
David Bellusci, Alex Swedlow
Business Process Simulation for Claims Transformation
Business Process Simulation is a well-established method for process planning and reengineering because it captures the variability and uncertainty in complex systems. Unlike management solutions with spreadsheets that are often based on averages, or static workflow diagrams, simulation captures the end-to-end interdependencies and variability among processes and resources. Instead of an implement, wait, and measure approach, simulation enables a system to be studied over time without actually impacting that system because months or even years of activity can be simulated in a matter of minutes or seconds. Finally, simulation also allows different strategies to be studied in a low-cost, risk-free environment on a laptop prior to implementation, resulting in better requirements, better ideas, and more successful implementations.
Westfield Insurance is undertaking a replacement of its legacy claims system. In addition to dramatically changing our claims intake strategy, we had several business process and staffing changes we were considering. However, we had no way to test these options prior to implementation, so we were relying on gut feel and best guesses of subject matter experts. Finally, we needed to know the process implications of implementing predictive analytics at various points in the process.
This presentation will discuss how, after mapping our as-is processes and translating those into a business process simulation, we were able to establish a baseline for our key performance indicators that matched our historical process performance. We will discuss how we were able to use the simulation to test and compare whether the to-be changes we were considering were going to have a significant, positive impact on our processes. In addition, we will discuss how several instances of anecdotal evidence that would have sidetracked the system implementation were identified and unsubstantiated with factual data analyses and how the simulation drove requirements for our system implementation that we had initially eliminated from consideration. Finally, we will show an animated demonstration of the actual model.
Source:
2012 Annual Meeting
Type:
concurrent
Moderators:
Jason Nonis
Panelists:
Elizabeth Riczko, Melissa Marshall, Mark Grabau
ASOP. No. 36 - Results from the First Year under the Revised Standard
Actuarial Opinions on the liabilities recorded in the 2011 Annual Statements were the first statutory opinions to be issued under the revised ASOP No. 36. Bring your experiences, concerns, questions, and interests to share with this panel of expereienced practitioners as they discuss the impact the revised standard had on their opinion season.
Source:
2012 Annual Meeting
Type:
concurrent
Moderators:
Jeff Henrikson
Panelists:
Lisa Slotznick, Kevin Cormier
An Introduction to Captives and Conducting the Annual Reserve Analysis
An interactive discussion of the captive marketplace to include domiciles, types of captives, and common lines of business written. This includes a review of common advantages and disadvantages of captive insurance companies. A case study of the actuarial analysis and methodology behind calculating the captive reserve as well as supporting capital requirements as well as common mistakes and areas of caution.
Source:
2012 Annual Meeting
Type:
concurrent
Moderators:
Jeff Henrikson
Panelists:
Al Rhodes, James Bulkowski
Usage Based Insurance: Setting Realistic Goals and Expectations in Data, Modeling and Implementation
Panelists will discuss practical steps a company can take to design and implement a telematics-based insurance product and further leverage telematics and other predictive factors in ratemaking. The presentations will include collecting data, analyzing data, building predictive models and incorporating new UBI rating variables into existing rating algorithms.
Source:
2012 Annual Meeting
Type:
concurrent
Moderators:
Bill Vasek
Panelists:
Jeff Stempora, Udi Makov, Oren Steinberg
Underwriting Cycles and Reserve Adequacy
Reserve adequacy during the height of both soft and hard markets have ultimately turned out to be inaccurate. While some of this may be due to earnings pressure on management, standard actuarial methodology may not recognize changes in the marketplace as quickly as needed. This session begin with a view from a rating agency executive regarding underwriting cycles, earnings, capital and reserve adequacy. The next speaker will discuss methodologies to improve the accuracy of reserves during inflection points in the underwriting cycle. This will include selecting the a priori loss ratio to current conditions given changes in the underwriting cycle and recognizing initial adverse or favorable development.
Source:
2012 Annual Meeting
Type:
concurrent
Moderators:
Bill Vasek
Panelists:
Matthew Mosher, Brian Brown, Lori Julga
Translating Between Sports Lingo and Numbers
One of the most critical aspects of sports analytics is grasping the meaning of the questions at hand. This is difficult because there are so many clichés around sports that get accepted and applied in vague ways. What does, “Defense Wins Championships” mean? “He is a good player” is one of the most basic descriptions, but turning that into a quantifiable, verifiable, or disprovable statement is vital to making a decision on that player. This concurrent session goes into some of the details of how sports analytics translates from words into numbers and back again.
Source:
2012 Annual Meeting
Type:
concurrent
Moderators:
Bill Vasek
Panelists:
Dean Oliver
Tort Trends and Implications for Liability Insurers
Tort trends are the foundational drivers of outcomes for liability insurers. Current unfolding tort trends stem from social, legal, judicial and political factors influencing common law, which in turn shape court or out-of-court settlements, judgments and verdicts. The frequency and and severity of such judicial proceedings are the basis for liability insurance coverage, premium, and losses. This presentation examines current tort trends, and analyzes implications for liability insurers. The findings have value for actuaries, insurance underwriters and managers in the following insurance lines: primary commercial general liability, D&O insurance, professional liability, EPLI, excess and umbrella insurance, and casualty reinsurance.
The research underlying the presentation analyzes available data from a wealth of sources, including: available state and federal court statistics on tort lawsuit filings; state and legislative data on measures impacting tort law; and insurance company data on liability losses and reserves. The research also includes inputs from discussions with subject matter experts at insurance companies, in legal academia, and in legal practice.
Source:
2012 Annual Meeting
Type:
concurrent
Moderators:
Bill Vasek
Panelists:
Jerry Theodorou, Morris Barto, Heather Henderson
The One Management Habit (You Can't Do Without)
This training shows how to help direct reports discover when their approach to work, a project, problems, etc., is not working (and what to do about it). Our process is very helpful (and non-offensive to others), and it is best suited to people in a supervisory roles or tracks.
Source:
2012 Annual Meeting
Type:
concurrent
Moderators:
Ruth Howald
The Expanding Role of the Actuary in Catastrophe Loss Estimation and Management
For the past two decades, actuaries have relied on catastrophe models for loss estimates used in pricing, reinsurance decision-making, and other important risk management functions. Even though the model calculations are not transparent to actuaries, the model loss estimates are generally used without modification. This session will cover why and how the catastrophe model loss estimates can lack credibility, and how to address this issue. It will cover methods for detecting anomalous numbers, and it will demonstrate alternative approaches for estimating catastrophe losses. Senior executives from insurers and reinsurers will discuss how cat management is changing and how they are using models along with other tools to develop their own proprietary views of risk. The panelists will address how the role of the actuary in this field is likely to evolve in the future.
Source:
2012 Annual Meeting
Type:
concurrent
Moderators:
Lori Ramos-Marilla
Panelists:
Karen Clark, Susan Patschak, Locke Burt, Peter Taylor
State of Reinsurance Market
This session will provide an update on the state of the Property and Casualty Reinsurance Market, the reinsurance needs of various insurance entities as well as how reinsurers are responding to those needs both from a Property as well as Casualty perspective. They will also discuss market and economic factors influencing the pricing and structuring of reinsurance products (such as catastrophe activity, capacity and return on equity).
Source:
2012 Annual Meeting
Type:
concurrent
Moderators:
Yashan Wang
Panelists:
Bruce Fell, Larry McClure, Daniel Ingersoll
Review of the 2012 Elections and their Impact on The P&C Industry
The panel will review the election’s results and evaluate the effect on issues impacting the P&C industry such as: workers’ compensation reform (medical costs), tort reform, regulatory reform.
Source:
2012 Annual Meeting
Type:
concurrent
Panelists:
Deirdre Manna, Raul Allegue, Cliff Leach, Willem Rijksen
