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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.
Professionalism and the Practicing Actuary
The session will reacquaint experienced actuaries with the Code of Professional Conduct and commonly-used Actuarial Standards of Practice (ASOPs). After a short review of these guidance documents, apply that knowledge in several hypothetical case studies that pose ethical dilemmas in a variety of situations. Each case study will include a review of relevant Code precepts and ASOPs that will help frame an ethical solution. Audience participation is highly encouraged to produce more thoughtful solutions to the cases. This session may count as professionalism CE.
Source:
2012 Annual Meeting
Type:
concurrent
Moderators:
Yashan Wang
Panelists:
Emilee Kuhn, Steven Lin, Jamie Mills
Paper Sessions: Loss Distributions & Hachemeister Prize Paper
Empirical Method-Based Aggregate Loss Distributions
This paper presents a methodology for constructing a deterministic approximation to the distribution of the outputs produced by the loss development method (also known as the chain-ladder method). The approximation distribution produced by this methodology is designed to meet a preset error tolerance condition. More specifically, each output of the Loss Development Method, when compared to its corresponding approximation, meets the preset error tolerance. Ways to extend this methodology to the Bornhuetter-Ferguson and the Berquist-Sherman families of methods are described. The methodology is illustrated for a sample loss development history.
Hachemeister Prize Paper: Optimal Reinsurance Under VaR and CVaR Risk Measures: A Simplified Approach
In this paper, we study two classes of optimal reinsurance models by minimizing the total risk exposure of an insurer under the criteria of value at risk (VaR) and the conditional value at risk (CVaR). We assume that the reinsurance premium is calculated according to the expected value principle. Explicit solutions for the optimal reinsurance policies are derived over ceded loss functions with increasing degrees of generality. More precisely, we establish formally that under the VaR minimization model, (i) the stop-loss reinsurance is optimal among the class of increasing convex ceded loss functions; (ii) when the constraints on both ceded and retained loss functions are relaxed to increasing functions, the stop-loss reinsurance with an upper limit is shown to be optimal; (iii) and finally under the set of general increasing and left-continuous retained loss functions, the trunacated stop-loss reinsurance is shown to be always optimal. These results suggest that the VaR-based reinsurance models are sensitive with respect to the constraints imposed on both ceded and retained loss functions while the corresponding CVaR-based reinsurance models are quite robust.
Source:
2012 Annual Meeting
Type:
concurrent
Moderators:
Tim Cardinal
Panelists:
C.K. Khury, Ken Tan
Robustifying Reserving
Robust statistical 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. This session will be joined with P-1 in one time block.
Source:
2012 Spring Meeting
Type:
concurrent
Panelists:
Gary Venter, Dumaria Tampubolon
An Economic Approach to Capital Allocation
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. This session will be joined with P-3 in one time block.
Source:
2012 Spring Meeting
Type:
concurrent
Panelists:
George Zanjani
Workers Compensation: Impact of Changes to Physician Fee Schedules in Workers Compensation: Evidence From 31 States
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.
Source:
2012 Spring Meeting
Type:
concurrent
Moderators:
Andrew Bockelman
Panelists:
Frank Schmid, Brian Ingle
Recent CATs and Their Effects on CAT Modeling
In the past few years the world has experienced some CATs which are somewhat different than normal. Some have been rather large weather systems while others are not. However, these have become costly and more frequent. Some of these CATs have been well accounted for in the current CAT models, while others have not. One in one hundred year storms are happening more frequently than expected. Earthquakes have occurred in places less prepared for them. Tornadoes have touched done in places which have not seen them in years. How well are these occurrences accounted for in current CAT models? How have CAT models been adjusted due to the lessons learned from these occurrences? How has CAT underwriting been adjusted?
Source:
2012 Spring Meeting
Type:
concurrent
Moderators:
Andrew Bockelman
Panelists:
Bill Churney, Sean Devlin, Julie Serakos
Reports from Risk Based Capital Working Parties
Two Working Parties were formed in 2011 to conduct research on the NAIC Risk-Based Capital (RBC) formula. The Dependency and Calibration Risk Working Party (DCWP) submitted a report to the CAS eForum that summarizes 2011 research covering the identification of gaps in the current RBC formula and identification of possible alternative approaches. The Underwriting Risk Working Party (URWP) submitted a report to the CAS eForum that summarizes 2011 research into the potential for improvements to the calculation of underwriting (reserve and premium) risk charges within the constraints of the current NAIC RBC formula and its current parameter calibration procedures. Research in both Working Parties is continuing in 2012. The panelists will discuss the results of the work to date, the directions in which new research continues, and interim results.
Source:
2012 Spring Meeting
Type:
concurrent
Panelists:
Daniel Murphy, Allan Kaufman, Christina Zhou
How to Estimate Risk Margins under Solvency II and IFRS
We'll show you, step by step, how to estimate the risk margin under IFRS and Solvency II, which both use a cost of capital method. Under Solvency II's standard formula approach, several simplifications can be used to determine future required capital that eventually flows into the cost of capital method. We will review the various simplifications and provide examples of the methods most commonly used by insurers during the Solvency II QIS 5 exercise.
We will also tackle the questions:
How does the IFRS risk margin differ from the Solvency II risk margin? Which one will be higher?
What assumptions are needed to practically estimate a Solvency II risk margin, and what are some data issues and complexities to consider when estimating the Solvency II risk margin?
How would these risk margins compare with real-life transfers of liabilities?
Source:
2012 Spring Meeting
Type:
concurrent
Moderators:
Andrew Bockelman
Panelists:
Jessica Leong, Arthur Zaremba
Avoiding Litigation and Disciplinary Risk
As a practicing actuary you may face the risk of professional litigation or disciplinary risk in pursuing your profession. Learn how to reduce these risks for yourself and your company, from a panel of experts including an attorney who specializes in defending actuaries in professional litigation and a former member of the ABCD. The session is expected to be highly interactive! This is the opportunity to improve your understanding of both the litigation and disciplinary processes, to learn steps that you can take to reduce the probability of your becoming involved in either process, to learn how best to manage the process should you become involved, and to get your questions answered.
Source:
2012 Spring Meeting
Type:
concurrent
Moderators:
Donald Closter
Panelists:
Michael Toothman, Ronald Lepinskas
The Next Big Thing in Insurance Coverage
“Where there’s a crisis, there’s a buck to be made”. In the wake of the Tiger Woods scandal, DeWitt Stern, a risk management and insurance brokerage firm, launched “reputational risk insurance” in early 2010. Reputational risk is related to the trustworthiness of business, where damage to a firm’s reputation can result in lost revenue or destruction of shareholder value, even if the company is not found guilty of a crime.
With the boom in social media, interest in reputation risk has increased substantially. Recently several major insurers have introduced policies that address reputational risk exposure, as well as risk management services to help corporations keep their reputations intact.
During this session, our panelists will discuss the concept of Reputational Risk Insurance, risk assessments of insureds, covered perils, as well as potential claim investigation processes.
Source:
2012 Spring Meeting
Type:
concurrent
Panelists:
Peter Hirsch, Scott Kannry, Jane Veeder
The Next Big Thing in Insurance Coverage
“Where there’s a crisis, there’s a buck to be made”. In the wake of the Tiger Woods scandal, DeWitt Stern, a risk management and insurance brokerage firm, launched “reputational risk insurance” in early 2010. Reputational risk is related to the trustworthiness of business, where damage to a firm’s reputation can result in lost revenue or destruction of shareholder value, even if the company is not found guilty of a crime.
With the boom in social media, interest in reputation risk has increased substantially. Recently several major insurers have introduced policies that address reputational risk exposure, as well as risk management services to help corporations keep their reputations intact.
During this session, our panelists will discuss the concept of Reputational Risk Insurance, risk assessments of insureds, covered perils, as well as potential claim investigation processes.
Source:
2012 Spring Meeting
Type:
concurrent
Panelists:
Peter Hirsch, Scott Kannry, Jane Veeder
Homeowners Insurance in the Lone Star State
Texas homeowners face hurricanes, hailstorms, tornadoes, and other severe weather on a regular basis, making the Texas market one of the most daunting in the US: from 2001-2010, the P&C industry lost over $2.5 billion in Texas homeowners insurance. What does the future hold? This session will feature an engaging discussion about opportunities to make the market viable for both the industry and consumers. Many of the conclusions will also be of interest to those facing similar challenges in coastal and severe weather states throughout the US.
Source:
2012 Spring Meeting
Type:
concurrent
Moderators:
Donald Closter
Panelists:
James Murphy, Robert Zeman
Business Communication & Behavior Styles
This highly interactive 90 minute session is focussed on identifying and gaining better insights into the different business communication and behavior styles. Having a clearer understanding of how our stakeholders and decision makers communicate, process information and make decisions, allows us to influence, inform, build rapport and credibility in addition to developing a more flexible communication approach.
Source:
2012 Spring Meeting
Type:
concurrent
Moderators:
Ann Smith
Panelists:
Yvonne Tam
Chain Ladder Correlations
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.
This paper will be combined with P-2 into one session.
Source:
2012 Spring Meeting
Type:
concurrent
Moderators:
Bob Weishaar
California WC and Pension Modeling
In this session, the first speaker will provide insight into California Workers Compensation by
- detailing the new industry pure premium benchmarking methodology and how to interpret it
- discussing the drivers of the poor industry results and what may lie ahead for the industry.
The second speaker will present a mortality-based approach to claims reserving for WC in all States and explain why this approach could lead to better reserving for old cases.
Source:
2012 Spring Meeting
Type:
concurrent
Panelists:
David Bellusci, Brian Jones
A Basic Predictive Modeling Exercise in R, and Other Tips
The main speaker at this session will present a simple auto rating exercise in R using the interactive R interpreter. Steps will include importing data, comparing a couple of models, and producing basic exhibits. The R code used in the presentation will be made available.
The first half of the session will be in the format of a series of Lightning Talks. Each five-minute Lightning Talk will demonstrate how to accomplish something useful in R. The speakers and subject matter are to be determined based on volunteer submissions.Here is the list of Lightning Talk speakers and their topics:
Linda Brobeck, Brobeck Analytics Consulting
Decision Trees
Dave Evans, State Farm
Bootstrapping
Andy Kirtland, Safeco
Simulating Random Variables and
User Built Functions
Kirsten Singer
Exchanging Data between R and Excel
Dan Murphy (if time)
Increased Limits Factors with the 'Actuar' Package
Source:
2012 Spring Meeting
Type:
concurrent
Moderators:
Bob Weishaar
Panelists:
Benedict Escoto
An Update on IFRS for Insurance
The IASB and the FASB have divergent views on how IFRS for Insurance might work. The CAS Accounting Changes Research Committee has been formed to monitor how IFRS develops, provide research for the American Academy of Actuaries Public Policy Statements on this topic, as well as educate CAS membership
The Committee under the direction iof the Chair Steve Visner has been monitoring these events over the past 18 months. There are expected to be many developments over the next 12 months culminating in possible final regulations from both accounting bodies in the first half of 2012.
Of paricular interest to actuaries will be issues related to risk margins , discounting, and financial statement presentation each of which will require potential major changes in the manner actuaries perform their day to day work .
Source:
2012 Spring Meeting
Type:
concurrent
Moderators:
Bob Weishaar
Panelists:
Marc Oberholtzer, Parr Schoolman, Gareth Kennedy, Steven Visner
Ratemaking Documentation: Does Yours Make the Cut?
This discussion based session will review a sample actuarial rate filing produced to support a fictional company's rating plan update, focusing on how that filing holds up relative to the actuarial standards of practice governing rating work products. The session would involve the participants breaking out into smaller groups, reading through the filing, and discussing the filing’s shortcomings in relation to ASOP 12, ASOP 41, Statement of Principles and overall application of actuarial judgment. Once the smaller group discussions are complete, the entire session would come back together to discuss each smaller group’s findings, in hopes of generating conversation about and consensus around best practices.
Source:
2012 Spring Meeting
Type:
concurrent
Panelists:
Linda Brobeck, Dan Tevet
Global Economic and Insurance Market Outlook
The global economic outlook is currently extremely uncertain and depends greatly on the actions of policymakers, particularly in Europe, but also in the U.S. To what extent will the European debt crisis and recent global catastrophes impact the insurance industry? Are reinsurers sufficiently capitalized to weather these financial storms along with whatever 2012 and 2013 may bring? How was the market for Insurance Linked Securities impacted by recent events, and what role will they play in the next few years?
Panelists will discuss these issues and the short- and long-term economic outlook for the insurance industry in light of recent economic events.
Source:
2012 Spring Meeting
Type:
concurrent
Moderators:
Jeremy Benson
Panelists:
Thomas Holzheu, David Flandro
Actuarial Standard of Practice No. 8: Regulatory Filings for Health Plan Entities
Health actuaries have an ASOP governing, among other things, the preparation and review of the rate filings that are required to be made with regulatory entities. Some regulators think that might be a good idea for P&C rate filings. Hear from health actuaries experienced in making filings under this standard about how the standard came to be, updates planned to accommodate the recent federal health care reform, and the benefits and constraints they see the standard as offering. Be prepared to ask questions so you can decide if this would be a good idea for P&C.
Source:
2012 Spring Meeting
Type:
concurrent
Moderators:
Ron Baker
Panelists:
Audrey Halvorson, Donna Novak
Risk and Sustainability
In today's world, leaders in every sector (business, government, and non-governmental organizations) must be able to identify and manage economic, environmental, societal, geopolitical, and technological risks, many of which threaten the strategic competitiveness of businesses. Many of today's risks stem from unsustainable growth in resource consumption, and the ability of diseases, economic failures, and political unrest to spread quickly around the world through increasing global interconnections. Some are due to climate changes that affect everyone. Others are created by the legitimate changes in businesses practices, such as cutting costs through sourcing of materials and labor from developing countries, and increasing reliance on technology for operational performance.
Major segments of the world's business communities are developing and encouraging more sustainable systems to help manage risks that encompass business functional areas, including human resources, marketing, finance, accounting, real estate, manufacturing, operations, and corporate governance. Businesses are beginning to develop strategies beyond compliance and mere sustainability and into areas which will have a positive impact on system-wide risks. Examples include strategies for viable alternate energy and affordable transportation not based on fossil fuel, as well as making a positive environmental impact through carbon reduction, developing treatments for poverty-induced diseases, alleviating food and water shortages, responding to disasters, and bringing products and services to ignored markets in developing countries (i.e., microfinance, microinsurance, and crop insurance ).
This seminar will give participants a template for identifying risks and will leave them with a methodology for analyzing external risks, including global risks, and will show them how these articulate with the ERM framework that insurers use. In-depth discussion on three risks will be made. The participants will:
Vote on the top risks.
Prepare Ishikawa diagrams on root causes.
Draw risk maps showing the relationships among various risks .
Report on how these external risks can be articulated into their own ERM framework.
In groups, risks will be identified and relationships will be graphically portrayed, along with development of risk maps and identification of interrelationships. Specific examples of how business and government practices that are based on short-term unsustainable growth lead to risk will be discussed.
Potential in-depth discussion on these topics include:
Unsustainable government and business practices creating global economic contagions.
Financial regulation.
Climate change.
Global pandemics
Unsustainable infusion of capital (e.g., mortgage crisis)
Source:
2012 Enterprise Risk Management Symposium
Type:
concurrent
Panelists:
Kevin Ahlgrim, Krzysztof Ostaszewski, James Jones
Risk Architecture: Alignment of Business Strategy and Objectives and Risk Appetite and Limits
This seminar will address the challenges faced by banks and insurance companies in building an integrated risk management function to support the efficient use of capital and management of risk. Industry practitioners and regulatory supervisors will provide insights and guidance that can help in developing a coherent risk measurement and management framework, which is aligned with business strategy, regulatory requirements, and investor return objectives. The interactive sessions and a panel discussion will cover leading practices in implementing top-down and bottom-up integration of risk and capital management. The sessions will cover:
Alignment of risk with business strategies and objectives
The need for a capital capacity, appetite and limit (CAL) framework
Comprehensive definition of risk appetite
Coherent risk and capital measures
Evolving from capital attribution to capital allocation and optimization
Harmonized return, risk and capital allocation
Emerging risks and risks interconnection
Effective governance and senior management oversight
Source:
2012 Enterprise Risk Management Symposium
Type:
concurrent
Moderators:
Ron Baker
Panelists:
Bogie Ozdemir, Colin Lawrence
"Really Out There" - Lessons from Non-Financial Industry on the Evaluation and Treatment of Extreme Events
Most approaches to risk management include a review of numerous historical events. Thousands or even millions of events are commonly used in the measurement of common insurance risks. But even insurance risk modelers are familiar with the difficulties of evaluating events "out in the tail" of the risk distribution. While these events are difficult to measure for financial firms, consider the needs of the risk manager in organizations where health, life, and economic damages from a single event can span decades, affect millions of people, and cost billions of dollars.
In this session, risk management professionals with international industrial perspectives will explore risks their organizations face, how they evaluate them, and how they plan for handling the consequences of a worst-case event. The approaches used by these organizations will provide insight into alternative means of evaluating and treating extreme events. Each participant will provide an overview of their risk management processes. A lively discussion, directed by questions and comments from the audience, will follow.
Source:
2012 Enterprise Risk Management Symposium
Type:
concurrent
Moderators:
Ron Baker
Panelists:
James Tunkey
Regulatory Update
Christina Urias, who has been heading the NAIC Solvency Modernization Initiative, will discuss the new NAIC ORSA requirements and state based regulation of insurance company ERM in general. Dr. Lawrence will discuss similar issues in the European Union. Michael Angelina will discuss how a CRO of a large multi-national (re)insurer deals with all of the changes in regulation in the US, Bermuda, and the EU. This session will provide attendees with an update on recent ERM regulatory issues, compare and contrast the differing regulatory approaches across jurisdictions, and discuss how insurance company risk professionals cope with the rapidly changing landscape.
Source:
2012 Enterprise Risk Management Symposium
Type:
concurrent
Moderators:
Ron Baker
Panelists:
Michael Angelina, Colin Lawrence, Christina Urias
Using Capital Models to Support Management Decision Making
This session builds on the presentation by Halpert/Nyce during the 2010 ERM Symposium entitled "Integrating Risk and Performance Management" and supplements the Personal Lines case study of last year. The 2010 session provided a theoretical framework for using capital models to support a wide variety of management decision making. This 2012 session will provide a practical case study on how to utilize the framework with an E&S example. An implementation of a capital model for a hypothetical Excess & Surplus lines insurer will be presented using actual industry benchmark data for typical E&S lines. Concepts from the paper "Integrating Risk and Performance Management" will be illustrated. Included will be approaches to obtaining quantitative estimates of the direction of the efficient frontier and setting strategic plans to move the organization towards achieving an appropriate return commensurate with the level of risk assumed within the organization. Examples will be presented using the concepts to evaluate alternative reinsurance arrangements, and strategic acquisitions. The presentation will focus on results of using the model, both expected and surprising, as well as considerations in building the model, the main challenges faced, and remaining opportunities to improve and sharpen the analysis. The objective of the session is to make embedding capital models in management decision making not just a theoretical goal, but a series of identified tangible steps and challenges that attendees will be better prepared to tackle at their own companies.
Source:
2012 Enterprise Risk Management Symposium
Type:
concurrent
Moderators:
Sandra Ross
Panelists:
Chris Suchar, James McCreesh
