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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.
M&A Activity in the Insurance & Reinsurance Industry
Since the credit crisis in 2008 M&A insurance and reinsurance activity has been on the rise. With speculation that valuations may have bottomed out, and that the industry may have excess capital, those companies that are looking to grow are doing so by acquiring market share.
This session will investigate current M&A trends in the marketplace.
Panelists will summarize recent (post-2008 M&A activity) and comment on how the underwriting cycle, interest/inflation rate changes and capital market events will affect upcoming activity.
Source:
2011 Annual Meeting
Type:
general
Moderators:
Karen DeToro
Panelists:
Jerry Theodorou, Robert Giammarco, Jack Sennott
Correlated Random Effects for Hurdle Models Applied to Claim Counts
New models for panel data that consist of a generalization of the hurdle model are presented and are applied to modeling a panel of claim counts. Correlated random effects are assumed for the two processes involved to allow for dependence between all the contracts held by the same insured. A method to obtain a posteriori distribution of the random effects as well as predictive distributions of the number of claims is presented. A numerical illustration of reported insurance claims shows that if independence between random effects is assumed, then the variance of a priori premiums may be underestimated. If dependence between random effects is considered then the predicted number of claims given past observations and covariate information and its variance is also larger than the one obtained when independence is assumed.
Source:
2011 Annual Meeting
Type:
paper
Panelists:
Jean-Philippe Boucher, Michel Denuit, Montserrat Guillén
Variance Paper Presentations Credibility for a Tower of Excess Layers
In pricing excess of loss reinsurance, the traditional method for applying credibility is as a weighted average of two estimates of expected loss: one from experience rating and a second from exposure rating. This paper will show how this method can be improved by incorporating loss estimates from lower layers; producing a multifactor credibility-weighted estimate of expected loss. The method described is based on minimum variance criteria, whereby the resulting credibility-weighted estimator has a lower variance than any other combination of the individual estimators. It is shown that the multifactor credibility model can be presented as a simple recursive procedure for practical application.
Source:
2011 Annual Meeting
Type:
paper
Moderators:
Karen DeToro
Reserving Documentation: Does yours make the cut?
This session will entail the review of a sample work product relative to specific Actuarial Standards of Practice. Both those Standards and that work product have been posted to the CAS website. Members planning to attend this session are highly encouraged to review the items prior to the session in order to facilitate a more robust discussion, and to have them available for reference during the session via your personal laptop, tablet PC, or personal paper copy. There will be paper copies available for members to review during the session, but only a limited number.
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:
2011 Annual Meeting
Type:
concurrent
Panelists:
Patrick Gilhool, Terry Klodnicki
Keywords:
Reserving Documentation
It's Not Just For Pension Actuaries: What Every Actuary Should Know About Social Security Funding
This session will provide attendees with a politically neutral understanding of Social Security funding-how big of a hole we have dug ourselves into and what the options are for filling it back up.
Attendees will then break into an interactive discussion about how our professional ethics might come into play regarding how quiet we are about the whole situation. As actuaries (albeit P&C actuaries) should we not be the resident experts at cocktail parties and company luncheons? Should we be standing on soapboxes telling our friends and relatives about the current state of affairs?
Source:
2011 Annual Meeting
Type:
general
Moderators:
Karen DeToro
Panelists:
Thomas Terry, Stephen Goss, Janet Barr
Latest Research on Capital Allocation
Capital allocation is a theoretical exercise, since all of a firm's capital could be depleted to cover a significant loss arising from any one segment. However, firms do need to allocate capital for pricing, risk management and performance evaluation. One versatile allocation method, the Ruhm-Mango-Kreps algorithm, has several key advantages: additivity, simplicity and flexibility. However, the approach is so flexible that it can be used to produce many different values instead of having a single answer. In this paper, the cost of capital in financial markets is incorporated into the Ruhm-Mango-Kreps algorithm to yield one allocation that reflects the true cost of capital an insurer would face.
Source:
2011 Annual Meeting
Type:
concurrent
Moderators:
Karen DeToro
Panelists:
Stephen D'Arcy, Dave Clark
Keywords:
Capital Allocation
Solvency Modernization Initiative
The NAIC's Solvency Modernization Initiative is a critical self-examination intended to update insurance solvency regulation including the potential integration with international accounting standards.
The focus includes all aspects of an insurer's financial condition including corporate governance, risk management and group supervision. The panel will discuss the progress to date and the expectations for the next few years and hear from a US actuary about her experiences with data quality requirements stemming from Solvency II.
Source:
2011 Annual Meeting
Type:
concurrent
Moderators:
Karen DeToro
Panelists:
Kris DeFrain, Mary Kannon, Andrew Stolfi
Keywords:
Solvency Modernization Initiative
Variance Paper: Pricing in a Competitive Insurance Market Driven by Fractional Noise
Motivated by the empirical evidence of the long-range dependency found within the Greek motor insurance market, we formulate a particular stochastic pricing model in a continuous framework. We assume the structure of a competitive insurance market where the business volume of each company is directly related to the existing relativity between the company's premium and the market's average premium. Using a simple demand function and modeling the movements of the market via a fractional Brownian motion, we derive the optimal premium control strategy. Finally, we support the importance of the specific approach by a short application. It is shown that the optimal premium strategy is considerable different under the absence or existence of the long-range dependency.
Source:
2011 Annual Meeting
Type:
paper
Moderators:
Karen DeToro
Panelists:
Alexandros Zimbidis
Hachemeister Prize Paper: A Practical Approach to Risk Margins in the Measurement of Insurance Liabilities for Property and Casualty (General Insurance) 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:
(1) Recognizes risk and uncertainty in the amount and timing of future payments needed to satisfy insurance liabilities;
(2) 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
(3) Provides useful financial information for users of IFRS financial statements.
Source:
2011 Annual Meeting
Type:
paper
Moderators:
Karen DeToro
Panelists:
Robert Miccolis, David Heppen
Does a Captive need an AM Best Rating?
This session will feature a captive manager (who has eight AM Best rated companies in his portfolio) discussing the pros and cons of a captive seeking a rating, as well as a representative from AM Best discussing the process and ongoing requirements for a rating. The importance of actuarial data to seeking a rating, as well as on an ongoing basis, will be considered. Advantages of a rating are lower borrowing costs, possibility of eliminating fronting charges and market acceptance. Disadvantages are the potential capital implications to maintain a rating, annual time and costs, and the need for quality data and stability in management and financial results. The session will discuss what factors should drive the decision to seek the rating, and whether the rating process itself had an impact on the actuarial evaluation and reports.
Source:
2011 Annual Meeting
Type:
concurrent
Moderators:
Karen DeToro
Panelists:
Gary Osborne, Steven Chirico
Keywords:
Captive
Financial and Human Toll of the Great Tohoku Earthquake in Japan
This is a report from Japan that experienced the Great Tohoku Earthquake. It will consist of a discussion on the loss experience by the Earthquake, influence of the disaster, the insurance scheme and regulation concerning earthquakes, and other related topics. Panelists from the insurance industry in Japan will discuss what and how the insurance industry should be able to provide as solutions for the unexpectedly huge losses caused by the Earthquake.
Source:
2011 Annual Meeting
Type:
concurrent
Moderators:
Karen DeToro
Panelists:
Daisuke Nishihara, Masato Tomihari, Yuki Nii
Keywords:
Earthquake
Current Topics in Homeowners
Focusing on the perspectives of a company, a regulator, and a consultant, session panelists will discuss a wide variety of issues currently affecting homeowners insurance. These topics include understanding and predicting changing weather patterns and mitigating the effect on insured properties. Another factor in homeowners is declining home values, which affects credit scores and insurers' costs of abandoned homes. Customers also have expectations of reduced premiums, not understanding that replacement costs haven't necessarily decreased with the market value, thus causing increased customer dissatisfaction. Homeowners pricing is also becoming more and more sophisticated. In addition, technology such home telematics and inventory tools (digital photos, RFID) as well as emerging risks (the effects of drilling and aging infrastructure) are also having an impact on this line.
Source:
2011 Annual Meeting
Type:
concurrent
Moderators:
Karen DeToro
Panelists:
Robert Curry, Tom Botsko, Dan Pickens
Keywords:
Current Topics in Homeowners
Ratemaking Documentation: Does yours make the cut?
This session will entail the review of a sample work product relative to specific Actuarial Standards of Practice. Both those Standards and that work product have been posted to the CAS website. Members planning to attend this session are highly encouraged to review the items prior to the session in order to facilitate a more robust discussion, and to have them available for reference during the session via your personal laptop, tablet PC, or personal paper copy. There will be paper copies available for members to review during the session, but only a limited number.
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:
2011 Annual Meeting
Type:
concurrent
Panelists:
Rebecca Williams, Emilee Kuhn
Keywords:
Ratemaking Documentation
CAS Examination Process: Present and Future
The examination process continues to be of great interest to CAS members and candidates. The Examination Committee continues to refine the process of writing and grading exams in order to more appropriately identify the qualified candidates. The committee is also working with the Syllabus Committee to review learning objectives to ensure that they are at the appropriate cognitive level. The panel will highlight some of the changes including learning objectives, question-writing training, and setting pass scores as well as the committee experience. Time will be allowed for questions.
Source:
2011 Annual Meeting
Type:
concurrent
Moderators:
Karen DeToro
Panelists:
Rajesh Sahasrabuddhe
Keywords:
examination process
Medical Professional Liability Updates and Innovations
Medical professional liability insurance (MPLI) has seen many significant changes over the last decade. During the early years of 2000, many medical malpractice carriers were suffering solvency issues due to soft market conditions and emerging reserve inadequacies. The subsequent hard market led to many changes, including the formation of numerous start-up MPLI companies. In recent years, MPLI has been very profitable. This profitability in conjunction with prolonged soft market conditions has inspired a number of recent acquisitions. Changes in the healthcare system are also having a significant impact on MPLI. This session will discuss the current status of the MPLI market, where the market might be heading, and the impact of healthcare changes on MPLI.
Source:
2011 Annual Meeting
Type:
concurrent
Keywords:
Medical Professional Liability
Effectively Utilizing Vehicle Telematics Data
Vehicle telematics is steadily increasing in prominence with seemingly limitless potential applications in insurance pricing, underwriting, and claims handling. However, in order to successfully incorporate of this wealth of information, the insurance industry must invest not only in new analytic methods but also in developing and maintaining the associated databases. Due to the scale and novelty of the data this may seem to be a daunting undertaking. This session will focus on techniques for organizing a versatile telematics database as the basis for building products and analyses. We will contrast the structure of a telematics database with existing underwriting and actuarial databases, and address some related topics such as privacy concerns.
Source:
2011 Annual Meeting
Type:
concurrent
Moderators:
Karen DeToro
Panelists:
Jim Weiss, Colin Sutherland, Udi Makov
Keywords:
Vehicle Telematics Data
Loss Reserve Variability Workshop
Based on introductory material from the Loss Reserve Variability Limited Attendance Seminar and on similar sessions presented at the Casualty Loss Reserve Seminar, this workshop covering two back-to-back concurrent session time blocks covers the following:
basic probability in Excel
Simulating random variables in Excel
Parametric Loss Development Factor model
Testing the assumptions of reserve models.
Source:
2011 Annual Meeting
Type:
concurrent
Moderators:
Karen DeToro
Panelists:
Mark Shapland
Keywords:
Loss Reserve Variability
The Painful Truth About Workers Compensation Medical Severity Trends
This session will feature two well-known speakers in the workers compensation medical arena discussing its most difficult problem - pain management. Improper pain treatment drives up medical and indemnity claims costs today. This fact has even reached the mainstream media, with myriad stories of physicians over-prescribing high-potency prescription drugs to workers compensation claimants.
The speakers and moderator will provide an update on medical cost containment trends as well as pain management research. This will include a discussion of the implications of the research into opioid usage and its effect on claim duration, medical cost, abuse addiction and dependency, settlements and other issues. Recent studies from the California Workers Compensation Institute will be discussed.
The goal of this session is help the audience better understand a significant cost driver in an attempt to better monitor and help solve the problem of high medical severity in workers compensation.
Source:
2011 Annual Meeting
Type:
concurrent
Moderators:
Karen DeToro
Panelists:
Alex Swedlow, Joseph Paduda
Keywords:
Workers Compensation, Medical Severity Trends
Facts and Fiction of Statistical Significance
The use of p-values in statistical analysis and decision-making has received increased criticism in academic writings over the past couple of years. This controversy was brought to the attention of the general public in two recent articles in The New Yorker [3] and the New York Times [1]. What is more, earlier this year, the Supreme Court [5] had to concern itself with the validity of statistical evidence established by p values in the context of drug trials.
In an influential paper, Sellke, Bayarri, Berger [4] show that the probability of observing a given small p-value (of, for instance, 0.05) is about as high if the null hypothesis is true as when it is not. Consider the following experiment of a coin toss. Assume the coin is tossed 200 times and heads comes up 115 times. In a standard test on statistical significance, one would reject the null hypothesis of the coin being fair based on a p value of 0.04 in a two-tailed test. Yet, the probability of observing 115 heads is about the same under the assumption of the coin being fair (p=0.005956) as under the assumption of the coin not being fair (p=0.004975).
In the presentation, I make the case against p values but also show how to calibrate traditional p values as odds ratios based on Sellke, Bayarri, and Berger [4]. Further, I show how to calculate the probability of the null hypothesis being true using methods of variable selection. Finally, based on Gelman and Weakliem [2], I demonstrate how to evaluate the relevance of covariates that turn out statistically insignificant. All examples are demonstrated live and the associated R code is made available to the public.
Source:
2011 Annual Meeting
Type:
concurrent
Moderators:
Karen DeToro
Panelists:
Chris Laws
Keywords:
Statistical
The Business of Run-Off
The growth of run-off firms looking to acquire business that is discontinued or placed into run-off has grown considerably as investors look to target this sector for non-correlated returns with an attractive risk profile. How do run-off firms see value in business that an ongoing company has discarded? This panel will look at run-off from the view of the business acquirer and from the view of the organization that places business into run-off.
Source:
2011 Annual Meeting
Type:
concurrent
Moderators:
Karen DeToro
Panelists:
Steven Herman, Stuart Wrenn, Klaus Endres
Keywords:
Business of Run-Off
Loss Reserving Using Credibility and Growth Curves
This session will discuss how to model loss development with growth curves, beginning with Dave Clark's "LDF Curve Fitting" model for a single line of business. Recent research in a hierarchical, multi-line extension will be presented.
Source:
2011 Annual Meeting
Type:
concurrent
Moderators:
Karen DeToro
Panelists:
James Guszcza, Dave Clark
Keywords:
Loss Reserving Using Credibility and Growth Curves
Severe Weather Ratemaking
The last few years have been filled with various weather events that are putting existing property ratemaking methodologies to the test. This session will bring multiple severe weather issues to light and discuss potential ways to adjust indicated loss provisions to account for these issues. The problem will be approached from both a modeling perspective as well as from a historical loss perspective.
Source:
2011 Annual Meeting
Type:
concurrent
Moderators:
Karen DeToro
Panelists:
David LaLonde, Kathryn Rokosz
Keywords:
Severe Weather Ratemaking
A Presentation About Presentations: Creating the "Dynamic Actuary"
Like many business people in general, some actuaries are averse to making presentations; or, they lack the experience and/or confidence to be effective speakers. This session will help actuaries devise a game plan for confronting the fear of "performing" in front of an audience. The goal of the session is to help presenters build confidence by identifying individual strengths in communication skills, which will help to override weaknesses when it comes to presenting.
Most actuaries are regularly called upon to present complex concepts to varied audiences. The more that actuaries can improve upon their presentation skills, the greater their visibility grows within an organization (primary insurer, reinsurer, consulting firm, brokerage house). Today, actuaries are counted on to present actionable information to CEOs, CFOs, CROs and boards of directors, in addition to clients and peers at industry conferences.
Specifically, the session will consist of fun and playful "mock" presentations by groups (not individuals) of six-to-eight to help all individuals identify and meld personal and professional strengths and traits to help turn the attendee into the "Dynamic Actuary."
Source:
2011 Annual Meeting
Type:
concurrent
Moderators:
Karen DeToro
Choosing the Right Territory
Modifiable Areal Unit Problem (MAUP) is a widely known issue in fields like epidemiology, political science, economic geography. In this session we will introduce and discuss this topic in the context of insurance, specifically territorial ratemaking and monitoring.
For many geographic studies, we need to aggregate spatial data from the smallest units (street level address, lat-long) to some territorial groups (preferably contiguous, e.g. zip codes, census blocks etc.). This required spatial grouping leads to the problem known as MAUP. As described by S Openshaw in his 1984 paper, the origin of MAUP is "the areal units (zonal objects) used in many geographical studies are arbitrary, modifiable, and subject to the whims and fancies of whoever is doing, or did, the aggregating". In insurance context we see this phenomenon often times as there is no standard procedure for choosing territorial boundaries. Most recent trends suggest using zip codes or census blocks; both of which are actually devised for non-insurance purpose and may not be optimal for insurance ratemaking purpose. More importantly, territorial base rates may change drastically with the choice of territorial boundary definition.
There are two main elements of MAUP: First, scale problem - which deals with the variation caused by the number of territories used in the analysis. Cost level of a representative territory should be close to its member insured. Larger territory can fail to preserve the property of its members. This is also known as ecological fallacy. Recent development in Insurance has addressed this problem to a great extent by using granular territorial definitions (zip codes, census block etc.). However, the second element of MAUP, aggregation problem, is very much present and needs to be addressed in insurance ratemaking. Aggregation problem arises when there exists significant variation in results due to the use of alternative territorial boundary definitions (with same number of units). Different territorial definitions generate different territorial base rates for the same insured, which may be even different from insured's true base rate.
When we will use most of the session discussing and understanding the relevance of MAUP in insurance ratemaking, we will spend the rest of the time proposing a different techniques that will help making better statistical inference and business decision in the existence of MAUP.
Source:
2011 Annual Meeting
Type:
concurrent
Moderators:
Karen DeToro
Panelists:
Satadru Sengupta
Keywords:
Modifiable Areal Unit Problem (MAUP), territorial ratemaking and monitoring
Looking Back to See Ahead: Retrospective Testing of Loss Reserves
By linking sequential Schedule P reports by insurer, it is possible to compare the reserve estimates with subsequent outcomes. The first presenter will focus on the "skill" of different methods as applied at different evaluations and for different lines of business. The second presenter will discuss tests of the predictive distributions for a variety of models of reserve variability. Analyses in both cases are based on real-world data with an emphasis on practical results.
Source:
2011 Annual Meeting
Type:
concurrent
Moderators:
Karen DeToro
Panelists:
Glenn Meyers, Susan Forray
Keywords:
Retrospective Testing of Loss Reserves
