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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.
Credibility, Penalized Regression and Boosting; Let's Call the Whole Thing Off
There are a number of ways of assigning just a portion of an observed effect to a model, rather than the full effect. These techniques have the potential to improve model accuracy in a variety of context, most notably when there are either too many parameters or insufficient data to estimate parameters well. Among the most popular approaches are credibility models, penalized regression and boosted models. This talk will provide an introduction to all three, and point out some of the striking similarities and differences between them. There will also be some discussion on applications, including examples where Taylor Fry has used these approaches to deliver significant model improvements.
Source:
2011 In Focus Seminar
Type:
concurrent
Moderators:
Jim Hurley
Panelists:
Peter Mulquiney
Implications of Behavioral Economics for Actuarial Science
Behavioral economics, the branch of economic theory that is informed by the empirical study of human cognition, has become one of the most significant intellectual trends in the social sciences. And because real-world insurance executives, underwriters, and policyholders are homo sapiens-not homo economicus-behavioral economics has a number of important implications for actuarial science in particular. To provide context, this session will begin with a discussion of the classical economic notions of homo economicus and rational expectations. Next, more recent, related notions such as bounded rationality, heuristics and biases, and the "clinical vs. actuarial judgment" school of psychological research will be discussed. Various examples of biased cognition will be described and related to insurance underwriting and purchasing behavior. Two major themes will emerge: first, the dramatic success of predictive modeling in the actuarial world-and business analytics in the larger business world-is best understood in relation to the teachings of behavioral economics; second, behavioral economics is particularly relevant to insurance in that financial decisions are examples of what the behavioral economists Cass Sunstein and Richard Thaler call "fraught choices." They involve probabilistic thinking, are made infrequently, and do not provide immediate feedback. Actuaries who choose to confront these issues have the opportunity to add a new dimension to their skill sets and distinguish their employers or clients from the competition.
Source:
2011 In Focus Seminar
Type:
concurrent
Moderators:
Patrick Devlin
Panelists:
Sharon Tennyson, James Guszcza
Workers Compensation - What About Frequency?
Trend considerations, with respect to exposure and loss cost are vital to several methodologies used in loss reserving. This session will examine how the recognition of trends impact the indications produced by some of these methodologies (Bornhuetter-Ferguson, etc.).
Sources for trend, implicit in the data or culled from external resources, will be discussed. Commonly used external resources, such as the Masterson indexes and the Bureau of Labor Statistics, will be presented and evaluated, as well as some not as commonly used by the workers compensation actuary. The evaluation of changing environmental factors, such as economic conditions and legislative reform (including health care reform), on trend will be examined.
A focus of the session will be the common use of severity trend without consideration of frequency trend, especially when external sources are utilized.
Source:
2011 Casualty Loss Reserve Seminar (CLRS)
Type:
concurrent
Moderators:
Karthik Balakrishnan
Panelists:
Arthur Cohen, Ian Sterling
The Mack/Murphy Model Framework: From Theory to Practice
The popular General/Property-Casualty Insurance chain ladder method was first expanded to include variance calculations by Mack. Our presentation will expand the chain ladder method's stochastic functionality. The purpose of this presentation is to introduce more statistical rigor and help bridge the gap between practice and statistical theory. We will expand the regression approach of Murphy so that selected link ratios other than simple or volume weighted averages can be seen as optimizing a rigorous statistical model. We will discuss formulas for the parameter risk and process risk of ultimate losses projected from such selected link ratios. We will discuss residual analysis and statistical measures for validating the selected factors. Using data previously analyzed in the literature, we will compare stochastic results from the popular application of the Mack formula to those based on our model. It is hoped that this presentation will provide the actuarial practitioner with a statistically rigorous framework with which to measure objectively the appropriateness of the chain ladder deterministic and stochastic results, make more informed judgmental selections, and avoid injudicious conclusions based on potentially inappropriate assumptions. A number of real-life examples will be also discussed and the results of popular stochastic projection methods will be compared based on different selected development factor assumptions.
Source:
2011 Casualty Loss Reserve Seminar (CLRS)
Type:
concurrent
Moderators:
Karthik Balakrishnan
Panelists:
Daniel Murphy, Tim Gault
State of the Risk Transfer Market for Asbestos
Risk transfers of legacy liabilities have been in the news - e.g., the recent transactions secured by CNA and Chartis. In fact, with the number of reinsurers currently willing to underwrite legacy risks, some have described the current environment as a "soft market for run-off portfolios."
This session will cover:
Current status of the risk transfer market, including an overview of companies willing to take on asbestos and other legacy risks.
Key areas of uncertainty in the quantification of asbestos liabilities which influence pricing and other characteristics of potential transactions.
Considerations for counterparties in asbestos risk transfer such as benefits of removing or capping risk, eliminating management distraction from core business, counterparty creditworthiness, risk premiums, limits relative to risk, and economies from aggregation of risks to both lower operating costs and enhance claims outcomes.
Things counterparties in asbestos risk transfer can do to enhance their likelihood of success in completing a transaction.
An update of Berkshire Hathaway / NICO's assumed liabilities.
Considerations in underwriting from the perspective of an acquirer of these risks.
Source:
2011 Casualty Loss Reserve Seminar (CLRS)
Type:
concurrent
Moderators:
Karthik Balakrishnan
Panelists:
Kara Raiguel, Robert Petersen
Risk Transfer Testing - Accounting Guidance and Case Studies
Accounting standards require that a reinsurance contract must transfer a significant amount of insurance risk. This session will first discuss the accounting guidance available today (e.g., SSAP 62 and FAS 113) and describe several methods that can be used to test for risk transfer. The second part of the session will consist of case studies in which the group will apply risk transfer testing methods to several specific types of reinsurance contracts and discuss whether those contracts transfer sufficient risk to qualify for reinsurance accounting.
Source:
2011 Casualty Loss Reserve Seminar (CLRS)
Type:
concurrent
Panelists:
Dale Ogden, Bonnie Matheney
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:
2011 Casualty Loss Reserve Seminar (CLRS)
Type:
concurrent
Moderators:
Karthik Balakrishnan
Panelists:
Glenn Meyers, Jessica Leong
Internal Model Validation
Internal Models have come a long way, but how do we know that the Internal Model is "valid"? Firms may spend little to no time actually "checking" their models to see if they are doing the "right" thing. Solvency II has outlined details on how to go about validating Internal Economic Capital models which is proving to be a very useful exercise. This session will discuss the approach outlined under Solvency II, and will also include practical examples.
Source:
2011 Casualty Loss Reserve Seminar (CLRS)
Type:
concurrent
Moderators:
Chris Cooksey
Panelists:
Kris DeFrain, Howard Rosen, Seth Patel
Intermediate Track III - Case Study
Developed as a workshop, this session covers the concepts discussed in the preceding intermediate sessions. Audience members are encouraged to analyze and discuss the cases, and propose techniques to apply for estimating the loss reserves. Various techniques will be discussed and a calculator will be helpful. Laptop computers are not necessary, but if participants have them. Excel spreadsheets will be available to let participants test multiple scenarios. The spreadsheet will be available on the CAS Web Site following the seminar.
Source:
2011 Casualty Loss Reserve Seminar (CLRS)
Type:
concurrent
Panelists:
Sharon Carroll, James Lynch
Current Issues in Group Healthcare Reserving
Attendees of this session will be a part of a discussion on current issues in group healthcare. Panelists will provide information on how evidence of the contribution of obesity to the medical costs of workers compensation is provided based on a large set of claims from 36 U.S. States and nine injury years. The study shows that, in the aggregate, obese claims are 2.8 times more expensive than non-obese claims at the 12-month maturity, but this cost difference climbs to a factor of 4.5 at the three-year maturity and to 5.3 at the five-year maturity. Mandatory utilization review and, in particular, mandatory bill review significantly reduce the cost difference between obese and non-obese claims.
Panelists will also introduce casualty actuaries to provider excess insurance. This is a coverage that is gaining interest among hospitals and provider groups that receive fixed fees for health care services that aren't fixed in cost to provide. Learn how the coverage works, why casualty actuaries are well suited to analyze this coverage and some approaches to reserving and pricing provider excess insurance.
Source:
2011 Casualty Loss Reserve Seminar (CLRS)
Type:
concurrent
Moderators:
Chris Cooksey
Panelists:
Frank Schmid, Christian Coleianne
No-Fault: Concept v. Reality
The first Auto No Fault statute in the US was passed in 1970 as a solution to the ills of the Automobile insurance product which was believed to be the result of the tort environment with which insurers settle injury claims. After 40+ years has the change to this first party injury coverage accomplished the goals of the originators? In three large states, Michigan, New Jersey, and New York, that currently have No fault there are questions of abuse and proposed reforms to their statutes. The panel will discuss many of these points.
Source:
2011 Casualty Loss Reserve Seminar (CLRS)
Type:
concurrent
Panelists:
Al Neis, Dawn Elzinga, Iva Yuan
Actuarial Report Writing 101
Are your actuarial reports written such that another actuary practicing in the same field could evaluate the work? Do your reports show the analysis from the basic data to the conclusions? Do the narratives clearly describe the business and the analyses performed? Do they adhere to relevant ASOPs? They should! Come see an outline of a good actuarial report and see what should be included in the report. Learn how your reports stack up to others in regards to materiality standards, ranges, reconciliations, disclosure, etc. Hear perspectives from regulators and consultants alike.
Source:
2011 Casualty Loss Reserve Seminar (CLRS)
Type:
concurrent
Panelists:
Joseph Herbers, Mary Miller, Nicole Elliott
Using Predictive Modeling to Investigate the Underlying Claims Process and Understand its Impact on Traditional Loss Reserving Methods
In order to determine if the claims process is changing, actuaries may rely on discussion with claims personnel and tests performed on the data to look for abnormalities. However, this may not help quantify the impact of any changes and will not necessarily tell you what has changed in the underlying claims process. Through the use of predictive modeling on detailed claim data, actuaries can better estimate not just if there is a change in the underlying claims process, but what is driving this overall change. Are payments on back claims accelerating? Are the claim adjuster estimates of incurred losses more inaccurate on certain types of claims? Has the distribution of claims changed significantly?
While claims predictive modeling transforms how the industry and claim systems settle claims on the back-end, there are other forms of analytics (i.e. underwriting predictive modeling, fraud analytics, etc.) that transform the risks insurance companies write on the front-end, and which actuaries also need to consider. This presentation will discuss the key concepts and drivers behind changes in the underlying claims process, and how the role of the actuary will need to change to adapt to the expanded use of more detailed claims data, claims predictive modeling capabilities and other forms of analytics, and how they are all impacting loss development triangles and other loss reserving methodologies.
Source:
2011 Casualty Loss Reserve Seminar (CLRS)
Type:
concurrent
Panelists:
Roosevelt Mosley, Peter Tomopoulos
The State of the Medical Professional Liability Market
The panelists will discuss the major factors that have propelled the industry to where it is at today including recent trends in frequency, severity, overall loss costs, impact of tort reform, bringing in employed physicians into hospitals, the impact of increasing use of hospitalists and many other hot topics. Audience participation in the session will be strongly encouraged.
Source:
2011 Casualty Loss Reserve Seminar (CLRS)
Type:
concurrent
Moderators:
Chris Cooksey
Panelists:
Kenneth Quintilian, Vagif Amstislavskiy, Susan Salpeter
The ABCD Counseling: Discussion on Avoiding Problems
Are you up to Code? How does the ABCD work? Are you following the Code of Conduct? What do you do if someone is not following the Code of Conduct? Find the answers to these questions and discuss some sample situations.
Source:
2011 Casualty Loss Reserve Seminar (CLRS)
Type:
concurrent
Moderators:
Chris Cooksey
Panelists:
Janet Fagan
Intermediate Track II - Investigating and Detecting Change
This session will explore a variety of techniques to detect and address changes in mix of business, claim closing patterns, and case reserve adequacy. When changes in history are verified through discussion with claim, underwriting, reinsurance, and field staff, the actuary can pick the right tool for the job. Adjustments of loss reserve methodologies to account for each situation will also be discussed.
Source:
2011 Casualty Loss Reserve Seminar (CLRS)
Type:
concurrent
Panelists:
Lawrence White, D. Lamb
How to estimate Risk Margins under IFRS
Are you ready to estimate risk margins under IFRS? Next year , the International Accounting Standards Board (IASB) will finalize the International Financial Reporting Standard (IFRS) for insurance contracts.
We will take you through the basic theory and practice of how to estimate risk margins. By the end of this session you will learn:
what is meant by "exit value," "fulfillment value", and "market value" of insurance liabilities
We'll take you through step-by-step examples to show you how to estimate risk margins using the cost of capital method, confidence level method and the conditional tail expectation method.
and we'll discuss how to deal with practical issues, like: What do you do if you don't have enough data? And how might a risk margin might change over time?
Source:
2011 Casualty Loss Reserve Seminar (CLRS)
Type:
concurrent
Moderators:
Chris Cooksey
Panelists:
Derek Jones, Jessica Leong
Complementing an Actuarial Review with a Claims Review
Despite the fact that a claims review can greatly benefit both a company's profitability as well as an actuary's reserving analysis, they are often overlooked as a tool. Our presentation will include triggers that actuaries should look for to suggest claims reviews, details of what a claims review should include, as well as how both the company and the actuary can benefit from the results of the claim review. Examples from actual experience will be provided.
Specifically, we will discuss the development of a claim self assessment questionnaire that will calibrate claim professional adjudication practices to meet or exceed leading practices. Panelists will then discuss the development and utilization of key performance indicators to monitor claim activity which impacts the overall loss ratio improving the profitability of the portfolio.
Source:
2011 Casualty Loss Reserve Seminar (CLRS)
Type:
concurrent
Moderators:
Chris Cooksey
Panelists:
Justin Brenden, Jim Kremer
Using Multivariate Models to Test Traditional Reserving Methods
The well established link ratio and Bornhuetter-Ferguson techniques are used extensively by our profession. These methods contain within them implicit assumptions about the relationship between future loss payments and cumulative paid or incurred amounts or between future loss payments and premium. These specific assumptions can be generalized to include other variables such as current case reserves, open counts, recent payments, or combinations of these or other variables for estimating future payments. This presentation will advocate using such a generalized model, not as a replacement for the traditional techniques, but as a diagnostic method to help identify situations where they may be inaccurate. Projections from the traditional method can be compared to a predictive range from a multivariate model. When the traditional method falls within such a range, this supports maintaining the current approach. When it falls outside of the range, an alternative approach is suggested.
The speaker will demonstrate the use of this technique with real world examples and highlight the importance of considerations such as degrees of freedom, the amount of extrapolation, and selection from a broad family of models.
Source:
2011 Casualty Loss Reserve Seminar (CLRS)
Type:
concurrent
Moderators:
Chris Cooksey
Panelists:
Chris Gross
Reserving for Construction Risks
Construction risks present unique exposures and specialized knowledge is required to quantify and mitigate the emergence and development of claims. This session will introduce and discuss the important aspects of a construction risks that must be understood before beginning an analysis, provide warnings of some of the potential pitfalls that can be encountered, and offer specific approaches that actuaries may find useful in these situations. The presenters bring first-hand experience in this area and will illustrate concepts with real-world examples.
Source:
2011 Casualty Loss Reserve Seminar (CLRS)
Type:
concurrent
Moderators:
Chris Cooksey
Panelists:
Justin Brenden, Scott Anderson, Joseph Charczenko
Reinsurance Reserving -- Top-Down vs. Bottom-Up
Choosing an optimal segmentation of data for reinsurance reserving analysis can be more complicated than for primary reserving. One fascinating option for reinsurance reserving is the potential for evaluating reserves on a contract by contract basis, in comparison to a portfolio-based approach.
This session will explore the attributes of reinsurance contracts that should be considered in forming a judgment on the basis of reserving analysis, and will discuss the relative strengths and weaknesses of top-down and bottom-up approaches. Some of the items to be explored include:
Are there inherent tendencies in the two approaches that could cause them to produce divergent estimates of the liabilities?
What business attributes should be considered in establishing portfolios?
Are there certain contract features that would cause some contracts to be analyzed always on an individual basis?
When is a portfolio too small and should be combined with others, without destroying the concept of homogeneity?
How can information from contract-based pricing influence the evaluation of reserves, whether on an aggregated or contract basis?
How can a top-down approach be utilized in conjunction with a bottom-up approach, without necessarily doubling the effort?
Panelists will share their observations based on practical experience in working with both approaches. Case study examples will be offered for audience discussion.
Source:
2011 Casualty Loss Reserve Seminar (CLRS)
Type:
concurrent
Moderators:
Chris Cooksey
Panelists:
Gary Blumsohn, Arlie Proctor
Predictive Modeling and Claims Analytics to Incorporate Leakage Analyses
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 through their claims leakage and continuous improvement processes. 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. In this session, we 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.
Source:
2011 Casualty Loss Reserve Seminar (CLRS)
Type:
concurrent
M&A Due Diligence: An Actuary's Role
In the high-stakes and high-pressure world of mergers and acquisitions, 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:
2011 Casualty Loss Reserve Seminar (CLRS)
Type:
concurrent
Moderators:
Chris Cooksey
Panelists:
Kathleen Odomirok, Joel Weiner, Aaron Scherer
Introduction to Economic Capital Modeling
Capital modeling is becoming a key component of a company's overall implementation of risk management. Both the senior management team and the Board need to be equipped to understand, interpret and utilize the Economic Capital model output to inform their decisions. This session will focus on the role of Economic Capital in the broader risk management framework, an overview of basic Economic Capital concepts, considerations in designing the Economic Capital model and examples of Economic Capital applications.
Source:
2011 Casualty Loss Reserve Seminar (CLRS)
Type:
concurrent
Moderators:
Sean McDermott
Panelists:
Kevin Madigan, Francois Morin
Intermediate Track I - Considerations in Evaluating Changing Conditions
In an ideal situation, loss reserving would begin with a long, stable history of consistent claim experience with no significant environmental or operational changes affecting the mix of business, claim handling, or terms of coverage. However, that situation is often far from the reality. Changing conditions contribute to volatility and uncertainty in estimates that are mechanically produced. The intermediate track begins with a series of considerations that can help bring understanding of the volatility of initial estimates. These considerations lead us to diagnostic tools for clues. More complete understanding requires communication with other operating units.
Source:
2011 Casualty Loss Reserve Seminar (CLRS)
Type:
concurrent
Panelists:
Jane Taylor, Theodore Shalack
