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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.
Pricing Global Risks
As the insurance market becomes more global, U.S. actuaries and risk managers are starting to address the challenges in quantifying and pricing international exposures. There are differences in various countries across the globe, such as, available data, benchmarks, legal environment, government influence, and current non-actuarial practices. This session will focus on how U.S. (re)insurers quantify, price, and manage foreign risk exposures.
Source:
2011 Seminar on Reinsurance
Type:
concurrent
Moderators:
Andra Serban
Panelists:
Athula Alwis, Andrew Marcell
Catastrophe Pricing - When Running Commercial Models is not Enough
Catastrophe models allow us to incorporate a sophisticated analysis of low-frequency/high-severity events into pricing analysis. However, a pricing actuary sometimes finds that despite the sophistication of the models, both modeling uncertainty and modeling bias exist, meaning the output needs to be amended to produce more useful reinsurance loss costs. This session will offer methodology and discuss supplemental data sources that would allow a transformation of the catastrophe model results into a loss cost of catastrophe risk.
Once all contracts are priced, companies are faced with the question on how successful the renewal season was. This question is often hard to answer for professional reinsurers: the contract structure changes from one year to the next, and one new or cancelled large treaty could throw off the comparison for the portfolio. The panel will discuss possible approaches of using catastrophe model indications to "normalize" catastrophe exposure rates, to make the price monitoring possible.
Source:
2011 Seminar on Reinsurance
Type:
concurrent
Moderators:
Andra Serban
Panelists:
Mindy Spry
Beyond the Matrix: Dependence Modeling with Risk Drivers
Tail or "stress scenarios," the measures of required capital, are themselves a result of convergence or correlation of a wide range of possible risk drivers, including:
* Common shocks to claim frequency or severity.
* Clash of multiple claimants or lines of business.
* Catastrophic perils.
* Co-movement of price adequacy through underwriting cycles.
* Calendar year inflation spanning assets and liabilities.
Capital modeling teams are investigating ways to implement these risk drivers in their model. Their thought process contemplates not only technical aspects but also clarity- a critical element in helping them gain buy-in from key internal opinion leaders, external stakeholders, and auditors. This session will discuss the limitations of the most common industry approach to stress scenario modeling-using correlation matrices-and show how risk drivers are implemented in Guy Carpenter's MetaRisk ® model.
Source:
2011 Seminar on Reinsurance
Type:
concurrent
Moderators:
Andra Serban
Panelists:
Dave Clark
Some Considerations With Regard To Inflation
The following paper presents and uses a simplified framework to explore the impact of inflation across various aspects of loss reserving, pricing, and capital management. The primary intent is to highlight some general principles which can be used to understand where, how, and by how much inflation risk may affect various aspects of actuarial modelling; but its intent is also to encourage actuaries of the importance in adequately reflecting future expectations of inflation in their models.
Source:
2011 Seminar on Reinsurance
Type:
paper
Moderators:
Andra Serban
Panelists:
Andy Staudt, Mathew Ball
Keywords:
loss reserving, pricing, and capital management
International evidence on medical spending
U.S. medical spending is high by measures including the level of spending, level of spending per capita, and level of spending as a share of GDP. U.S. medical spending growth is average by measures including the annual growth rate, annual growth rate per capita, and annual growth in spending as a percent of GDP. The volatility of U.S. medical spending growth is low by measures including the standard deviation, skew, and excess kurtosis. Foreign healthcare systems, with a much larger government involvement, have not been able to control medical spending growth better than the U.S. with its mixed system. Foreign cost curves start at a lower level, but increase as quickly or even faster. In many countries, the variance around the trend is high, or a single trend over time does not exist. The implication is that it is difficult to find a foreign solution to the U.S.’s problems with high medical spending, and that the U.S. may be a world leader in terms of minimizing medical spending volatility.
If the U.S. healthcare cost curve comes to resemble that of other countries, the risk of long tailed lines of insurance linked to the cost of medical care will increase. The healthcare cost curve is a macroeconomic process, so there may be no ways for insurers to bend their cost curve. Insurers may be able to use market solutions, such as prediction markets, inflation-indexed bonds, and futures contracts, to improve prediction and hedging of long-term medical spending growth. The author recommends cognizance and caution when writing long tailed lines of insurance linked to medical spending.
Source:
2011 Seminar on Reinsurance
Type:
concurrent
Moderators:
Andra Serban
Panelists:
Robert Lieberthal
Extreme Events: Tail Estimation Using Deterministic Methods
Property catastrophe models are now well-established stochastic tools for producing tail estimates of severe weather events. In some situations, however, a deterministic model provides a more useful estimate of tail events. Examples of such models include the Realistic Disaster Scenario (RDS) and Maximum Foreseeable Loss (MFL) estimation methods. Presenters will explore the development and application of these deterministic models, discussing their pros and cons, as well as their potential future utilization in the market.
Source:
2011 Seminar on Reinsurance
Type:
concurrent
Moderators:
Judith Durdan
Panelists:
Erick Mortenson, Prasad Gunturi
Catastrophe Modeling
This session will provide an overview of catastrophe models and their uses. Specifically, the speaker will present on how to use experience, exposure, and other adjustments to the models to arrive at cat loads for property, workers compensation, and terror. Lastly, the speaker will cover considerations for catastrophe loads for other perils within both property and casualty lines.
Source:
2011 Seminar on Reinsurance
Type:
concurrent
Moderators:
Judith Durdan
Panelists:
Sean Devlin
Catastrophe Loss Development
The session will focus on actual, observed loss development in compilations of catastrophe losses from various insurance industry data sources. Among the loss development information to be discussed is the RAA bi-annual loss development study. Also, the session will include discussion of development seen within statistical data reported to ISO. Finally, loss development gleaned from data collected by ISO's Property Claims Services (PCS) unit will be examined. Along with the description and discussion of the three sources of development and their underlying data, the session will highlight some similarities and differences among these sources of development information.
Source:
2011 Seminar on Reinsurance
Type:
concurrent
Moderators:
Jeff Kucera
Panelists:
Sanders Cathcart, Sarah Krutov, Gary Kerney
A Method for Efficient Simulation of the Collective Risk Model
This paper presents a practical and efficient simulation method approximating the Collective Risk Model (CRM). The method preserves the risk characteristics of the original CRM. In particular, when individual losses are segregated above and below a given threshold, the method accurately reproduces the dependence between large and small losses. In the case where the claim count is of mixed Poisson type, we obtain an interesting convergence theorem. This result is a generalization of the principle that the limiting behavior of a mixed Poisson CRM is controlled by the mixing distribution.
Source:
2011 Seminar on Reinsurance
Type:
paper
Moderators:
Jeff Kucera
Panelists:
David Homer, Richard Rosengarten
Keywords:
Collective Risk Model (CRM)
Loss Sensitive Treaty Features
This session takes the next steps from the first two sessions on experience and exposure rating and help get to the final answer. We will discuss methods for deriving aggregate distributions. The speaker will review different methods that can be used and when each is appropriate. We will also discuss how to view and attempt to quantify parameter uncertainty as well as approaches for reviewing the reasonability of the indicated aggregate distribution. Then, we will start by reviewing different treaty features and how to incorporate them into the rating process. Other topics that will be covered include responding to issues commonly raised by underwriters, considering deficit and credit carry forwards, and the frequent misuse of curve-fitting approaches to determine size of loss curves.
Source:
2011 Seminar on Reinsurance
Type:
concurrent
Moderators:
Arthur Cohen
Panelists:
Matthew Dobrin
Business Intelligence Concepts for the Sophisticated Actuary
Business intelligence is all the rage in today's fast-paced information technology world. Business intelligence is not an oxymoron and is central to the ways that actuaries can effectively communicate information to their business partners. This presentation will focus on the concepts that encompass business intelligence and how the actuary can take advantage of this information delivery process. A look at how business intelligence is used in a multi-line property casualty insurer to raise performance will be presented and discussed. The impact of business intelligence concepts of dashboards and scorecards will be a part of the presentation. The presentation will also provide insight on how business intelligence concepts work with the data warehouse concepts and how both of these concepts fit into a master data management program at an insurer. As a result of attending this presentation, actuaries will be able to converse magnificently with their business and information technology partners at corporate retreats to make sure that their employers are spending their information technology dollars wisely with regards to business intelligence.
Source:
2011 Seminar on Reinsurance
Type:
concurrent
Moderators:
Arthur Cohen
Panelists:
Mark Allaben
Umbrella
This session will cover Umbrella pricing concepts and issues. Panelists will also discuss the current state of the market for Umbrella lines, particularly the impact of soft market conditions on pricing, terms, and conditions.
Source:
2011 Seminar on Reinsurance
Type:
concurrent
Moderators:
Arthur Cohen
Panelists:
Michael Quigley, Todd Cheema
Solvency Regulation in the US and Abroad - Growing Pains
Just a few years ago, NAIC Risk-Based Capital requirements represented the cutting edge in solvency regulation. However, the Solvency II directive put an end to that: when it goes into effect in 2013, Solvency II will change European insurers and reinsurers capital requirements from simple minimal ratios to complex enterprise risk management programs. This will not only affect the operational management of insurance companies but also the mechanics of how they manage risk, and, of course, how they buy reinsurance.
As European entities are going through quantitative studies to evaluate and calibrate the parameters of the formula to be used in the Solvency II reporting, many other jurisdictions are taking steps to modernize solvency regulation. Among these is the NAIC. Solvency Modernization Initiative is paving the way for regulators to oversee U.S. companies’ ERM programs, including comprehensive risk assessment. How could this affect our industry?
This session will discuss the status of solvency regulation reforms. It will attempt to forecast how the new requirements will affect the operations of the insurers and reinsurers, and how it may change the landscape of the reinsurance industry around the world.
Source:
2011 Seminar on Reinsurance
Type:
concurrent
Moderators:
James Doona
Panelists:
David Payne, Joseph Sieverling
Capital Allocation: Seizing the Reins
Capital allocation continues to occupy significant air time in actuarial discussions. Unfortunately, most of the discussion centers on variations of the "How" theme, at the expense of missing a true leadership opportunity for the actuarial profession in Solvency II and ERM.
Capital allocation is the implementation of a company's risk tolerances/preferences/appetite. The general understanding of the topic is low outside of actuarial circles. This is unfortunate, as the Solvency II Use Test requires key opinion leaders to understand the inputs, process, and outputs of the entire capital model (including the allocation), and to agree to use that model in critical decisions. Without some type of translation between theory and practice, true adoption and integration will remain sporadic.
This session will discuss practical ways to increase understanding, facilitate usage and adoption, and further the actuarial profession's position as the experts who can understand and communicate both the technical and business aspects.
Source:
2011 Seminar on Reinsurance
Type:
concurrent
Moderators:
Richard Fox
Panelists:
Donald Mango, Steven Sumner
System for Electronic Rate and Form Filing (SERFF): Tips & Tricks
Source:
2011 Regional Affiliate - BACE
Type:
affiliate
Panelists:
Jim Shoenfelt
Keywords:
Electronic Rate and Form Filing, SERFF
A Rating Service Perspective on Property and Casualty Insurers
Source:
2011 Regional Affiliate - BACE
Type:
affiliate
Panelists:
Joseph Petrelli
Keywords:
Property and Casualty
Ohio Bureau of Workers Compensation Loss Process
Source:
2011 Regional Affiliate - BACE
Type:
affiliate
Keywords:
Workers Compensation
No Fault New York - Is it as good as originally advertised?
Source:
2011 Regional Affiliate - BACE
Type:
affiliate
Panelists:
Al Neis
Emerging Risk – Additional References
Source:
2011 Regional Affiliate - BACE
Type:
affiliate
Panelists:
Susan Woerner
Keywords:
Emerging Risk
Emerging Risk
Source:
2011 Regional Affiliate - BACE
Type:
affiliate
Panelists:
Susan Woerner
Keywords:
Emerging Risk
Construction Defect Claim Management and Reserving
Source:
2011 Regional Affiliate - BACE
Type:
affiliate
Panelists:
Nathan Voorhis, Steven Jokerst, Robin Leibrock
Keywords:
Claim Management, Reserving
Optimal Layers for Catastrophe Reinsurance
Insurers purchase catastrophe reinsurance primarily to reduce underwriting risk in any one experience period and thus enhance the stability of their income stream over time. Reinsurance comes at a cost and therefore it is important to maintain a balance between the perceived benefit of buying catastrophe reinsurance and its cost. This study presents a methodology for determining the optimal catastrophe reinsurance layer by maximizing the risk-adjusted underwriting profit within a classical mean-variance framework. The paper considers catastrophe and noncatastrophe losses simultaneously, and risk is measured by lower partial moment, a more reasonable and flexible measure of risk than the traditional variance and Value at Risk (VaR) approaches.
Source:
2011 Spring Meeting
Type:
paper
Panelists:
C.K. Khury, Luyang Fu
Keywords:
Catastrophe, Reinsurance
Achieving Optimal Insurance Pricing by Balancing Class Plan Rating and UW-Driven Pricing
A typical, traditional P&C pricing system composes of two parts. The first part is a class plan, which is objective- and factor-driven. The second part contains pricing components beyond class plan that can be mostly underwriting-driven, such as company deviation, schedule credits and debits, tiering, underwriting or credit score, etc. The underwriting driven pricing components are generally multivariate in nature, and the variables can go beyond or overlap with the variables used in the class plan.
Over the last two decades, the race in developing more sophisticated rating plans using modern data mining and predictive modeling techniques has helped both personal and commercial insurers greatly expand the pricing flexibility and avoid adverse selection. As a result, insurance rating plans have become complex and in some instances confusing regarding the plan variables, the variable forms, and the plan structure. How to optimize the overall pricing system has become challenging to pricing actuaries these days. People frequently raise a topic on how to achieve optimal pricing by balancing the two parts of a pricing system, and the following lists a few representative questions on this topic:
* Certain variables overlap for both class rating and underwriting, such as prior loss information and policy tenure. What is a good approach to include such overlapping variables and how can you avoid double counting their effects?
* Given an existing writing company structure, how to create underwriting tiers within companies to maximize pricing capacity?
* How should the underwriting-driven pricing developed by predictive modeling be integrated with traditional base and class ratemaking by actuaries?
In this presentation, we will discuss this timely topic and the associated questions using simulated sample data. We will address the issues on how to balance class rating and underwriting driven pricing to achieve a company's pricing goal.
Source:
2011 Spring Meeting
Type:
concurrent
Moderators:
Richard Fox
Panelists:
Cheng-Sheng Wu, Jun Yan, Beth Sweeney
Predictive Modeling on Fraud Claims
This session illustrates several methods of constructing scores to highlight those auto injury and homeowner claims that may require investigation because of potential fraud and/or build-up. Investigation by independent medical examination, and its effects on negotiated liability settlements in a no-fault state, will illustrate the value of such scoring methods in auto injury claims handling. Auto and homeowner case studies will also be discussed that give examples of combining internal and external data to improve the detection of questionable claims.
Source:
2011 Spring Meeting
Type:
concurrent
Moderators:
Richard Fox
Panelists:
Richard Derrig
Extreme Development Techniques
When claims and exposure data are nearly non-existent or when long-tailed liabilities are deep in the tail of development, traditional methods do not produce reliable answers and "extreme development techniques" are required. While some of these methods are extensions of traditional development methods, others are novel approaches to viewing loss development and projecting future claims.
This session will discuss a number of examples of such extreme development methods and models that may be useful to actuaries who are modeling long-tailed lines of business, run-off portfolios, or reinsurance liabilities.
Source:
2011 Spring Meeting
Type:
concurrent
Moderators:
Richard Fox
Panelists:
Christopher Diamantoukos, Justin Brenden
