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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.
Predictive Modeling of Multi-Peril Homeowners Insurance
Predictive models are used by insurers for underwriting and ratemaking in personal lines insurance. Focusing on homeowners insurance, this paper provides a systematic comparison of many predictive generalized linear models. We compare pure premium (Tweedie) and frequency/severity models based on single perils as well as multiple perils. With multiple perils, we also introduce instrumental variable models that account for dependencies among perils. We calibrate these models using a database of detailed individual policyholder experience.
To evaluate these many alternatives, we emphasize out-of-sample model comparisons. We show how to use ordered Lorenz curves and Gini indices for economic validation. We also consider a nonparametric regression that is used extensively by the statistical learning community. We find that different validation measures can help the actuary critically evaluate the effectiveness of alternative scoring procedures.
Source:
2011 Ratemaking and Product Management Seminar
Type:
concurrent
Panelists:
Glenn Meyers, David Cummings, E. Frees
Towards Multivariate Ratemaking: Claim Frequency Analysis Examples
Actuaries are well aware that loss trend can be distorted by changes in exposure level and business mix. They are trained to recognize situations in which these distortions may arise, and how to adjust for them. Multivariate models are another way of handling these distortions. Using claim frequency as an example, the paper illustrates the design of multivariate analyses resistant to changes in exposure level and business mix. A secondary motivation of the paper is to introduce a form of database organization from which loss trend, loss development and risk classification analyses may all be easily performed - simultaneously, as well as separately.
Source:
2011 Ratemaking and Product Management Seminar
Type:
paper
Panelists:
Hernan Medina
Keywords:
Ratemaking, Claim Frequency
Price Optimization and the Role of Producer Behavior
Price optimization has arrived in the U.S. P&C insurance market. A number of innovative insurers have combined the results of models that estimate policyholder cost with those that predict price elasticity to yield pricing strategies designed to optimize the tradeoff between their overall profit and growth. Much of the price elasticity modeling has focused on policyholder behavior - i.e., it has used information known about the policyholder to determine how likely the insured will be to accept a given price as a new or renewing customer. However, producer behavior also can influence whether an existing policyholder will shop or switch carriers or whether a policyholder will select a specific insurer.
In this session, we will present an overview of price optimization, including a discussion of the implications of producer behavior for elasticity model structure and choice of explanatory variables for business written through various distribution channels.
Source:
2011 Ratemaking and Product Management Seminar
Type:
concurrent
Moderators:
Matt Schmitt
Panelists:
Yuchen Su, Jesus Catalan
Concentration Risk Measures and Deconcentration Optimization
The property and casualty industry has experienced large catastrophe losses from property lines in recent years. A critical task of product management is to measure the concentration risk and develop an optimal strategy on geographic mix. The panelists will present several concentration risk measures based on right-tail statistics of loss at enterprise level and will discuss the optimal deconcentration strategies under various business scenarios. Capital and PML allocations that reflect loss volatility and geographic correlations will also be addressed. A case study will follow to demonstrate the approaches. A discussion on how the various portfolio optimization techniques may fit within a catastrophe risk underwriting management framework is also presented in this session. A traditional method on concentration risk is to compare the market share of territories (or state, county, ZIP, agency). If market share is well above the average, it may represent a concentration risk. The market share approach provides a direct and straightforward measure of concentration. However, the measure does not directly reflect the right tails of insurance losses, which are the subject of interest in concentration analysis.
Source:
2011 Ratemaking and Product Management Seminar
Type:
concurrent
Moderators:
Matt Schmitt
Panelists:
Sherry Huang, Hongyuan Wang
Workers Compensation Ratemaking—An Overview
The panel will review the essential components of a typical rate filing from the perspective of NCCI, other bureaus, and from the view of companies in loss cost jurisdictions. The discussion will highlight coverages, exposure bases, and data sources used for workers compensation ratemaking.
Source:
2011 Ratemaking and Product Management Seminar
Type:
concurrent
Very Large Calculation Systems
Advanced analytical activities require large data sets, high computing power, and high user flexibility-a combination that challenges many organizations. A Very Large Calculation System (VLCS) is a pattern for technical solutions that meet this challenge by leveraging the best practices of data warehousing, business intelligence, software engineering, end-user computing, and business process design. Actuarial processes that can benefit from VLCS design include rerating, reserving, loss development, risk concentration analysis, and similar algorithms needing extended history, complex calculations, and frequent what-if analysis.
Source:
2011 Ratemaking and Product Management Seminar
Type:
concurrent
Property Residual Markets
The industry exposure to natural catastrophes has grown dramatically in recent years due to increasing replacement cost values and new units in catastrophe exposed areas. As primary insurers manage their catastrophe exposure, the property residual market entities that cover natural disasters such as hurricanes have seen their exposure and PML's grow even more. These residual market entities are generally not capitalized to be able to cover a mega-catastrophe.
Additionally, there is regulatory pressure to keep rates low.
The panelists will examine the property residual markets in Florida, Louisiana and North Carolina. Rate adequacy and ratemaking, the system of financing a mega-catastrophe, and how legislation has impacted property insurance will be addressed in each state.
Source:
2011 Ratemaking and Product Management Seminar
Type:
concurrent
Moderators:
Matt Schmitt
Panelists:
David Chernick, Brian Donovan, A. Romito
Ocean Marine Portfolio Management
Ocean Marine, the oldest form of insurance, does not have the same sort of pricing tools that are available to other traditional product lines. Because of this, one has to manage the business slightly differently. During this session, we will discuss Portfolio Management and the recent Deepwater Horizon incident that resulted in Gulf Coast Oil Spill. In addition, the Oil Spill generated losses for a non-traditional financial protection product, which will also be discussed.
Source:
2011 Ratemaking and Product Management Seminar
Type:
concurrent
Moderators:
Howard Rosen
Panelists:
Guo Harrison, Colin Sprott
Large Scale Analysis of Renewal Discounts
In this session, we discuss the issue of whether a price discount for renewal business is warranted for property and casualty insurance. The discount is motivated by the fact that new business with insurance coverage lapse, or new business in general, may perform worse than renewal business. We will support the discussion with a large amount of real industry data: 25 books of insurance business with a total amount of almost $29 billion of premium. The data cover all of the primary property and casualty lines of business, including personal auto and homeowners as well as commercial business owners policies, auto, WC, GL, and property. Our discussion will show that new business universally has a higher loss ratio and a lower retention rate than renewal business across all the 25 books of business. We will attempt to offer reasons as to why such differences exist between new and renewal business for insurance.
Source:
2011 Ratemaking and Product Management Seminar
Type:
concurrent
Moderators:
Howard Rosen
Panelists:
Cheng-Sheng Wu, Hua Lin
Insurance Credit Scoring: Two Views
In the September October 2010 issue of Contingencies., Jeff Kucera, an experienced actuary with over 30 years of experience in the insurance industry, examined how the use of credit information allows insurance companies to price policies more fairly for those who are likely to generate lower costs. In counterpoint, Gwendolyn Anderson, a North Carolina regulator whose auto insurance rates soared when she financed a new piano she swears she never drove out of her living room, approached the logical fallacies underlying the models from both a personal and public policy point of view. They will briefly recap some of the issues from their articles, comparing regulatory versus industry viewpoints; and explore recent developments including potential improvements in the scientific bases for credit scoring and how models measure up to the professionalism standards set in ASOP’s 9, 12, 23, 25, and 38.
Source:
2011 Ratemaking and Product Management Seminar
Type:
concurrent
Moderators:
Howard Rosen
Panelists:
Jeff Kucera, Gwendolyn Anderson
Product Monitoring/Risk Management
After the product has been designed and is being sold in the marketplace, our focus needs to turn to its performance. Come participate in a discussion of early indicators of a new product's success.
Source:
2011 Ratemaking and Product Management Seminar
Type:
Workshop
Panelists:
Kelly McKeethan
Keywords:
Product Monitoring/Risk Management
Marketing
If a tree falls in the forest but no one hears it, does it make a sound? Likewise, if a product is designed but doesn't get to market, has a product been developed? Come participate in a discussion about marketing issues and ways to measure marketing effectiveness.
Source:
2011 Ratemaking and Product Management Seminar
Type:
Workshop
Panelists:
Kelly McKeethan
Keywords:
marketing
Regulatory
Depending on the product, the regulatory concerns can be substantial. During the session, these key questions, and how their answers impact filing strategy, will be discussed: Is the company making a new filing or revising a current one? What is the impact on existing customers? Will the change improve the potential for more customers to be written, thus reducing state pools? How were rates substantiated?
Source:
2011 Ratemaking and Product Management Seminar
Type:
Workshop
Moderators:
Howard Rosen
Panelists:
Steven Armstrong, Eric Huls
Keywords:
Regulatory
Product Design
Attendees for this session will explore the different considerations for the product design. Panelists will cover elements of pricing, claims, legal, marketing, operations, and IT.
Source:
2011 Ratemaking and Product Management Seminar
Type:
Workshop
Moderators:
Howard Rosen
Panelists:
Robin Harbage
Keywords:
Product Design
Niche Identification
During this session participants will learn key elements of niche identification. Facilitators will explore how developing a new product is often about identifying an underserved niche or finding ways to attract risks more likely to be profitable.
Source:
2011 Ratemaking and Product Management Seminar
Type:
Workshop
Moderators:
Howard Rosen
Panelists:
Robin Harbage
Keywords:
Niche Identification
Ratemaking Relativities
This session will examine the various methods that actuaries use to allocate overall average rates to various subdivisions of a line of business, including territories, classifications, and tiers. Some of the methods discussed will consist of univariate, multivariate, and generalized linear modeling techniques.
Source:
2011 Ratemaking and Product Management Seminar
Type:
Workshop
Moderators:
Phil Ferrari
Panelists:
Christopher Cooksey
Keywords:
Ratemaking
Overall Rate Level Indication Considerations
Covering the basic foundations of the ratemaking process, topics for this session will include data organization for premium and losses, data adjustments such as current rate level, loss development and trend, and the determination of the expense and profit provisions.
Source:
2011 Ratemaking and Product Management Seminar
Type:
Workshop
Moderators:
Phil Ferrari
Panelists:
Jennifer Jabben
Keywords:
Rate Level
Introduction to Increased Limit Factors
This session will present an overview of increased limits ratemaking. Participants will cover general concepts, such as calculating limited average severities, and practical problems with developing increased limit factors (ILFs) from a distribution of loss data. The session will also provide an overview of excess and deductible pricing and will discuss common approaches for calculating ILFs.
Source:
2011 Ratemaking and Product Management Seminar
Type:
Workshop
Moderators:
Phil Ferrari
Panelists:
Li Zhu
Keywords:
Increased Limit Factors
Introduction to Credibility
Considering credibility in the context of ratemaking concepts, this session will review variables affecting credibility and credibility formulas, as well as practical techniques for increasing credibility. Both classical and Bühlmann models will be described.
Source:
2011 Ratemaking and Product Management Seminar
Type:
Workshop
Moderators:
Phil Ferrari
Panelists:
Kenneth Doss
Keywords:
Credibility
U.S. Property-Casualty Underwriting Cycle Modeling & Risk Benchmarks
The 2011 ERM symposium highlights select innovative cutting edge papers that explore and advance risk management topics. In this session, three authors will be presenting their respective papers in discussing topics evolving aligning strategic risk management with value creation, attributing capital or the cost of capital, and the modeling of underwriting cycles for the purposes of creating risk indices.
Source:
2011 Enterprise Risk Management Symposium
Type:
paper
Moderators:
Kreg Weigand
Panelists:
Shaun Wang
Keywords:
Underwriting Cycle Modeling, Risk
Capital Allocation in the Property-Liability Insurance Industry
The 2011 ERM symposium highlights select innovative cutting edge papers that explore and advance risk management topics. In this session, three authors will be presenting their respective papers in discussing topics evolving aligning strategic risk management with value creation, attributing capital or the cost of capital, and the modeling of underwriting cycles for the purposes of creating risk indices.
Source:
2011 Enterprise Risk Management Symposium
Type:
paper
Moderators:
Kreg Weigand
Panelists:
Stephen D'Arcy
Keywords:
Property-Liability Insurance, Capital Allocation
Sustainability of Earnings: A Framework for Quantitative Modeling of Strategy, Risk, & Value
The 2011 ERM symposium highlights select innovative cutting edge papers that explore and advance risk management topics. In this session, three authors will be presenting their respective papers in discussing topics evolving aligning strategic risk management with value creation, attributing capital or the cost of capital, and the modeling of underwriting cycles for the purposes of creating risk indices.
Source:
2011 Enterprise Risk Management Symposium
Type:
paper
Moderators:
Kreg Weigand
Panelists:
Neil Bodoff
Keywords:
Quantitative Modeling
Enterprise Risk Management for Decision-Making and Tracking for Insurance Companies
I.- Introduction.
Brief introduction of kinds of decisions made based on Risk Analysis, a circular process to feed back the Risk assessment and its relation with Solvency II.
II.- Decision Making and tracking in investments. (Example).
A practical example for an Insurance company for a decision taken in investments and its tracking, as well as an evaluation of this decision contemplating the risk assessment.
III.- Decision Making and tracking in Pricing. (Example).
Effect on Pricing due to the change in Solvency II - Reserves & Capital
1. Change on Market Value Reserves vs Guaranteed Rate Traditional Reserves
2. Change on Surplus due to change on market value reserves and assets
3. Effects on Pricing.
IV. Tracking indicators, Keys performance and Risk indicators a Solvency II scope.
Solvency II will require companies to fully understand its risks in order to managing them properly. Standard models should be tested periodically to ensure they capture the risks characteristics in order to make adjustments or propose a different model.
To perform these tasks, new tracking indicators and back-testing techniques will be required. This presentation aims to making some proposals in this direction
Source:
2011 Enterprise Risk Management Symposium
Type:
concurrent
Moderators:
Kreg Weigand
Panelists:
Jorge Araiza, Maria Yanez, Alejandro Mares
Emerging Risks
The session will report on the results of the latest Joint Risk Management Section Emerging Risk survey.
Source:
2011 Enterprise Risk Management Symposium
Type:
concurrent
Moderators:
Nancy Bennett
Panelists:
Beverly Barney
Cross Pollination of Modeling Techniques
Join us for a thought -provoking discussion intended for both life and casualty insurance risk professionals to discuss, compare, and contrast the various modeling tools, techniques and corresponding issues as it relates to the ERM discipline underlying the two business sectors.
There are arguments that the two disciplines life/casualty) differ materially as the two business paradigm, regulation, and business model are so completely different (like baseball and football). There are arguments that the two business models are really more alike (like hockey and soccer). Some argue that they are exactly the same, save for the fact that two different languages are spoken, with completely misunderstood jargon by the opposing sectors. What say you?
Join us in an interaction session as we compare and contrast the two business models, the corresponding ERM frameworks, the corresponding models underlying the framework, and tools currently in use in the interest of determining how alike or how different the two ERM approaches (in casualty and life) really are.
The goal of the session is for life risk professionals to learning new tricks from casualty risk professionals and casualty risk professionals to learn new tricks from life risk professionals.
Source:
2011 Enterprise Risk Management Symposium
Type:
concurrent
Moderators:
Nancy Bennett
Panelists:
Kevin Madigan, David Schraub
