Search Presentations
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.
Refine Your Search
The presentation materials are offered in connection with CAS professional education offerings. © 2022 Casualty Actuarial Society. All Rights Reserved. The presentation materials may contain copyrighted content the use of which has not been specifically authorized by the copyright owner. You are permitted to view and print the materials for personal/professional noncommercial research purposes. Except for the foregoing, you agree not to reproduce, distribute, modify, create derivative works, or commercially exploit the presentation materials without prior written permission from CAS. Please direct any copyright permission inquiries regarding use of the presentation materials to acs@casact.org.
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.
Emerging Risk: An Integrated Framework for Managing Extreme Events
The 2011 ERM symposium highlights select innovative cutting edge papers that explore and advance risk management topics with a focus on the management of emerging risks and the modeling extreme events. Two of the authors will be presenting their papers at this session.
Source:
2011 Enterprise Risk Management Symposium
Type:
paper
Moderators:
Neil Strauss
Panelists:
Kathleen Locklear
Keywords:
Extreme Events
Stress and Resiliency Testing: Mandelbrotian Grey Swan Scenarios
The 2011 ERM symposium highlights select innovative cutting edge papers that explore and advance risk management topics with a focus on the management of emerging risks and the modeling extreme events. Two of the authors will be presenting their papers at this session.
Source:
2011 Enterprise Risk Management Symposium
Type:
paper
Moderators:
Neil Strauss
Panelists:
Steve Craighead
When Swans are Gray: The New Paradigm of Risk Management
Financial crisis risk is now firmly in the spotlight after a turbulent past quarter century bore witness to a number of market events previously thought to be once-in-a-lifetime occurrences. The apparent inability of risk models to deal with real world financial markets produced a whole line of popular books decrying unrealistic assumptions behind the extended CAPM-type models, especially the bell curve assumption. We closely examine the old paradigm and present evidence which clearly shows that this focus on the distributional axioms is misguided and that the main deficiency of the old paradigm lies elsewhere, namely in equating risk with presently observed volatility. The problem of equating risk forecast with rolling realized volatility arises from the conception of the market place as an equilibrium seeking and continuous system and it led to complete disregard of the behavioral risk taking cycle and the effect of that cycle on financial stability and risk.
The first part of the talk will deal with philosophical and methodological issues in risk forecasting. The second part will outline crucial problems with traditional risk models and suggest a direction of research to overcome them. The third part will present a new approach to forecasting risks and thoroughly examine its performance and implications over a number of crisis events in the past 25 years, while comparing it to traditional methods. This approach, which is based on the assessment of risk-taking behavior of market participants in the endogenous risk framework, dominates alternative methods of risk estimation, while still allowing finance professionals to continue utilizing familiar risk metrics like Tracking Error and Value-at-Risk.
Source:
2011 Enterprise Risk Management Symposium
Type:
concurrent
Moderators:
Jeffrey Klanderman
Panelists:
Daniel Satchkov
Ten Key ERM Criteria: Best Practices for Benchmarking an ERM Program
This session explores the ten key criteria that define best practices for an ERM program, and which can be used as a benchmark for evaluating your ERM program's capability-maturity. We will discuss common industry practices and evaluate them against each of these ten criteria, and discuss the advantages and disadvantages related to each criterion. In addition, we will discuss three easily observable "symptoms" that indicate whether or not an ERM program is likely satisfying many of these criteria. In addition, a case study will be discussed, highlighting how one organization satisfies selected criteria.
Source:
2011 Enterprise Risk Management Symposium
Type:
concurrent
Moderators:
Jeffrey Klanderman
Panelists:
Sim Segal, Dale Hall
Leveraging Financial Data for Enterprise Risk Management
Recent events are driving toward the integration of enterprise risk management (ERM) and financial performance management (FPM). Over 70% of the data needed for both ERM and FPM is finance data, therefore a trusted financial data foundation is a cornerstone for both areas.
The convergence of risk, finance and accounting disciplines will be illustrated. An anatomy of risk and financial performance will be dissected into component parts. KPIs needed for both ERM and FPM will be reviewed and compared. Data required to support these KPIs and challenges in obtaining data will be reviewed. Strategies, tools and techniques in data management to overcome these challenges and build a trusted data foundation will also be explored. Lastly the value of data improvements on the business will be discussed. An illustration of enterprise risk management dashboards built upon an extensible data model and discussion of alternative data population strategies will be included.
Key Points:
* Integrated Enterprise Risk and Performance Management Approach
* KPIs needed for ERM and FPM, data required and data challenges
* Uses of data for Risk Analytics
* Building and leveraging a trusted financial data foundation for both risk and financial management
* ROI/Impact of improved data availability and quality on the business
Source:
2011 Enterprise Risk Management Symposium
Type:
concurrent
Moderators:
Maryellen Coggins
Panelists:
Patricia Saporito
Insurance Investment Practices during an Economic Downturn
This session will share the results of research conducted for the SOA on investment practices of insurers (all types) and the challenges encountered during the recent financial crisis. An online survey is currently being distributed and there will be follow up phone interviews to capture the nuances of the impact as investors entire world changed very quickly. The speakers are the researchers, and will expand on the research and share their experiences as they navigated themselves and clients through this period.
Source:
2011 Enterprise Risk Management Symposium
Type:
concurrent
Moderators:
Tom Fineis
Panelists:
Marc Tourville
Continuous Controls Monitoring – Futuristic Approach to Enterprise Risk Management
Continuous Controls Monitoring is the fastest growing demand in the Enterprise Risk Management. It is now emerging as a GRC/ERM tool helping organizations to identify, manage and reduce business exposure. It provides intelligent knowledge in the form of exceptions and dashboard reporting. It identifies the breakdown of controls in the overall chain of ERM. The automated solutions and continuous monitoring are now a norm for enterprise risk management. The question is: Are we really taking this as a norm to business and are we doing it the right way? This presentation will discuss the following:
Changes In Corporate Environment
Changes in Enterprise Risk Management Tools and Methods
Enterprise Risks/Impact of Frauds
What is Continuous Controls Monitoring Tools For Continuous Auditing
How It Helps In Detecting and Preventing Frauds
Continuous Auditing Scenarios Other Related Areas, such as, Balance Score Card, Dashboard Reports, CMM and Six Sigma Models
Source:
2011 Enterprise Risk Management Symposium
Type:
concurrent
Moderators:
Tom Fineis
Panelists:
Alan Ash, Syed Ali
Behavioral Economists vs. Cultural Theorists: The Human Element of ERM
Ultimately, one can argue that many of the risks that we face in society today manifest themselves through the decisions, behaviors, and biases of people, and not necessarily through any exogenous and uncontrollable event. As humans, we tend to not search for disconfirming evidence to our own beliefs. As decision makers, we all deviate from rationality based on our own biases and we are clearly influenced by the format of how we receive information. So say the behavior economists.
Cultural theorists main premise, on the other hand, claim that we neither follow the risk averse individual in classical economics, nor the emotional human via behavioral finance. Their main premise concerns human behavior and decision-making as part of a group as groups form because people share the same concept of risk.
Join us in a thought provoking session of the human element of risk management as we compare and contrast the behavior economist and cultural theorist view points of risk, particularly as it pertains to the financial problems risk managers face under changing economic conditions, given the risk management tools available, and the clumsy solutions that follow.
Source:
2011 Enterprise Risk Management Symposium
Type:
concurrent
Moderators:
Tom Fineis
Panelists:
David Ingram
Country Risk Officer - A Role Needed Now More than Ever
The culture and practice of integrated risk management is only beginning to develop in government sectors. Yet government actions to prevent and deal with crises across multiple sectors and geographies continue to display lack of critical information, effective governance, coordination or resources. As proven in private-sector ERM, tone from the top is a key driver in the speed and scope of adopting integrated risk management. In this session, international experts from both public and private sectors consider the challenges and potential benefits of creating the role of "Country Risk Officer" who will champion and oversee the implementation of ERM throughout government entities. Each participant will provide brief remarks followed by a lively panel discussion.
Source:
2011 Enterprise Risk Management Symposium
Type:
general
Moderators:
Tom Fineis
Panelists:
Carl Adams, Walter Bell, Paul McGonagle
Discussing the Need for ERM Standards of Practice and the Existence of Shared Risk Principles
Enterprise Risk Management has been implemented in many sectors of the economy and continues to evolve. As the number of organizations implementing ERM increases, and as the regulatory focus on ERM grows and sharpens, more and more risk professionals will be called upon to engage in ERM activities. The International Actuarial Association recently issued a working paper (Comprehensive Actuarial Risk Evaluation) in hopes that it would spur a global conversation leading to the establishment of Standards of Practice for actuarial risk assessment; the Actuarial Standards Board has established a task force which is drafting potential ERM SOPs. Risk professionals in the asset management community have been engaged in similar conversations for over a decade. Other professions are clarifying, and in some cases codifying, what ERM means to them. Seemingly contradictory definitions of and approaches to ERM are competing for attention and resources.
This session shall discuss some broad but important themes:
1. Are there ERM principles that apply in all economic sectors?
2. Are professional Standards of Practice necessary or desirable? If so, what should they look like?
3. Should or can these Standards be similar across professions and economic sectors?
Audience participation in any ensuing debates is both encouraged and expected.
Source:
2011 Enterprise Risk Management Symposium
Type:
general
Moderators:
David Schraub
Panelists:
David Ingram, Robert Mark, Carol Fox
Risk Culture Starts with Leadership
The 2008-09 financial crisis has illustrated that embedding ERM into an organizational culture is difficult to effectively implement in reality. In the insurance sector, the NAIC's Solvency Modernization Initiative and EU's Solvency II have extensive requirements including embedding ERM into culture, decision making and business activities. Are there best practices to meet these challenges and which are applicable to all organizations? ERM becomes useful when put into action resulting from choices made by an organization's decision makers making business decisions in the face of ambiguity. Thus ERM is inexorably tied to Strategic Organizational Behavior.
Using historical and contemporary examples, panelists will search for the existence of best practices. Panelists will:
* Explore leadership characteristics by comparing leaders that would have made effective CROs with leaders that would not.
* Consider cultural characteristics by comparing leaders and organizations who harnessed competitive advantages to achieve results versus those that did not.
* Survey strategic organizational behavior, culture, processes and decision making from the perspective of ERM principles.
Source:
2011 Enterprise Risk Management Symposium
Type:
concurrent
Moderators:
David Schraub
Panelists:
Tim Cardinal
Implementing Risk Appetite Modeling for Variable Annuities
The 2011 ERM symposium highlights select innovative cutting edge papers that explore and advance risk management topics with a focus on various tools and considerations in assessing and mitigating risk. Three of the authors will be presenting their papers at this session.
Source:
2011 Enterprise Risk Management Symposium
Type:
paper
Moderators:
Frank Sabatini
Panelists:
Nick Jacobi
Keywords:
Risk Appetite Modeling
The Role of Conditional Probabilities in Risk Assessment
The 2011 ERM symposium highlights select innovative cutting edge papers that explore and advance risk management topics with a focus on various tools and considerations in assessing and mitigating risk. Three of the authors will be presenting their papers at this session.
Source:
2011 Enterprise Risk Management Symposium
Type:
paper
Moderators:
Frank Sabatini
Panelists:
Richard Joss
Hedging Policy Consistency - Theory vs. Practice
The 2011 ERM symposium highlights select innovative cutting edge papers that explore and advance risk management topics with a focus on various tools and considerations in assessing and mitigating risk. Three of the authors will be presenting their papers at this session.
Source:
2011 Enterprise Risk Management Symposium
Type:
paper
Moderators:
Frank Sabatini
Panelists:
Vladimir Antikarov
Keywords:
Hedging Policy
Managing Personal Wealth in Volatile Markets - An ERM Approach
Investing is an exercise in taking risk - never more so than now. The essence of informed investing has always been intelligently balancing the inherent trade-off between risk and return. In recent years, though, much more of the risk of securing our financial future has been shifted to us as individuals (e.g., by the death of defined benefit plans and by the shaky state of Social Security). Given this, and the experience of the 2008 market crash, we need to know how to manage risk effectively, if we want to enjoy our ever-increasing longevity.
This session proposes four key tenets of ERM as an organizing framework for managing personal investment risk.
* Natural Hedging: Where enterprises look across organizational silos to find risky operations that offset each other, individuals diversify and allocate investments among uncorrelated asset classes - but they have to use up-to-date tools. Modern Portfolio Theory needs to be further modernized to incorporate technical advances such as copulas, ARMA/GARCH modeling, risk budgeting, and regime-based optimization.
* Risk Exploitation: Where organizations use an ERM-enlightened view to do informed risk-taking and exploit areas deemed too risky by competitors, individuals can exploit high-performing but risky assets and make volatility work for them, by employing opportunistic rebalancing and dynamic asset allocation, informed by reliable early warning indicators.
* Catastrophe Protection: Where organizations transfer only those risks that cannot be naturally hedged away, and insure those risk only at catastrophic levels, individuals can use "safety net" portfolio protection as catastrophe insurance against major market shocks that diversification canot handle. A specific approach will be discussed that is much more cost-effective than traditional solutions such as put options.
* Strategic Focus: Where enterprises customize ERM around, and in service to, the organization's specific strategic objectives, individuals should customize their investment strategy around their own unique long-term financial objectives, using a tool common to high-end financial planning.
By adopting an ERM approach to their own financial situation, attendees will be much better prepared to face the uncertainties in their financial future.
Source:
2011 Enterprise Risk Management Symposium
Type:
concurrent
Moderators:
Frank Sabatini
Panelists:
Jerry Miccolis
Integrating Risk and Performance Management: A case study
This session builds on the presentation by Halpert/Nyce during the 2010 ERM Symposium entitled "Integrating Risk and Performance Management". The 2010 session provided a theoretical framework for using capital models to support a wide variety of management decision making. This 2011 session will provide a practical case study on how to utilize the framework. An implementation of a capital model for a hypothetical large personal lines insurer will be presented. Concepts from the paper "Integrating Risk and Performance Management" will be illustrated. Included will be approaches to understand obtaining quantitative estimates of the direction of the efficient frontier, setting strategic plans to move the organization towards the efficient frontier, using the concepts to evaluate alternative reinsurance arrangements, and evaluating strategic acquisitions. The presentation will focus on results of using the model, both expected and surprising, but also work steps undertaken to perform the analysis, 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:
2011 Enterprise Risk Management Symposium
Type:
concurrent
Moderators:
Justin Brenden
Panelists:
Aaron Halpert
ERM: Practical Issues for the Smaller Company
How is enterprise risk management progressing at smaller companies? Sit down with fellow small company representatives to discuss ideas, pitfalls and triumphs. You and other attendees will share your experiences on how companies prioritize ERM efforts in a challenging environment. How can you change the risk culture and develop the risk appetite? What skill set should a team seek out to successfully implement ERM? After this session, you will better understand how your peers have addressed these issues and brainstorm ideas about how to improve the process.
Source:
2011 Enterprise Risk Management Symposium
Type:
concurrent
Moderators:
Justin Brenden
Panelists:
Phil Ferrari
Economic Capital for ERM -- - Some Practical Challenges and Ways to Overcome Them
Economic capital modeling is a key step for companies incorporating overall risk into business plans and decisions. Economic capital is based on measures of adverse outcomes, and calculations often involve running complex simulation models. Drawing on their experience in the Life and P&C industries, the panelists will discuss some theoretical and practical shortcomings of these models and the challenges in applying them to decision making. The panelists will then discuss some practical management considerations to maximize the usefulness of the existing models despite their limitations, and will also explore alternative modeling techniques which may address some of the current limitations( in particular the use of Extreme Value Theory to develop closed-form solutions that are much faster to run).
Source:
2011 Enterprise Risk Management Symposium
Type:
concurrent
Moderators:
Justin Brenden
Panelists:
Paul Kneuer, Art Saul
Company and Regulator Best Practices for Enterprise Risk Management - State Farm's View
This session will discuss the evolution of ERM at State Farm and share with the audience State Farm's views on company and regulator best practices as related to Enterprise Risk Management. Topics will include:
1. Current structure of ERM at State Farm, how it has evolved, the challenges posed, and the role it now plays.
2. Highlight Best Practices in Corporate Governance as related to ERM.
3. NAIC's Solvency Modernization Initiative (SMI) including:
1. The use of models.
2. Potential NAIC requirement for an Own Risk & Solvency Assessment (ORSA).
3. Group vs. individual insurance entity capital requirements.
4. FASB & IASB valuation requirements.
4. Stress testing's role in Solvency Regulation.
5. Treatment of Systemic Risk.
Source:
2011 Enterprise Risk Management Symposium
Type:
concurrent
Moderators:
John Baldan
Panelists:
William Sergeant, Tobe Bradley, Susan Cleaver
Anticipating Black Swans
The session will first provide basic information about the major systemic threats that can break down our economy and our enterprises. The risk probabilities of each of the threats will be discussed. I will then lead the discussion. I have 20 years of experience leading large meetings with lively discussion.
Climate change will be the most controversial and will create a very lively discussion. Whatever their views on this subject, their enterprises will be affected. Professional risk managers should rise above politics but it may not be easy. They must weigh probabilities using the best available scientific information. Where to get that is a major question to be discussed. Whatever the cause, risk managers need to deal with the changes that we are experiencing such as more extreme weather events, more wildfires, pests migrating northward, water scarcity, and more. Each are defined risks that may affect operations, supply chains, markets. Then there will be the compliance requirements such as reducing carbon dioxide emissions, building efficiencies, land use and an imposed green strategy.
Electromagnetic pulse is perhaps the biggest threat facing our nation. Scientists say that a large pulse from the sun is due. There is also the risk of a high altitude nuclear detonation that would have the same disastrous effect. Our enterprises should be preparing for blackouts of weeks or even months. For many, this would be a real black swan as knowledge of the EMP risk is not widespread. This is a threat that few know about. Our enterprises have not been organized to survive lengthy blackouts. Those that start planning now may well survive. This discussion is critical. Participants are welcome to add their suggested strategies to my own.
Pandemics seem to be regularly on the horizon. H1N1 was not quite the disaster it might have been but the threat of one kind of pandemic or another is there. Most enterprises were reportedly not responding to warnings. The discussion will examine how risk managers can work on fortifying their enterprises.
Earthquakes, volcanoes and even major oil spills that are large enough can cause systemic failures. While all of these have been considered low frequency/high consequence events, frequencies appear to be increasing. It is difficult to call these black swans when we know what they are and we can work to manage/mitigate the risk.
Source:
2011 Enterprise Risk Management Symposium
Type:
concurrent
Moderators:
John Baldan
Panelists:
Alan Roth
The Heart of Market Risk: Human Nature and Herding Behavior
This presentation will disclose the essence of financial risk to be human nature and herding behavior. The case for technical analysis as the antidote will be appraised.
Source:
2011 Enterprise Risk Management Symposium
Type:
keynote
Panelists:
Walter Zimmerman
Wall Street Demons - Macroeconomics, Math and Human Behavior
A review of how the apocalyptic trio of flawed macroeconomic policy, mathematical over-confidence and self-destructive human behavior brought the world's financial system to its knees in 2008, concluding with remarks about what changes in these elements have to be made to prevent future recurrence.
Source:
2011 Enterprise Risk Management Symposium
Type:
concurrent
Moderators:
John Baldan
Panelists:
John Dodson, Stephen Lindo, Timur Gök
Systemic Risk: Financial Reform–Too Little or Too Much, On-Track or Off-Course?
The Dodd-Frank Act represents the most sweeping financial reform measure since the Great Depression. The measures introduced by the reform have provoked debates on the effectiveness and appropriateness of the "too big to fail" concept, systemic risk, executive compensation and regulation of various financial instruments. This panel will address the following issues:
* What essential elements are needed to maintain the functioning and viability of risk systems in times of unusual stresses and unlikely events?
* Emerging from the events in the last two years, is it possible to effectively develop early warning indicators that trigger beneficial actions in advance of a complete collapse of an entire financial system or market?
* Will the reform work? Is it enough? Did it go too far?
* Does the United States need a chief risk officer?
The panel will examine and debate these questions as well as discuss the essential elements needed to maintain the functioning and viability of risk systems in times of unusual stresses and unlikely events.
Source:
2011 Enterprise Risk Management Symposium
Type:
concurrent
Moderators:
Gregory Hansen
Panelists:
Louise Francis, David Merkel
Optimal Layers for Cat Reinsurance & Investment and Reinsurance Counterparty Risk
This session will cover two topics, namely:
* Optimizing the use of catastrophe reinsurance to mitigate catastrophe risk
* Managing reinsurance counterparty risk.
In the first part of this session, Luyang Fu will present a methodology for determining the optimal catastrophe reinsurance layer by maximizing the risk-adjusted underwriting profit within a classical mean-variance framework. From the perspective of enterprise risk management, this study improves the existing literature in two ways. First, it considers catastrophe and non-catastrophe losses simultaneously. Previous studies focused on catastrophe losses only. Second, risk is measured by lower partial moment, which we believe is a more reasonable and flexible measure of risk compared to the traditional variance and VaR/TVaR approaches.
The second part of this session is on reinsurance counterparty risk, which represents the largest source of potential bad debt exposure for property casualty insurance and reinsurance organizations. Traditional methods of evaluating this risk may fall short of rating agencies' and companies' internal needs. Perry Mehta will outline key methodologies for assessing counterparty credit risk, particularly as it applies to insurance and reinsurance firms, with the relative merits of each approach. Stuart Hayes will present a sophisticated, credit-based approach that applies a stochastic simulation, based on information readily available from the bond market.
The methodology incorporates a transition matrix and recovery rates, and reviews both base case and stressed scenarios. A numerical example is included to enhance understanding of the methodology.
Source:
2011 Enterprise Risk Management Symposium
Type:
concurrent
Moderators:
Gregory Hansen
Panelists:
Luyang Fu, Stuart Hayes
Managing Risks in Incentive Compensation Plans
Compensation is a particularly critical issue for job seekers, employees, and employers alike; as such, companies need to carefully consider and construct competitive compensation and benefit packages. Compensation programs are commonly designed with the goal of attracting and retaining talent. However, another critical component that is not always considered in compensation plan design and management is the incentives they provide for employees and the resulting risks these incentives may present for a company. In particular, a poorly designed or managed compensation plan may cause employees or management to engage in behavior to their own advantage which may be detrimental to company value. These risks are insidious and need to be analyzed with a view towards the company's strategic vision and risk appetite.
In this presentation, we outline actionable risk management techniques that CROs and risk professionals can use to identify, assess, measure and manage incentive compensation risks. We map these techniques against the Performance Management and Compensation Development Cycle across both the near-term and longer term. Given the fact that most compensation plans are administered on an annual cycle, it might take a company several years to fully embed effective risk management into the incentive compensation program. Many of the longer term action items, including Stress Testing, build upon the strategies employed in the short-term over the course of the compensation cycle.
This presentation will help CROs and risk professionals to develop techniques and approaches to allow them to:
* Better align current incentives in compensation programs with the company's risk profile and appetite;
* Understand and enhance the company's controls to appropriately mitigate excessive risk taking;
* Balance risk management with the need to maintain an appropriate level of incentive compensation to attract and retain the necessary talent in the organization; and,
* Meet increasing demands for disclosure, analysis, and documentation from external regulators and stakeholders.
Source:
2011 Enterprise Risk Management Symposium
Type:
concurrent
Moderators:
Serhat Guven
Panelists:
Nathan Pohle, Suzette Huovinen
