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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.
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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.
Valuation and Capital
Source:
2009 Regional Affiliate - CAE
Type:
affiliate
Panelists:
Philipp Keller
Keywords:
Valuation, Capital
Capital Fungibility
Source:
2009 Regional Affiliate - CAE
Type:
affiliate
Panelists:
Eric Moro
Keywords:
Capital Fungibility
The Many Costs of Capital
Source:
2009 Regional Affiliate - CAE
Type:
affiliate
Panelists:
Donald Mango
Keywords:
capital
CAS Examination Process
The examination process continues to be of great interest to CAS members and candidates. In the past few years, the CAS has made changes in order to improve the examination process. These changes are intended to better prepare candidates and to more appropriately identify the qualified candidates. The panel will highlight some of the changes including syllabus improvements, question-writing training, and setting pass scores as well as the committee experience. Time will be allowed for questions.
Source:
2009 Annual Meeting
Type:
concurrent
Moderators:
Steve Manders
Panelists:
Rajesh Sahasrabuddhe, William Wilder, Christopher Olsen
Keywords:
examination process
Obtaining Predictive Distributions for Reserves Which Incorporate Expert Opinion
This paper shows how expert opinion can be inserted into a stochastic framework for loss reserving. The reserving methods used are the chain-ladder and Bornhuetter-Ferguson, and the stochastic framework follows England and Verrall [8]. Although stochastic models have been studied, there are two main obstacles to their more frequent use in practice: ease of implementation and adaptability to user needs. This paper attempts to address these obstacles by utilizing Bayesian methods, and describing in some detail the implementation, using freely available software and programs supplied in the Appendix.
Source:
2009 Annual Meeting
Type:
concurrent
Moderators:
Steve Manders
Panelists:
Richard Verrall
Keywords:
Reserves
Climate Change: Fact vs. Fiction and Implications for Our Business
This session will discuss climate change issues from both a scientific view and an insurance industry view. An in depth scientific view will separate fact from fiction regarding global warming. The insurance industry view will discuss the implications of climate change for the actuarial profession and the insurance/reinsurance industry as a whole. In addition, the CAS recently created a new Committee to address climate change issues. This session will also address the charge of this Committee.
Source:
2009 Annual Meeting
Type:
concurrent
Moderators:
Steve Manders
Panelists:
Katharine Hayhoe, Rita Zona
Keywords:
Climate Change
Non-Life Insurance in Japan --- Automobile Insurance & Fire Insurance
The environments surrounding Japanese non-life insurance market are continuously changing. In this session, we will briefly review the changes in automobile insurance and fire insurance in Japan. Current situation and issues will be discussed, especially on the following topics:
* Market situation
* Compulsory Automobile Liability Insurance to relieve traffic accident victims
* Automobile insurance after liberalization of the non-life insurance market
* A natural hazard risk and fire insurance
* Earthquake insurance scheme
Source:
2009 Annual Meeting
Type:
concurrent
Moderators:
Steve Manders
Panelists:
Kazuhiro Tanaka, Jun Ikeda, Shuhei Hamano, Hidekatsu Okubo, Yuichi Suzuki
Keywords:
Non-Life Insurance, Automobile Insurance & Fire Insurance
R in Action: Three Case Studies for Actuarial Modeling (Part II)
Part 2 of a two-part series demonstrates more advanced functionality of the R data analysis and visualization environment. We begin with a five-minute overview of the R environment. We then look more deeply into the advantages of R with case studies in three areas of current interest: customer retention, predictive modeling, and stochastic reserving. (Part 2 is not hands-on.) Attendees are not required to sign up for both sessions.
Source:
2009 Annual Meeting
Type:
concurrent
Panelists:
Daniel Murphy, Michael Driscoll
Keywords:
Actuarial Modeling
Variance Paper and SSRN Working Paper: Claim Reserving: Performance Testing and the Control Cycle and Claim Severities, Claim Relativities, and Age: Evidence from SOA Group Health Data
"Claim Reserving: Performance Testing and the Control Cycle" by Yi Jing, Joseph Lebens and Stephen Lowe
Fundamentally, estimates of claim liabilities are forecasts subject to estimation errors. The actuary responsible for making the forecast must select and apply one or more actuarial projection methods, interpret the results, and apply judgment. Performance testing of an actuarial projection method can provide empirical evidence as to the inherent level of estimation error associated with its forecasts. Performance testing of alternative methods provides formal assurance that the actuary is using the best methods for the given circumstance, and also provides insight into the appropriate weight to give to the indications produced by each method. Performance testing is an integral part of the actuarial control cycle associated with the loss reserving process. It provides the necessary feedback loop to the actuary, assuring that he or she is not overconfident about his or her forecasts. This paper describes how to construct sound performance tests, consistent with statistical crossvalidation, within the reserving control cycle. It illustrates the application of the techniques via a case study, including some interesting empirical results.
"Claim Severities, Claim Relativities, and Age: Evidence from SOA Group Health Data" by Frank Schmid and Chris W. Laws
The influence of age on Group Health medical claims is analyzed for a large data set provided by the Society of Actuaries. This data set comprises claims for the years 1997 through 1999, with a total claim count of about 4.3 million and total paid charges of approximately $7 billion. Using partial linear models that allow for the influence of age to be nonlinear, it is shown how age affects claim severities and claim relativities (defined as the proportions of claimants by diagnostic category). The claim severity model uses quantile smoothing with total variation regularization in the nonparametric component. The claim relativities approach rests on a multinomial logit model with a random-walk smoother. The findings show that the influence of age on claim severities is log-linear within an age bracket that ranges from the early twenties to the early sixties; the effect of age on claim relativities is highly nonlinear.
Source:
2009 Annual Meeting
Type:
paper
Panelists:
Stephen Lowe, Frank Schmid, Chris Laws, Joseph Lebens, Yi Jing
2008 ARIA Prize Paper: Natural Disaster Insurance and the Equity-Efficiency Trade-off
This article investigates the role of private insurance in the prevention and mitigation of natural disasters. We characterize the equity-efficiency tradeoff faced by the policymakers under imperfect information about individual prevention costs. It is shown that a competitive insurance market with actuarial rate making and compensatory tax-subsidy transfers is likely to dominate regulated uniform insurance pricing rules or state-funded assistance schemes. The model illustrates how targeted tax cuts on insurance contracts can improve the incentives to prevention while compensating individuals with high prevention costs. The article highlights the complementarily between individual incentives through tax cuts and collective incentives through grants to the local jurisdictions where risk management plans are enforced.
Source:
2009 Annual Meeting
Type:
paper
Moderators:
Steve Manders
Property-Liability Insurance Loss Reserve Ranges Based on Economic Value
A number of methods to measure the variability of property-liability loss reserves have been developed to meet the requirements of regulators, rating agencies, and management. These methods focus on nominal, undiscounted reserves, in line with statutory reserve requirements. Recently, though, there has been a trend to consider the fair value, or economic value, of loss reserves.
Insurance regulators worldwide are starting to consider the economic value of loss reserves, which reflects how much needs to be set aside today to settle these claims, instead of focusing on nominal values. If insurers switch to economic values for loss reserves, then reserve variability would need to be calculated on this basis as well. This approach will add considerable complexity to reserve variability calculations. This paper combines loss reserve variability and economic valuation. Loss reserve ranges are calculated on a nominal and economic basis for a simplified insurer to illustrate the key variables that impact loss reserve variability. Nominal interest rate and inflation volatility, interest rate-inflation correlation, and the relationship between claim cost and general inflation are key factors that affect economic loss reserve variability. Actuaries will need to focus on measuring these values accurately if insurers adopt economic valuation of loss reserves.
Source:
2009 Annual Meeting
Type:
paper
Moderators:
Jose Trasancos
Professional Liability and the Economy
This session seeks to explore the relationship between the economy and claims in medical professional liability and directors and officers liability.
One speaker will explore the relationship between economic variables and medical professional liability coverage. Specific phenomena to be explored include the relationships between:
* Claim severity and medical inflation;
* Claim frequency and unemployment; and
* Other possible economic influences on severity and frequency
The next speaker will discuss a D&O class action claim study which uses a multivariate model to estimate aggregate securities class action losses. The model uses the Stock Market Volatility Index as one of the predictor variables as well as several others.
Both speakers will focus on the historical relationship between the variables considered and the state of the economy, and special attention will be given to the extent to which these historical relationships can be expected to replicate themselves in the current economic downturn.
Source:
2009 Annual Meeting
Type:
concurrent
Moderators:
Jose Trasancos
Panelists:
Jennifer Kish, Susan Forray
Keywords:
Professional Liability
Workers Compensation - Along for the Ride on the National Medical Train!
Currently accounting for 2-3% of national medical spend, Workers Compensation is greatly influenced by the macroeconomic forces affecting the medical landscape of our economy. All constituents (providers, payers, consumers, etc.) have had to contend with increased prices and utilization of medical services, and WC will continue to bear the brunt of cost-shifting as more change inevitably occurs.
This session will provide perspectives on WC medical cost trends from both a macro and micro perspective from two leading experts in the WC and healthcare industry. We will discuss the impact that proposed national healthcare reform models will have on WC. We will delve into how our largest state, California, is addressing the impact of prior WC reforms and current WC cost drivers in a public policy context. Each speaker will address the upcoming, inevitably fierce debates between all constituents on issues such as providers facing declining reimbursement from Medicare, increased hospital costs in the area of specialist and ancillary care, changes in approved FDA drugs, use of medical information, and others.
WC actuaries will benefit from learning more about the underlying fundamentals of our healthcare delivery system, how proposed healthcare reform will impact WC, and what they can do to prepare for the coming changes.
Source:
2009 Annual Meeting
Type:
concurrent
Moderators:
Jose Trasancos
Panelists:
Alex Swedlow, Joseph Paduda
Keywords:
Workers Compensation
Actuarial Accounting - A Cautionary Report
With two CAS actuaries convicted of violating securities and criminal laws, it is important to review our legal obligations to the public. This presentation relays the case against five AIG and Gen Re insurance professionals, focusing on the accounting of reinsurance contracts. The facts of the case will be reviewed and the audience walked through the relevant securities and criminal laws. It is an eye-opening presentation that will educate actuaries on how important documentation is, how important it is to be conscious and precise in communications, and other pertinent professional considerations.
Source:
2009 Annual Meeting
Type:
general
Moderators:
Alexander Laurie
Panelists:
Dan Young
Climate Risk Reporting and Monitoring
This panel will focus on the NAIC's Climate Risk Survey Disclosure requirement and the climate risk disclosure inquiries that are now appearing on the rating agency questionnaires. The discussion will include what the current requirements are and from whom and what future requirements are likely to appear. The discussion will then address what this means for the actuarial profession and our risk management role in climate change.
Source:
2009 Annual Meeting
Type:
general
Moderators:
Alexander Laurie
Panelists:
Joel Ario, Andrew Logan
Regulatory Actuaries: An Insider's Perspective
This session will be both entertaining and enlightening as it explores the unique rewards and challenges experienced by actuaries practicing in the regulatory arena. Several regulatory actuaries will provide their unique 'insider's' perspective. They will discuss the challenges they face, the skills required to succeed in this arena and the non-monetary rewards that allow them to feel satisfied with their careers. Along the way you will gain a greater understanding of the regulatory process and likely a greater facility when advocating your position in this forum.
Source:
2009 Annual Meeting
Type:
concurrent
Moderators:
Alexander Laurie
Panelists:
Cara Blank, Mary Miller
Keywords:
Regulatory
A Robust Bayesian Loss Development Model: Concept and Implementation in R
A statistical model of loss development and its open-source software implementation is presented. The model is Bayesian and estimated using MCMC (Markov Chain Monte-Carlo simulation). The model has several advanced features, such as a skewed t-distribution with endogenous degrees of freedom and a scale parameter that varies in development time. Further, RJMCMC (Reversible Jump MCMC) is used to determine the optimal run-off path of (calendar year effect and exposure-adjusted) incremental payments. Future rates of inflation are simulated using an Ornstein-Uhlenbeck process. This model has been compiled into an R package (lossDev), which is in the process of being made available on CRAN for public use. After a discussion of the theoretical model, it is shown how to use the software to develop loss triangles.
Source:
2009 Annual Meeting
Type:
concurrent
Moderators:
Alexander Laurie
Panelists:
Chris Laws
Keywords:
Robust Bayesian Loss Development Model, R
The Community Insurance Fraud Initiative (CIFI) and The Use of a Unique Insurance Database in the Effort - A Five Year Retrospective
Following a staged accident in late 2003 that resulted in the death of a Lawrence grandmother, the Insurance Fraud Bureau of Massachusetts (IFB), the Lawrence Police Department and the Essex County District Attorney partnered in the creation of a joint task force to attack the problem of fraud in Lawrence. This task force effort, later to be named A Community Insurance Fraud Initiative (CIFI) has, to date, charged 369 people with insurance fraud, has seen convictions involving chiropractors, attorneys, runners and average citizens and has dramatically dropped the insurance claim level in that city. For every 100 accidents in 2003 Lawrence, there were 141 injuries reported to insurance companies - nearly four times the statewide average. By 2008, that statistic had dropped to only 48 for every 100 accidents. The Lawrence success was so dramatic that beginning in 2004, the CIFI task forces were replicated in 12 other communities across the state with dramatic reductions in premiums of $496 million through 2008. This session will cover the structure and results of the fraud effort on the insurance marketplace, an effort which has been supported by the IFB, various police departments, district attorneys, the Attorney General's office and auto insurance companies, with their unique Massachusetts Detailed Claim Database that supplied extensive claiming characteristics by town.
Source:
2009 Annual Meeting
Type:
concurrent
Moderators:
Kiera Doster
Panelists:
Daniel Johnston
Keywords:
Fraud
Allocation of Capital Debate
Several papers have been written in the last few years introducing alternatives to traditional capital allocation approaches. In the first half of this session, three authors will discuss their alternative capital allocation approaches and apply them to a sample dataset (provided below in Excel format). In the second half, the moderator will engage the audience and panel in discussion and debate on some of the many difficult implementation issues, including whether to allocate capital to reserves and assets, whether to cap downside scenarios at the available capital level, how to handle long duration business, and whether to allocate available capital or calculated required capital.
Source:
2009 Annual Meeting
Type:
concurrent
Moderators:
Kiera Doster
Panelists:
Donald Mango, Gary Venter, Neil Bodoff
Keywords:
Allocation of Capital
Introduction to Reserve Range Theory and Practical Model Application
A practical look at why every reserving actuary should implement ranges as standard reserving practice, and some simple real-life applications in Excel to drive home the point.
The first panelist will start by listing reasons for estimating ranges, summarizing reasons he has heard for not providing a range, and reviewing what the Actuarial Standards of Practice have to say about the matter. He will then provide a simple example in Excel, showing the nuts and bolts of applying the Mack Method to an incurred loss triangle.
The second panelist will explain the basic stochastic terminology in layman's terms. The session will define the various types of risks measured in stochastic analysis and provide a basic understanding of the underlying ideas and concepts behind the most popular stochastic models and methods. Moving from theory to practice, the session will conclude with a walk-through of the Bootstrapping Method implemented in Excel.
Source:
2009 Annual Meeting
Type:
concurrent
Moderators:
Kiera Doster
Panelists:
Emmanuel Bardis
Keywords:
reserving, Reserve Range Theory
The State of the Reinsurance Market
The session will give the audience an update on the current Property and Casualty Reinsurance Market, the reinsurance needs of various insurance entities as well as how reinsurers are responding to those needs both from a Property as well as Casualty perspective.
The panelists will share their perspective on the topic and give the audience the opportunity to ask questions and share their perspectives.
Source:
2009 Annual Meeting
Type:
concurrent
Moderators:
Kiera Doster
Panelists:
David Brinkman, Chris Klein
Keywords:
Reinsurance, Property and Casualty
Measure Up? Gauging the Effectiveness of Price Monitoring Methods
Monitoring the price change on individual risks is fraught with challenges when coverage, limits, or underlying exposures change significantly at renewal. Different methods can produce very different results and different conclusions. Conflicts arise in organizations when variances are taken at face value or can't readily be understood as presented in summary reports.
Future business strategy can be impacted. Within the same company, underwriting and actuarial may both be measuring and monitoring price change using different techniques and at varying frequencies. Who should management believe? What are some of the pitfalls? How can we help organizations develop nimble methods to monitor price without overwhelming them with process and data?
Source:
2009 Annual Meeting
Type:
concurrent
Moderators:
Kiera Doster
Panelists:
Janet Grace, Brian Mahon, Catherine Eska
Keywords:
Price Monitoring Methods
Generalized Linear Modeling
Intermediate GLMs is a practical session focusing on important questions that a modeler must address during the modeling process. The discussion will cover topics such as the appropriate response variable when modeling claims, what to focus on when building and iterating models, methods of model validation, strategies for combining models, and techniques for incorporating real world constraints.
This session will be presented by Emily Stoll. Emily is a consultant with EMB, where she focuses on Predictive Modeling, Ratemaking and Competitive Analysis.
Source:
2009 Regional Affiliate - CSAF
Type:
affiliate
Panelists:
Emily Stoll
Keywords:
GLMs, Generalized Linear Modeling
Essentials of Data Quality for Predictive Modeling
This session will outline the components needed in a data collection and data quality plan to prepare for a predictive modeling project. We will be discussing the need to have a data collection plan, why a feedback loop between the data team, the modeling team and the business is necessary, the data quality dimensions critical to success and the type of data cleansing that is required prior to modeling. This session will be presented by Jeremy Benson and Alietia Caughron. Jeremy is a Senior Actuary with Swiss Re where he focuses on Actuarial Data Management and Data Quality. Alietia is the Manager of Predictive Modeling for Commercial Insurance with Swiss Re.
Source:
2009 Regional Affiliate - CSAF
Type:
affiliate
Panelists:
Jeremy Benson, Alietia Caughron
Keywords:
Predictive Modeling, data collection
An Overview of IFRS
International Financial Reporting Standards (IFRS) have been adopted or will be soon in much of the world. This session will discuss the latest information on how and when US accounting standards may be affected. Conversion to IFRS will be more than an accounting exercise for U.S. companies. In addition to its impact on accounting and reporting, companies will also need to assess the impact on their business, systems and processes, and people. The presentation will focus on IFRS in broad terms, as well as current status of standards for insurance contracts as well as contingent liabilities, affecting self-insured entities. This session will be presented by a KPMG representative.
Source:
2009 Regional Affiliate - CSAF
Type:
affiliate
Keywords:
IFRS, International Financial Reporting Standards
