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.
Optimization of Multiple Risk Strategies
Optimization technology plays a key role in the emerging application of ERM to business decision making. Organizational complexity typically hinders the ability of humans to reach optimal, confident business decisions in the absence of supporting technology. Historically, optimization technology has helped control complexity and creates a rigorous framework for coherent business decision-making. This session highlights the key role that such technology plays in the insurance space. Optimal underwriting, reinsurance and investment strategies are determined simultaneously to maximize the downside-risk adjusted profit. A case study will illustrate this ERM framework numerically.
Second, using the TVaR capital metric, another case study will demonstrate the application of optimizing approaches to the strategic and tactical allocation of assets. This case study will illuminate the many and peculiar constraints that afflict the optimizing of an insurer’s balance sheet.
At the conclusion of the session, you will have gained a strong appreciation for optimizing approaches to risk/return adjudication through real-world demonstrations. You will leave equipped to apply learnings to the specific instances of your company's situation.
Source:
2009 Enterprise Risk Management Symposium
Type:
concurrent
Moderators:
Jane Taylor
Panelists:
James Bachman
Keynote Luncheon - Group (Risk) Therapy-Cultural Theory and the Current Market Crisis
Source:
2009 Enterprise Risk Management Symposium
Type:
keynote
ERM Roundtable Discussion
Enterprise Risk Management is rapidly evolving to better meet the needs of firms. Join fellow attendees in this roundtable format as you share your knowledge and develop solutions to issues commonly faced by ERM practitioners. Facilitators will help guide the discussion to keep the topics varied and useful to practitioners. Topics will be determined by interest at the session, but could extend comments made at other sessions or issues of general interest. Each roundtable session is meant to be broad and not tied to issues related to a single track.
Source:
2009 Enterprise Risk Management Symposium
Type:
concurrent
Panelists:
Neil Strauss
Extreme Value Approach to Hedging Portfolio Downside Risk with VIX Futures
The 2009 ERM Symposium seeks to offer diverse views and, to that end, the research track will present research from the academic community. Authors will present their research, and an industry discussant will remark on how the research may be applied in practice. Questions and comments from the audience will be encouraged to stimulate the discussion. PRMIA and ERM International Institute are jointly serving as scientific organizers of the research track.
Source:
2009 Enterprise Risk Management Symposium
Type:
paper
Moderators:
Thomas McIntyre
Panelists:
Ser-Huang Poon
Keywords:
Hedging Portfolio, Downside Risk
A Global Perspective on Risk Management Structure and Governance for the Insurance Sector
Determining the appropriate structure and governance model of an ERM program provides the necessary foundation for an organization's ERM strategy. The design of the ERM program must be consistent with the company's culture and strategy.
During the session, experts will review how specific guidance from rating agencies, regulatory bodies and other organizations has influenced ERM governance structures, including the role of risk managers and the board of directors across the globe. We will introduce a maturity model that can be used to evaluate ERM best practices across multiple ERM governance and structure dimensions, including culture, roles and responsibilities, integration to the business, and communication. We will specifically discuss a point of view as to how a risk department should be organized relative to risk committees, the board of directors, other functional departments and business units. This will include examples of what a board of directors should demand from the company's ERM program and discuss ways risk managers can better help to engage and inform its board. Examples of organizational structures used by successful ERM programs will be reviewed.
Source:
2009 Enterprise Risk Management Symposium
Type:
concurrent
Moderators:
Kristi Carpine-Taber
Panelists:
Terri Dalenta, Adam Politzer
Lessons from the International Regulatory Systems: What has Worked and What Hasn't?
In this session, expert regulators will discuss lessons from the international regulatory systems that were uncovered during the credit crisis. The panel will discuss initiatives and approaches that have been tested to their limits during the crisis, discussing what worked and what did not. Come and join this session to hear about the learnings in regulations across several international regulatory regimes.
Source:
2009 Enterprise Risk Management Symposium
Type:
concurrent
Panelists:
Allan Brender, Sabeth Siddique
Advanced Economic Capital
Economic capital serves as the critical linkage between risk and return and underpins emerging theory and practice with respect to balance-sheet provisioning. Most financial intermediaries are implementing economic capital platforms in response to regulatory initiatives and to improve their capital budgeting and management processes. Fundamentally, economic capital formalizes and standardizes estimations of balance sheet provisions required to withstand extreme events, at defined levels of confidence. For the first time, coherent, informed and responsive capital provisioning is within reach.
Economic capital has a variety of uses beyond provisioning. Practitioners now can understand the specific risk/return dynamics of balance sheet constituents by decomposing and attributing economic capital. Insights about diversification synergies among and between these constituents are now possible. This means that company managers now have at their disposal the ability to quantify the incremental risk/return impact of a hypothetical business decision and draw conclusions accordingly. In this session, experts explore the use of economic capital approaches within the realm of everyday business decision-making and the implications involved.
At the conclusion of the session, you will have gained a better appreciation of the applications of economic capital and how it can help you understand and choose from among the multitude of managerial decisions you could make.
Source:
2009 Enterprise Risk Management Symposium
Type:
concurrent
Moderators:
Rick Kohan
Panelists:
John Manistre
How to Spot Emerging Enterprise Risks
Many commentators on the recent financial crises allude to systemic causes in the industry. This is consistent with our view of risk being an emergent property of a complex system. It is essential to understand the nature of the complexity of a system to be able to comprehend how organizations and whole industries can reach a tipping point. Experts will demonstrate these phenomena using classical systems theory and show that, indeed, the entire history of the "poised" system causes the emergent event. Experts then go on to show how we can give early indications of an enterprise approaching this phase change. A case study will be used to show how these theoretical concepts from complexity science can and have been used to model risks in an insurance company. The presentation will provide a series of examples and thoughtful demonstrations of how the exciting new branch of complexity science can help actuaries and risk professionals model emerging risks.
Source:
2009 Enterprise Risk Management Symposium
Type:
concurrent
Moderators:
Rick Kohan
Panelists:
Neil Allan
Enabling ERM 2.0 with Technology
The next stage in the development of ERM moves it into the decision-making arena, helping adjudicate the multitude of everyday decisions that managers throughout an insurance organization make. Ensuring that such decisions are coherent, informed and effective requires a high degree of connectivity among the organization's moving parts. This connectivity can only be achieved through the development and application of next-generation software that measures the incremental effects on a company's risk, return and capital of a decision that could be made, and captures the ofttimes subtle synergies amongst constituent assets and liabilities.
This session focuses upon recent advances in the development of ERM 2.0 software, paying special attention to the key development challenges, and early-stage experiences. Speakers will describe the salient aspects of how the ERM 2.0 approach differs from it predecessors and spotlight their plans for assisting company risk and return managers better achieve their business goals.
At the conclusion of the session, you will have gained a better understanding for the key conceptual elements of ERM 2.0, how it can help you at work, and the plans and goals that software vendors have for filling needs of practitioners.
Source:
2009 Enterprise Risk Management Symposium
Type:
concurrent
Moderators:
Rick Kohan
Panelists:
Curt Burmeister
ERM Roundtable Discussion
Enterprise Risk Management is rapidly evolving to better meet the needs of firms. Join fellow attendees in this roundtable format as you share your knowledge and develop solutions to issues commonly faced by ERM practitioners. Facilitators will help guide the discussion to keep the topics varied and useful to practitioners. Topics will be determined by interest at the session, but could extend comments made at other sessions or issues of general interest. Each roundtable session is meant to be broad and not tied to issues related to a single track.
Source:
2009 Enterprise Risk Management Symposium
Type:
concurrent
Panelists:
Aaron Halpert
How Risky is your Risk Information? The Importance of Enterprise Risk Information Management
In today's volatile market, risk management has become a key survival tool. Risk information management is essential in ensuring that data is available for risk model development, that ongoing risk measurements have credibility and that risk metrics are effectively used across the enterprise. A particularly relevant recent "blind spot" has been the inability to accurately model the risk of complex structured products-a high-quality risk information management system can help greatly in this regard. Information management is also critical in ensuring communication throughout the organization and in gaining the confidence of external stakeholders like investors and ratings agencies.
This session will cover innovations and best practices in risk information management in the banking and insurance industries. The impact of inferior information quality and its adverse impact on risk management will be reviewed. The session will also discuss the issues facing risk managers, with particular focus being given on the impact of information management on communication among stakeholders such as the board, shareholders and regulators.
You will learn to align risk measurement methodologies with a number of management variables: risk policies, corporate governance, government and reporting regulations and relevance to business management. At the center of this important alignment is information-the organization's critical resource for keeping pace with financial innovation, market fluctuations, rapid globalization and the frenetic rate of change in today's markets.
Source:
2009 Enterprise Risk Management Symposium
Type:
concurrent
Moderators:
Rick Kohan
Panelists:
Robert Mark
Risk Regulations–Learnings from the Industry
How did the various financial regulations impact the industry participants during the last few years? What worked and what did not? Do we expect a regulatory paradigm shift given the current credit crisis? If so, what do we expect the new regulatory environment to look like? In this session, several industry risk executives will share their perspectives on the current regulatory environment and potential developments.
Source:
2009 Enterprise Risk Management Symposium
Type:
concurrent
Moderators:
Raymond Stukel
Panelists:
Kurt Karl
Advances in Credit Risk Quantification
Credit investors understand the importance of holding diversified portfolios, avoiding concentrations in specific credits and industries, and utilizing latest learnings and advances in risk methodologies. Recent market events have brutally exposed the consequences of inadequate measurement and management of credit exposures.
This session will focus on recent advances in credit risk quantification including conceptual, methodological and technological advances. We will investigate and ventilate emerging best practices in concentration management, risk/reward trade-offs and portfolio theory. Presenters will deliver their remarks within the context of recent and evolving credit conditions and impacts.
At the conclusion of the session, attendees will have gained a better appreciation of modern credit risk management practice, with applications, and be able to apply learnings to the specific circumstances and positions.
Source:
2009 Enterprise Risk Management Symposium
Type:
concurrent
Moderators:
Raymond Stukel
Panelists:
Thomas Farina
Risk of Mispricing and Rogue Trading
The current market conditions increased the risks of mispricing and rogue trading faced by banks, insurance companies and investment firms. This presentation will provide insight into the factors that drive these risks. Special attention will be given to techniques and remedies used by financial institutions to mitigate the risks; the following questions will be addressed:
* What is a typical environment where mispricing or/and rogue trading could happen?
* What are the lessons learned from known rogue trading/mispricing incidents?
* What measures are used to prevent and detect mispricing and rogue trading?
* How to mitigate risks and limit losses of a rogue trader
Source:
2009 Enterprise Risk Management Symposium
Type:
concurrent
Moderators:
Raymond Stukel
Panelists:
Alexander Shipilov
How are Companies Adding Value via ERM? Details on Recent Global Insurance Industry ERM Studies
Recent surveys of ERM practitioners and users from around the globe have probed the real-world performance of ERM implementations, as well as how such performance accords with advertisements of its abilities. These surveys have produced insightful findings that can help practitioners gain improved buy-in from their constituents.
Experts in this session will present survey highlights and go behind the numbers to reveal key themes and trends. A key focus will be upon whether and how ERM can deliver its advertised strategic benefits and what adjustments need to be made to better meet the needs and expectations of consumers.
At the conclusion of the session, you will have gained an understanding of how ERM is viewed around the world, its actual and perceived successes and failings, and what senior managers demand from an ERM program. You will be equipped to compare and contrast your own ERM implementation, with survey results that indicate industry direction.
Source:
2009 Enterprise Risk Management Symposium
Type:
concurrent
Moderators:
Tony Cacchione
Panelists:
Linda Chase
Valuation Risk Management: Challenges and Practices
In this seminar, industry practitioners address challenges faced by banks, insurance companies and hedge funds in the midst of the financial crisis. The seminar will help you mitigate the risk of mispricing financial instruments, by providing insight from industry practitioners into existing practices and solutions. In a classroom format, participants will be encouraged to ask questions of the speakers and interact with each other to share ideas and experiences.
Areas of learning include:
* examples of spectacular mispricing,
* challenges in pricing financial instruments including derivatives,
* current issues in regulation, compliance and accounting standards, including FAS 157,
* valuation process, its governance and elements,
* valuation risk control framework,
* model vetting and validation,
* independent price verification and valuation adjustments,
* credit value adjustments in pricing financial instruments and
* collateral and margining.
A panel of experts, representing various industries and perspectives, will conclude the seminar with a discussion on how challenges have been, and can be, addressed.
Source:
2009 Enterprise Risk Management Symposium
Type:
seminar
Moderators:
Tony Cacchione
Panelists:
Greg Frank, Alex Kreinin
Keywords:
Valuation Risk Management
Banks and Insurers: Separate Paths, but a Common Destination
Towers Perrin; Prodyot Samanta, Third Eye Risk Insights; Gary Nan Tie, The Travelers Company; Christopher Bohn, Aon Global Risk Consulting; Dan Rosen, R2 Financial Technologies; Dan Galai, Sigma PCM; Wayne Fisher, Enterprise Risk Management Group; Michael Crouhy, NATIXIS; Larry Moews
The financial landscape evolves throughout time, and those who fall asleep during the stable periods are rudely awakened when volatility returns. Enterprise risk management helps, but only if it is implemented with a strong risk culture at its base.
Gain insights from experts in banking, as well as life and casualty insurance, as they share current ERM best practices. The Basel Accord has encouraged bankers to use company-driven ERM models for financial and nonfinancial risks to determine required regulatory capital. Insurers are using principle-based approaches to develop similar economic-based reserve and capital requirements unique to their business model. ERM implementation is a key component when optimizing results relative to risks taken.
Much has been learned in the recent past about shortcomings of relying entirely on models. Learn from the experts what they now know about modeling and ways to improve their processes. You just might discover that models from others in the financial services industry can improve the methods of calculating economic capital, pricing, performance measurement and portfolio management at your company.
A panel of experts, representing various industries and perspectives, will conclude the seminar with a discussion on how challenges have been, and can be, addressed.
Source:
2009 Enterprise Risk Management Symposium
Type:
seminar
Moderators:
Tony Cacchione
Panelists:
Christopher Bohn, Dan Rosen, David Ingram, Max Rudolph, Wayne Fisher, Michael Crouhy, Prakash Shimpi, Larry Moews, Dan Galai, Prodyot Samanta, Gary Tie
Keywords:
Banks and Insurers
A Benchmark Approach to Quantitative Finance
This one day seminar introduces a generalized framework for financial market modeling: the benchmark approach. It develops a unified treatment of derivative pricing, portfolio optimization and risk management without assuming the existence of risk-neutral measures. The benchmark approach compatibly extends beyond the domain of classical asset pricing theories with significant implications for longer dated products, stochastic discount factors and risk measures. A new Law of the Minimal Price, which generalizes the familiar Law of One Price, provides a revised foundation for derivative pricing. A Diversification Theorem justifies developing a simpler proxy for the full-blown numeraire portfolio.
The benchmark approach augments earlier financial modeling frameworks to enable tractable, yet realistic, market models encompassing equity indices, exchange rates, equities and the interest rate term structure to be developed based solely upon the real world probability measure. The seminar carefully explains how the benchmark approach differs from the classical risk-neutral approach. Examples will be presented, using long-term and extreme maturity derivatives, to demonstrate the important fact that-in reality-a range of contracts can be less expensively priced and hedged than is suggested by classical theory.
All registered attendees of this seminar will be given a complimentary copy of the book co-authored by Eckhard Platen and David Heath, A Benchmark Approach to Quantitative Finance (Springer Finance, 2006, ISBN 3-540-26212-1). The books will be handed out on-site. The core ideas from this recent book will be presented and further expanded upon during the seminar, including:
* basing financial modeling on the key concept of a numeraire portfolio;
* deriving the new Law of the Minimal Price;
* approximating the numeraire portfolio via diversification;
* consistent utility maximization and portfolio optimization;
* pricing nonreplicable claims consistently with replicable claims;
* pricing and hedging long term and extreme maturity contracts; and
* equity index, FX, equity and term structure derivatives.
Source:
2009 Enterprise Risk Management Symposium
Type:
seminar
Moderators:
Tony Cacchione
Panelists:
Eckhard Platen
Keywords:
Quantitative Finance
An Update on the Credit Crisis and Related Issues for D&O Insurers
Our global economy has been impacted by the ramifications of the ongoing credit crisis. Leading mortgage lenders, major investment banks, and real estate development companies are but a few of the types of organizations that have felt the brunt of this crisis. The Federal Reserve has taken repeated actions to mitigate the impact on the economy. And individuals have lost their jobs and found it nearly impossible to obtain mortgages as a result of this crisis.
During this discussion, we will explore some of the issues that the insurance industry is facing with regard to the credit crisis, particularly as the industry attempts to better understand and quantify the exposure.
Specifically, we will discuss the impact that the industry must deal with as a result of an increase in class action lawsuits. Our panel will also delve into the methods, obstacles, and estimates on specific lines of business such as D&O and E&O.
Source:
2009 Spring Meeting
Type:
concurrent
Moderators:
Tony Cacchione
Panelists:
David Bradford, Kevin LaCroix, Stephanie Plancic
How Technology is Changing P&C Insurance
As with many other industries, technology has significantly impacted the way that property and casualty insurance companies do business. Technology has impacted all facets of the insurance company, including marketing, underwriting, pricing, claims and customer service. Benefits of this technology have included the processing of many insurance transactions more efficiently, the facilitation of the collection, storage and analysis of data related to the insurance process, and providing of information on demand to end users.
This session will discuss various ways in which technology is used in the insurance industry, and how this technology is transforming the role of the actuary.
One such application of technology is the World Wide Web. One portion of the session will discuss the state of online auto insurance. Topics to be covered in this portion of the presentation include trends in online new business conversion, specifically over the past year with the economic situation; metrics for online acquisition and servicing; demographics of online quoters; finding profitable customers online; and more.
Source:
2009 Spring Meeting
Type:
concurrent
Panelists:
Susan Engleson
Hachemeister Prize 2008 Paper: The Chain Ladder and Tweedie Distributed Claims Data
The chain ladder algorithm is known to provide maximum likelihood (ML) parameter estimates for a model with multiplicative accident period and development period effects, provided that all observations are over-dispersed Poisson (ODP) distributed. Mack (1991a) obtained the ML equations for the corresponding situation in which cells of the data triangle were gamma rather than ODP distributed. These two choices of distribution correspond to the cases p=1 and p=2 when cell distributions are assumed to come from the Tweedie family. Section 3 places these results in a more general context by deriving the ML equations for parameter estimation in the case of a general member of the Tweedie family (p¡Ü0 or p¡Ý1). The intermediate cases, with 1< p < 2, represent compound Poisson cell distributions with gamma severity distributions, such as considered by Mack (1991a). While ML estimates are not chain ladder for Tweedie distributions other than ODP, Section 3 indicates why they will be close to chain ladder under certain circumstances. Section 4 also demonstrates that the ML estimates for the general Tweedie case can be obtained by application of the chain ladder algorithm to transformed data. This is illustrated numerically. Section 5 notes that the models underlying the chain ladder and separation methods are the same apart from an interchange of the roles of rows and diagonals of the data set. Consequently, each result on ML chain ladder estimation in Sections 3 and 4 has its counterpart for the separation method.
Source:
2009 Spring Meeting
Type:
Paper
Moderators:
Tony Cacchione
Keywords:
Hachemeister Prize
What Makes a Good Rate Filing
What makes a good rate filing, especially when GLM or other predictive modeling techniques are the basis for the analysis? How can you demonstrate that the proposed rates pass regulatory muster that they be neither excessive, nor inadequate, nor unfairly discriminatory? Both the regulatory and the company viewpoint will be represented. A lively discussion should ensue!
Source:
2009 Spring Meeting
Type:
concurrent
Moderators:
Mark Florenz
Panelists:
A. Cummings, Ken Creighton
NCCI’s New Class Ratemaking Methodology
This session will provide an overview of NCCI’s new class ratemaking methodology. The panel will explain the key components that are being revised; loss limits, loss development, excess loss provision, etc. The new methodology, which will not impact overall statewide premium, will improve class equity through greater stability and accuracy in class loss costs. The panel will present a comparison of the new vs. current methodology for 4 states. The latest loss cost filing in each of these states was reproduced in order to facilitate an analysis of the impact of the new methodology in the first year of implementation.
Source:
2009 Spring Meeting
Type:
concurrent
Moderators:
Mark Florenz
Panelists:
Jim Davis, Tom Daley
Speed Networking
This interactive session will provide attendees with an opportunity to polish their networking skills and interact with numerous peers. Similar to speed dating, speed networking requires participants to pair up and network with each other in short intervals. During this time, attendees will have a chance to exchange business cards, share knowledge and insights on current market trends, and perfect their networking abilities in a non-intimidating environment. Before the actual networking takes place the moderator will discuss the importance of networking skills, provide tips and advice, address common networking fears and explain the speed networking interactive exercise. At the conclusion the moderator will answer any questions and attendees can provide feedback on various networking techniques.
Source:
2009 Spring Meeting
Type:
concurrent
Moderators:
Mark Florenz
Discussion of Post-Catastrophe Landscape
In 2005, Hurricane Katrina dramatically changed the face of New Orleans forever. How has the city changed/recovered? What has been done to mitigate the impact of a similar event in the future? What are state and/or federal plans to support private market options for Catastrophe funding? These and other related topics will be discussed in a general session focusing on the aftermath of Katrina and other recent catastrophes.
Source:
2009 Spring Meeting
Type:
General
Moderators:
Jim Guszcza
Panelists:
David Chernick, John Rollins, John Forney
