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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.
NCCI Update of Country-wide Reserve Analysis and Current Events
NCCI completes a private carrier workers compensation loss reserve analysis annually. The results of various approaches are reviewed for reasonableness and stability over time. Since last year's analysis, NCCI reviewed the adequacy of the "prior line," and continued to make adjustments due to reinsurance. At the meeting, NCCI will present the results of its most recent analysis.
Additionally, a Bayesian loss development model will be discussed. The model is applied to a large triangle of the medical payments on permanent disability claims previously studied by Sherman and Diss. The loss development model accounts for model uncertainty by means of Bayesian model averaging using reversible jump Markov-chain Monte Carlo simulation.
Source:
2008 Annual Meeting
Type:
concurrent
Moderators:
Angeles Yanez
Panelists:
John Deacon, Frank Schmid
Keywords:
workers compensation loss reserve analysis, loss development model, Bayesian loss development model
Mergers & Acquisitions: Current Environment
Many people think that the current P&C environment in the United States is ripe for M&A right now. Others have said the same thing about Asia for many years. These panelists will discuss their observations of the respective M&A environments and the roles actuaries can play in that activity.
Source:
2008 Annual Meeting
Type:
concurrent
Moderators:
Angeles Yanez
Panelists:
Robert Walling, Ronald Kozlowski
Keywords:
P&C environment, M&A environments, Mergers & Acquisitions
Fair Value and International Accounting Update
Fair Value is coming, if not already here in some circumstances. U.S. GAAP already requires a fair value loss reserve calculation for a business combination (i.e., merger or acquisition). The IASB seems to be committed to requiring loss reserves be discounted with a risk margin in the new insurance accounting standard they are working on. In addition, U.S. GAAP seems poised to disappear by around 2013, to be replaced with whatever "fair value"-like standard the IASB comes up.
This session will provide the fundamentals of fair value/economic value measurements for insurance contract assets and liabilities, including the particular requirements (and potential relevance) of Financial Accounting Standards 157 and 159.
Source:
2008 Annual Meeting
Type:
concurrent
Moderators:
Angeles Yanez
Panelists:
Ralph Blanchard, James Christie
Keywords:
fair value loss reserve calculation for a business combination, fair value/economic value, Financial Accounting Standards
CAS Examination Process
The examination process continues to be one of the hottest topics for Casualty Actuarial Society members and candidates. In the past few years, the CAS has made material changes in order to improve the examination process and other changes are planned. The changes are intended to better prepare candidates and to more appropriately identify the truly qualified candidates. This panel will address some of these changes, including learning objectives, question-writing training, and setting pass scores. Time will be allowed for questions.
Source:
2008 Annual Meeting
Type:
concurrent
Panelists:
Derek Jones, Arlie Proctor, Steven Armstrong
Keywords:
examination process
Paper Session 1: Parameterizing Payout Lag Time Distributions
We wish to model a claims process consisting of a random time to occurrence followed by a random time to a single payment. However, the accident year payout data available is usually aggregated by development year rather than by payment lag, so we need to be able to calculate the development year probabilities from the distribution for the lag time from occurrence to payout. The parameterization of the payout lag time is done by maximizing the fit of predicted probabilities to data, here using a piecewise linear continuous distribution. However, the general formulae are given so that the reader may use her favorite form of distribution. Available companion spreadsheets are working tools for the process. They do accident year by development year, accident year by development quarter, and policy year by development year. It is sometimes found useful to compromise the quality of the fit somewhat in order to get a more believable distribution of payout lag time. Since the distribution may be used in simulation, a simulation check on the results is provided. This process results in a new method of graduation of payout patterns so that uncertain data can be effectively and consistently smoothed and partial accident year data consistently used.
Source:
2008 Annual Meeting
Type:
Paper
Moderators:
Jan Moenck
Panelists:
Rodney Kreps
Keywords:
Parameterizing Payout Lag Time Distributions, paper
Paper Session 1: Distinguishing the Forest from the TREES
In recent years a number of new "data mining" approaches for modeling data containing nonlinear and other complex dependencies have appeared in the literature. One of the key data mining techniques is decision trees, also referred to as classification and regression trees or C&RT (Breiman et al. 1993). These new methods are based on ensembles or networks of trees and carry names like Treenet and Random Forest. Viaene et al. (2002) compared several data mining procedures, including tree methods and logistic regression, for prediction accuracy on a small fixed data set of fraud indicators or "red flags". They found simple logistic regression did as well at predicting expert opinion on fraud/no fraud as the more sophisticated procedures. In this paper we will introduce some available regression tree approaches and explain how they are used to model proxies for fraud in insurance claim data. The data used for this analysis are the approximately 500,000 auto injury claims reported to the Detailed Claim Database (DCD) of the Automobile Insurers Bureau of Massachusetts from accident years 1995 through 1997. The factual decision to order an independent medical examination or a special investigation for fraud, and the favorable outcomes of such decisions, are the modeling targets instead of expert opinion. We find that the methods all provide some explanatory value or lift from the available DCD variables with significant differences in fit among the methods and the four targets. All modeling outcomes are compared to logistic regression as in Viaene et al. with some model/software combinations doing significantly better than the logistic model.
Source:
2008 Annual Meeting
Type:
Paper
Moderators:
Jan Moenck
Panelists:
Richard Derrig
Keywords:
data mining
What's Driving the Decline in Medical Malpractice Claim Frequency?
This session will discuss a number of factors that the panelists believe have been driving the decline in frequency observed in the medical malpractice industry. We will look at recent industry claims experience and how this relates to these changes.
The panelists will also address issues such as the impact of physician extenders on the delivery of healthcare and how CMS's October 1st never events policy may help to reverse some of the favorable frequency trends we have observed.
Source:
2008 Annual Meeting
Type:
concurrent
Moderators:
Jan Moenck
Panelists:
Kevin Bingham, Richard Lord
Keywords:
medical malpractice, Medical Malpractice Claim Frequency
Loss Reserving with R
R is a free, open-source (GPL-licensed) software environment that has become very popular in academic, scientific, and financial communities for statistical modeling and problem solving. CAS members may be familiar with the application of R to predictive modeling. This session will show how R can also be used for reserving. Markus Gesmann wrote the R ChainLadder package which carries out some of the basic deterministic and stochastic reserving methods familiar to casualty actuaries. Vincent Goulet wrote the R package actuar that provides additional R functionality in loss distribution modeling, credibility theory, and risk and ruin theory. Vincent will begin this session with a brief introduction to the R language and actuar. Dan Murphy will show how to use R with Excel via the add-in RExcel. Markus will then give a live demonstration of the capabilities of his ChainLadder package. The session will focus on R as a tool rather than on advanced actuarial techniques. Attendees can expect to leave the session somewhat more at ease with the notion that actuarial reserving methods and models need not be relegated to the realm of the spreadsheet.
Source:
2008 Annual Meeting
Type:
concurrent
Moderators:
Jan Moenck
Panelists:
Markus Gesmann, Daniel Murphy, Vincent Goulet
Keywords:
R, Loss Reserving with R, predictive modeling
California Workers' Compensation Update
Update of the California workers' compensation reform legislation. Are we seeing the expense savings that we expected? Where are the savings any more or less than initially estimated? Are there any real threats to this landmark legislation being shot down in part or in its entirety?
Source:
2008 Annual Meeting
Type:
concurrent
Moderators:
Marc Slutzky
Panelists:
Darrell Brown, Keith Higdon
Keywords:
California workers' compensation reform
Surveys of Reserving Methods
Have you wondered how your reserving methods compare with what others are doing? Are you ahead or behind the curve? Does anybody really use this fancy stochastic stuff in practice? Do not feel alone. You are not the only one to ask such questions. The CAS Committee on Reserves has recently completed a survey of reserving methods in use in North America. The Faculty and Institute of Actuaries in the U.K. and the Institute of Actuaries of Australia have both undertaken similar surveys in the U.K. and Australia. Not only will the Reserving Committee share the results of its survey, but representatives from the U.K. and Australia will let us know the results of those surveys and how they all compare. We are sure to see some comforting similarities, but also are likely to see some interesting differences.
Source:
2008 Annual Meeting
Type:
concurrent
Moderators:
Marc Slutzky
Panelists:
Aaron Halpert, Jefferson Gibbs, Derek Newton
Keywords:
Reserving Methods
Predictive Models, Innovation and Regulation: Markets Constrained
Predictive modeling, data mining, and various price optimization and techniques are now the norm in pricing various property and casualty products. Market regulation, especially with regard to price and conduct, is also commonplace. This session will examine the tensions that arise between the new pricing innovations and regulation. The effect on consumer and insurer welfare and strategies to maximize market welfare will be discussed.
Source:
2008 Annual Meeting
Type:
general
Moderators:
Marc Slutzky
Panelists:
Jeffrey Kucera, Charles Romberger, Russel Sutter
Paper Session 2: We're Skewed - The Bias in Small Samples from Skewed Distributions
All of us, especially those of us working in insurance, are constantly exposed to the results of small samples from skewed distributions. The majority of our customers will see small sample results below the population mean. Also, the most likely sample average value for any small sample from a skewed population will be below the mean of the skewed population being sampled. Experienced actuaries are aware of these issues. However, we have to be on guard and not fall back on easy assumptions that are appropriate for results from symmetrical distributions.
Source:
2008 Annual Meeting
Type:
Paper
Moderators:
Marc Slutzky
Panelists:
James Guszcza, Kirk Fleming
Paper Session 2: Hierarchical Growth Curve Models for Loss Reserving
Hierarchical or multilevel modeling extends traditional GLM or non-linear models by giving certain of the model parameters their own probability sub-models. Hierarchical modeling can be viewed as an extension of Bayesian credibility theory that allows one to build models for data that are grouped along a dimension containing multiple levels. In particular, hierarchical modeling can be used to analyze longitudinal datasets containing multiple observations for each of several subjects. A contention of this paper is that traditional loss reserving triangles are most naturally regarded as longitudinal datasets. Non-linear hierarchical models - known also as non-linear mixed effects models - therefore provide a natural and flexible framework in which to model loss development across multiple accident years. The use of non-linear growth curves together with multilevel modeling techniques allows one to build models that are at once parsimonious and easy to interpret. Finally, because they incorporate growth curves, such models obviate the need to specify tail factors.
Source:
2008 Annual Meeting
Type:
Paper
Moderators:
Marc Slutzky
Panelists:
James Guszcza, Kirk Fleming
Time Horizon in Risk Assessment
The risk associated with estimates of uncertain financial variables is a function of time. For example, the market's estimate of the value of a common stock is more likely to vary widely over a two-year period than over a one-year period. Does an actuary's estimate of accident year ultimate losses behave the same way?
This panel explores the role of time horizons in risk assessment. What is the difference between one-year and runoff horizons in estimating loss reserve volatility and what are the implications by line of business? What is the role of time horizon in issues such as economic capital modeling, capital requirements (e.g. Solvency II) and enterprise risk management?
Source:
2008 Annual Meeting
Type:
concurrent
Moderators:
Marc Slutzky
Panelists:
Michael Wacek, Yi Jing
Keywords:
Risk Assessment, financial variables
Predictive Modeling for Reserving
This session will examine how predictive modeling techniques can be used in the reserving of workers' compensation and personal auto liabilities.
Predictive modeling has become associated with ratemaking to a great extent, so much so that the CAS Ratemaking Seminar and the CAS Predictive Modeling Seminar are being combined into one. The reality is that predictive modeling has many applications in reserving. Currently the most evident applications of predictive modeling are associated with the estimation of reserves for permanently disabled workers compensation claimants, or for permanently disabled automobile injury claimants in unlimited PIP states.
Roosevelt will share his experiences with using predictive modeling techniques for personal auto reserving. Richard will present some material from a paper he co-authored with Gordon Diss, "Estimating the Workers Compensation Tail," (PCAS 2005, pp. 579-678), including specific examples of applications of predictive modeling in reserving. He will also present the results of research conducted after the paper was published. This paper won the Dorweiler Prize in 2006.
Source:
2008 Annual Meeting
Type:
concurrent
Moderators:
Marc Slutzky
Panelists:
Roosevelt Mosley, Richard Sherman
Keywords:
Predictive Modeling for Reserving, workers' compensation, personal auto liabilities, ratemaking
New York Workers Compensation Reforms--Progress to Date
New York enacted a significant workers compensation reform in 2007. Some of the reform provisions were expected to increase costs (such as increasing maximum weekly benefits) while others were expected to result in cost decreases (such as limiting benefit duration on permanent partial injuries). The legislation was complex, with numerous changes to both indemnity and medical benefits, as well as claim settlement practices. A subsequent reform in 2008 moved the New York workers compensation system from an administrative pricing structure (rates) to competitive pricing (loss costs).
The panelists will outline the elements of the workers compensation law changes and discuss the methods used to price them. They will also provide an update on the progress made with respect to the various provisions, including the change to loss costs, and what is still to come.
Source:
2008 Annual Meeting
Type:
concurrent
Moderators:
Marc Slutzky
Panelists:
Ziv Kimmel, Paul Ramont
Keywords:
workers compensation reform
Integration of Pricing and Reserving Functions - Talking to the "Other" Actuaries
Many insurance company actuaries work are labeled as either reserving or pricing actuaries. While their work is very closely related, the lack of communication between them often leads to the loss of valuable knowledge and information that could have been very helpful to "actuaries on the other side of the floor".
This session examines the interaction of pricing and reserving actuaries at different companies. The panelists discuss the information that is passed from the pricing actuaries to the reserving actuaries and visa versa. That information may include loss ratios, development patterns, frequency / severity trends and industry developments such as tort reform or large loss events. It may also include knowledge obtained from underwriters, claims adjusters, finance department, etc. Also covered are the processes that have been implemented to ensure the smooth (or nearly smooth) flow of information on a timely basis.
The session looks at these interactions and processes from the perspective of a commercial lines insurance company and also from a reinsurance company.
Source:
2008 Annual Meeting
Type:
concurrent
Moderators:
Al Weller
Panelists:
Mark Phillips, Michael McKnight
Keywords:
Pricing and Reserving Functions
Auto Frequency - is it Leveling Off or Is It Still Increasing
Auto frequency has demonstrated a slow and steady decline for many years now. Recently, however, there has been much speculation as to whether auto frequency will flatten or even begin to increase. Indeed, in some jurisdictions frequency has increased for certain auto coverages. Join this panel of experts to gain their insights on the drivers of auto frequency and the potential impacts on average claim severities.
Source:
2008 Annual Meeting
Type:
concurrent
Moderators:
Fred Tavan
Panelists:
Keith Rutman, Victoria Kilgore
Keywords:
Auto Frequency
The Actuary's Role in the General Insurance Market 'Down Under'
This session will examine the modern Australian Property & Casualty market. Several significant market particulars are the result of, or response to, several recent insurer collapses. The session will include overviews of insurers, products, regulation, accounting regime and, of course, the role of the actuary.
Source:
2008 Annual Meeting
Type:
concurrent
Moderators:
Fred Tavan
Keywords:
Australian Property & Casualty
Mortgage Insurance Market Developments and Outlook
The interaction of financial market participants and developments have affected the private mortgage insurance industry. This presentation will explore the nuances of how various events fit together and, just as importantly, how business models of the industry have been adjusting to account for the rapidly changing situation. Included in this presentation will be an exploration of the issue on a global level and how changes are being made at each level to meet the market’s needs.
Source:
2008 Annual Meeting
Type:
concurrent
Moderators:
Parr Schoolman
Panelists:
Kyle Mrotek, Jason Berkey, Jonathan Guy
Keywords:
financial market, private mortgage insurance industry
Outsourcing, Offshoring & Importing Actuarial Talent
Outsourcing and offshoring of various business processes in the American business culture is commonplace today. However, there hasn't been as much public discussion about these issues as they relate to actuarial work. What aspects of your organization's actuarial work are viable candidates for offshoring or outsourcing? What considerations may lead your organization to more serious consideration of offshoring? How does an organization handle the time and cultural differences effectively? How does the market for actuarial talent compare in low-cost countries vs. North America?
This session will explore how three different companies have approached offshoring and outsourcing, and what they are learning or have learned in the process.
Source:
2008 Annual Meeting
Type:
concurrent
Moderators:
Parr Schoolman
Panelists:
Jeremy Benson, James Kunce
Insurance Regulation in the (Wild) West - Update on Current Issues
Join this panel of regulatory actuaries from western states as they discuss current issues in insurance regulation that are of interest to casualty actuaries. Specific topics may include medical malpractice rates and data collection, credit scoring, the use of occupation and education in personal lines rating, catastrophe modeling, the tension between insurers' sophisticated pricing models and states' public records laws, captives and risk retention groups, and issues the NAIC is working on. The panel expects to have a lively discussion involving the audience. And what's so special about regulatory actuaries, anyway? Why would anyone want to do that? Come and find out.
Source:
2008 Annual Meeting
Type:
concurrent
Moderators:
Parr Schoolman
Panelists:
Sarah McNair-Grove
Keywords:
Regulation
How Will Predictive Modeling Change the P/C Industry Over the Next 5-10 Years
The panel will discuss these topics:
* Will there be any property/casualty lines of business that will not be touched by predictive modeling?
* What areas of a company's operation (i.e. claims, reserving) besides ratemaking will be affected by predictive modeling?
* Will advances come from new statistical methods, new data sources, both, or some other sources?
* Most P/C predictive modeling application have been implemented during good economic times. Are there any implication for these applications from the economic downturn that we are now experiencing?
* As consumers become more educated about how insurers are using predictive modeling to uncover new rating variables, what are the risks of them being able to game the system?
* Is the ultimate scoring model, which has a unique rate for every risk, possible or even desirable?
Source:
2008 Annual Meeting
Type:
concurrent
Moderators:
Alexander Shipilov
Panelists:
Glenn Meyers, Robin Harbage
Keywords:
property/casualty, lines of business
Actuaries Succeeding in Enterprise Risk Management
Over the last several years, the CAS has sought to prepare its members for opportunities within the growing field of Enterprise Risk Management, and several success stories have emerged.
This session will introduce you to three CAS members whose positions call for them to apply their actuarial skills to ERM on a day-to-day basis, as envisioned in the Centennial Goal.
How did they get started down this path, and what exactly do they do? What is a typical workday for these actuaries, and whose paths do they cross? What education, experience, and skills were most crucial to leading them to where they are today?
Attend this session to see where your actuarial career can take you!
Source:
2008 Annual Meeting
Type:
concurrent
Moderators:
Alexander Shipilov
Panelists:
Todd Lehmann, Andrew Golfin, Janet Nelson
Keywords:
Enterprise Risk Management, ERM
