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.
Current Issues and Trends in Medical Malpractice
This session will focus on the most recent trends in the medical malpractice market, and the impact such trends would have on reserve and funding studies being prepared by actuaries. Also, the results of recent industry benchmarking analyses will be summarized. Included in this session will be a discussion of the effects of tort reform across the country and the trends in frequency and severity of claims and their effects on loss reserving.
Source:
2008 Casualty Loss Reserve Seminar (CLRS)
Type:
concurrent
Moderators:
Kyle Mrotek
Panelists:
Christopher Tait, Erik Johnson, Jeremy Brigham
Keywords:
Issues and Trends in Medical Malpractice
Are Your Opinions and Actuarial Reports Meeting the Expectations of Regulators and Others?
Find out what makes a good opinion and report from the viewpoint of regulators and the viewpoint of opinion writers. What should be in the opinion and what should be in the report?
Source:
2008 Casualty Loss Reserve Seminar (CLRS)
Type:
concurrent
Moderators:
Kyle Mrotek
Panelists:
Richard Marcks, Joseph Herbers, P. O’Donnell
Keywords:
Regulators
Workers Compensation
This session will cover a wide variety of current Worker's Compensation topics including a National perspective, a California focus and a section of Alternative market issues.
Karen Ayres from the National Council on Compensation Insurance will cover a national perspective of current issues and a focus on the growth of the medical component of the coverage. Medical coverage has grown over time and now is the predominate benefit. Karen will discuss medical trends and peculiarities of medical loss developments that are important considerations in assessing performance and loss reserves in this line.
Guy Avagliano from Milliman, Inc. will cover current issues in the California market. This large Workers Compensation market has gone through extreme underwriting cycles and reform in recent years and benefit changes. Guy will discuss current issues, how loss development patterns have changed over time, and what challenges are faced in reserving when interpreting recent data.
Martin King from Kaiser Permanente will present a section on Alternative Markets that are often used to manage the Workers Compensation risk. Large companies and groups of smaller companies with similar risks have found Captive arrangements, Self Insurance and High deductible programs to be attractive ways to cover/manage the Workers Compensation risks. Martin will discuss what drives the interest in these markets and cover reserve valuation issues faced when assessing these programs.
Source:
2008 Casualty Loss Reserve Seminar (CLRS)
Type:
concurrent
Moderators:
Kyle Mrotek
Panelists:
Martin King, Karen Ayres, Guy Avagliano
Keywords:
Workers Compensation
Intermediate Track III - Case Study
Developed as a workshop, this session covers the concepts discussed in the preceding intermediate sessions. Audience members are encouraged to analyze and discuss the cases, and propose techniques to apply for estimating the loss reserves. Various techniques will be discussed. A calculator will be helpful. Laptop computers are not necessary, but if participants have them, Excel spreadsheets will be available to let participants test multiple scenarios. The spreadsheet will be available on the CAS Web Site following the seminar.
Source:
2008 Casualty Loss Reserve Seminar (CLRS)
Type:
Workshop
Keywords:
loss reserves
Federal Income Tax
This panel will review issues with respect to the tax impact of insurance company loss reserves. This discussion will include an analysis of recent case law regarding IRS challenges to insurance company reserves, IRS technical pronouncements regarding the discounting of loss reserves for tax purposes, the impact of codification on loss reserve discount, and other tax trends regarding insurance company loss reserves. The panel will consist of insurance tax specialists, including advisors and industry personnel.
Source:
2008 Casualty Loss Reserve Seminar (CLRS)
Type:
concurrent
Moderators:
Ravi Kumar
Panelists:
Joseph Long, Craig Pichette
Keywords:
Federal Income Tax
Exotic Miscellaneous Lines of Business - Aviation Insurance and Non-Auto Warranty
"Who's' writing these unusual coverages and what are the current issues and trends in these lines of business? Learn more about the coverages offered and current reserving practices. The aviation portion will cover exposures for major airlines, private planes, helicopters, products liability and airports. The non-auto warranty will discuss warranty exposures for white goods (e.g., refrigerators) as well as brown goods (e.g. electronics)."
Source:
2008 Casualty Loss Reserve Seminar (CLRS)
Type:
concurrent
Moderators:
Ravi Kumar
Panelists:
Mindy Steichen, Doug Nishimura
Keywords:
Lines of Business
Ethical Case Studies from the Course on Professional Development
How long has it been since you took the Course on Professionalism? Members from the Committee on Professionalism Education will be on hand to present a historical perspective on actuarial professionalism followed by a brief overview of the Code of Professional Conduct. With a renewed knowledge of the Code, case studies will be introduced and panelists/audience members will argue for and against the subject actuary’s actions in the context of the Code and relevant standards of practice. Under the revised 2008 Qualification Standards, three of the required 30 CE Hours need to be on professionalism topics. This session would provide attendees with 1.8 CE Hours toward the professionalism requirement.
Source:
2008 Casualty Loss Reserve Seminar (CLRS)
Type:
concurrent
Moderators:
Monty Washburn
Panelists:
Christopher Walker, Jennifer Vincent
Keywords:
Professional Development
Basic III - You Set the Reserve
Participants will receive three sets of data and will be asked to develop reserve estimates using the basic methods presented. A calculator will be helpful. Laptop computers are not necessary, but if participants have them, Excel spreadsheets will be available to let participants test multiple scenarios. The spreadsheet will be available online following the seminar.
Source:
2008 Casualty Loss Reserve Seminar (CLRS)
Type:
concurrent
Keywords:
Reserve
Statement of Actuarial Opinion and the Annual Statement; Changes and Statistics
Are there any changes to the Opinion and Annual Statement for next year? Find out from regulators. These regulators deal with opinions and reports on a regular basis and are all on the NAIC's Casualty Actuarial Task Force. They will discuss upcoming changes, how the changes for 2007 worked, and share interesting statistics from the 2007 Opinions.
Source:
2008 Casualty Loss Reserve Seminar (CLRS)
Type:
concurrent
Moderators:
David Ruhm
Panelists:
Melissa Greiner, Sarah Grove
Keywords:
Statement of Actuarial Opinion and the Annual Statement
Paper Session 2
"Stochastic Loss Reserving with the Collective Risk Model"
This paper presents a Bayesian stochastic loss reserve model with the following features.
1. The model for expected loss payments depends upon unknown parameters that determine the expected loss ratio for the given accident years and the expected payment for each settlement lag.
2. The distribution of outcomes is given by the collective risk model in which the expected claim severity increases with the settlement lag. The claim count distribution is given by a Poisson distribution with its mean determined by dividing the expected loss by the expected claim severity.
3. The parameter sets that describe the posterior distribution of the parameters in (1) above are calculated with the Gibbs sampler.
4. For each parameter set generated by the Gibbs sampler in (3), the predicted distribution of outcomes is calculated using a Fast Fourier Transform (FFT). The Bayesian predictive distribution of outcomes is a mixture of the distributions of outcomes over all the parameter sets produced by the Gibbs sampler.
This paper concludes by applying this model to the problem of calculating risk margins for loss reserves using a cost of capital formula.
"A Survival Model Approach to Non-Life Run-Off Triangle Estimation"
Motivation. Most standard loss reserving techniques do not explicitly consider the rate at which claims will close, or the expected amount of time that a claim will remain open. Consideration of the time until closure allows one to calculate the amount of time until a block of claims will run-off. Further, it allows one to take explicit assumptions with regard to interest and inflation into account.
Method. By observing the closure rates for claims by age, a survival function is produced. This function can be used to determine the future lifetime of a claim at any age and the number of claims remaining open at any time.
Results. The method applied to a set of sample data generates a complete picture of the future pattern of claim disposal.
Conclusions. The method presented here grounds the projection of future claim run-off in theory common to life actuaries and opens up the life toolset to the analysis of non-life data.
"Manually Adjustable Link Ratio Model for Reserving"
The chain ladder method is very popular in General/Property-Casualty Insurance actuarial circles. Mack [[i]] expanded the deterministic algorithm to include calculations for the variance of the chain ladder projections. The assumptions underlying the chain ladder method are important in regards to the appropriateness of the deterministic projections; they are even more important in regards to the appropriateness of the stochastic results. The purpose of this paper is to introduce more statistical rigor to this popular method and help close the link between practice and statistical theory. We will discuss residual analysis and other statistical measures as they apply to the chain ladder method so that the appropriateness of its deterministic and stochastic results can be objectively measured based on statistically rigorous principles. We will also show how the regression approach of Murphy[[ii]] can be expanded so that link ratios "selected judgmentally" can be seen as conforming to an underlying statistical model.
Source:
2008 Casualty Loss Reserve Seminar (CLRS)
Type:
Paper
Keywords:
Stochastic Loss Reserving, Collective Risk Model
Instructional Approach to Mack and Bookstrap Models (Part 1 of 2)
In these two back-to-back sessions, we will walk through the mechanics of these two models, discuss the pros/cons of using each, and review case studies using real data. While we will review the theory, the sessions are designed to provide a hands-on focus on using the models. For example, how can you use diagnostic tools to test model assumptions and make adjustments to obtain a better fit, e.g. heteroscedasticity adjustments, exclude outliers, etc. How do you bridge the gap between your point estimate and the mean of the distribution? When are the models biased? What other real life obstacles do you run into when using these methods? The goal is to help you develop the confidence and desire to go back and begin using these models in your enterprise risk management process in addition to your reserve analyses.
Source:
2008 Casualty Loss Reserve Seminar (CLRS)
Type:
Workshop
Moderators:
David Ruhm
Panelists:
Louise Francis, Mark Shapland
Keywords:
Mack and Bookstrap Models
Basic Track II-Comparisons of Techniques 1 of 2
Building on the Basic Track I, this session presents basic questions surrounding a reserve estimate: "Is it reasonable?" And "How sensitive is the estimate to alternative assumptions?" Participants will then walk through basic expected loss ratio methods, with a comparison to the loss development method. Advantages and disadvantages of methods will be presented. The session will conclude by describing the Annual Statement Schedule P, with terminology and data available from that schedule.
Source:
2008 Casualty Loss Reserve Seminar (CLRS)
Type:
concurrent
Keywords:
reserve estimate
A Closure Based Reserving Method for Personal Auto Insurance
We will discuss a simple regression methodology using closure ratios as the independent variable and cumulative net paid loss and ALAE development factors as the dependent variable. The actuary can often see a dramatically improved fit in the paid development factor as the independent variable is changed from age to closure level. This method has proved to work well for Bodily Injury with very low closure ratios. A very accurate loss development curve for Bodily Injury can be modeled beginning at only about a 35% closure ratio if all exposures for the accident year have been earned.
Source:
2008 Casualty Loss Reserve Seminar (CLRS)
Type:
concurrent
Moderators:
Janet Lindstrom
Panelists:
Thomas Kolde, Stephen Marsden
Keywords:
ALAE development factors, independent variable and cumulative net paid loss
Workers Compensation and Group Health Insurance - Comparisons of the Magnitude and the Cost Drivers of Medical Inflation
Trends in medical inflation and utilization get a great deal of attention among group health and workers' compensation actuaries alike, but there is little research on their interrelationship and the impact of common cost drivers such as healthcare provider incentives, underlying medical inflation and government programs (e.g., medicare) on them. This session brings together experts on current trends in the healthcare industry to discuss the magnitude and components of group health and workers' compensation medical trends, how they relate to one another and factors that drive trends in both. This will include underlying medical inflation per service, changes and differences in the mix of medical services, the impact of managed care, the ability to obtain discounts from providers, the use and effectiveness of networks, and the impact of government programs. Discussion will also focus on the outlook for workers comp and group health insurers in terms of their ability to manage and control medical trends going forward.
Source:
2008 Casualty Loss Reserve Seminar (CLRS)
Type:
concurrent
Moderators:
Cameron Vogt
Panelists:
William Miller, Peter Rauner
Keywords:
Workers Compensation and Group Health Insurance - Comparisons of the Magnitude and the Cost Drivers of Medical Inflation
The Language of Uncertainty: What Color is my Copula?
Without getting too technical, this session will review a few of the well-known methods that actuaries are using these days to put confidence intervals around their point estimates. As we stroll through various examples, we will expose the annoyingly technical stochastic terminology for the simple concepts they truly are. Such terms include, but are not limited to, the following top ten: Mack, bootstrap, parameter risk, process risk, tail variability, residuals, outliers, positive-definite correlation matrices, copulas, and that ever-elusive "reasonable range." Audience participation is encouraged. Judgment is required.
Source:
2008 Casualty Loss Reserve Seminar (CLRS)
Type:
concurrent
Moderators:
Martin Wolf
Panelists:
Daniel Murphy
Keywords:
Mack, bootstrap, parameter risk, process risk, tail variability, residuals, outliers, positive-definite correlation matrices, copulas, technical stochastic terminology
Risk Transfer Testing - Guidance and Practice
Accounting standards require that a reinsurance contract must transfer a significant amount of insurance risk. This session will briefly discuss the accounting guidance available today and will focus on several methods that can be used to test for risk transfer. This session will allow the audience to engage in a dialogue with practitioners to discuss the relative strengths and weaknesses of the various methodologies.
Source:
2008 Casualty Loss Reserve Seminar (CLRS)
Type:
concurrent
Moderators:
Martin Wolf
Panelists:
Kevin Owens, Ian Sterling, Holly Ownby
Keywords:
reinsurance, amount of insurance risk, relative strengths and weaknesses of the various methodologies
Paper Session 1
This paper motivates the benefits of modeling trends, volatility and correlations through a study of real data triangles. We show that a model that is demonstrably unable to forecast the recent past of the historical triangle cannot be expected to tell us anything useful about the future of the same process. Naturally, the same basic model fitted by applying a more sophisticated tool will suffer the same fate. Theusee of GLMs, bootstrapping, or Bayesian statistics cannot avoid the basic defects of traditional methods.
With traditional techniques the parameters (e.g. age-to-age factors) are a function of the data. By contrast, in the Probabilistic Trend Family (PTF) modeling framework the model design as well as the parameters are a function of the data. We illustrate PTF modeling (e.g., Barnett and Zehnwirth, 2000) on a variety of real triangles. The PTF modeling framework is extended to the simultaneous modeling of multiple triangles. The multivariate modeling framework (MPTF), apart from describing the volatility in each triangle also describes correlations between them in two different ways. The MPTF modeling framework can be used in a number of innovative ways yielding useful information about the risk characteristics of the business. There are important implications for economic capital calculations and optimal retention. In order to compute economic capital for reserve risk and underwriting risk the correlations between lines of business need to be known. To assess the correlations accurately(whether from related trends or correlated errors), a model for each line that describes the trend structure and the volatility about the trend structure needs first to be identified.
"Meaningful Intervals"
Reserve ranges and risk capital requirements can be related to statistical interval estimates. While not all sources of uncertainty are readily incorporated into an interval estimate, such intervals give a lower bound on the size of the required interval. We discuss the calculation of interval estimates, for both the estimate of the mean and for the liability process itself, show how to tell if the model is a reasonable description of the data and show that when it is not, the interval estimates may sometimes be disastrously wrong.
Many practitioners are now using probabilistic versions of standard actuarial techniques, sometimes employing quite sophisticated tools in their estimation. However, none of these developments avoid the need for stringent checking of the suitability of model assumptions, a necessity that is often overlooked.
We discuss some of the statistical models underlying a variety of standard methods, construct a number of diagnostics for model assessment for several models and discuss how the underlying ideas carry over to many other methods for the estimation of liabilities. These tools are easy to implement and use. They allow practitioners to use the corresponding models with greater confidence, and gain additional information about the triangle. This information can have important consequences for the insurer.
We illustrate that some popular approaches - the Mack chain ladder, the quasi-Poisson GLM, and consequently predictions based on them (both bootstrapped and otherwise) have structure not present in real triangles, and don't describe some features of the data. Consequently their associated intervals fail to have the desired properties.
We point out that many aspects of the reserving problem and the structure of real data lead us to model on the log scale. We briefly describe the Probabilistic Trend Family (PTF) models and its extension to the multivariate case (MPTF) and show that these model families can capture the patterns in real data, and produce more reasonable prediction intervals.
Source:
2008 Casualty Loss Reserve Seminar (CLRS)
Type:
Paper
Keywords:
Bayesian statistics, GLMs, bootstrapping
I-Intermediate Reserving Topics
In an ideal situation, loss reserving would begin with a long, stable history of consistent claim experience with no significant environmental or operational changes affecting the mix of business, claim handling, or terms of coverage. However, that situation is often far from the reality. Changing conditions contribute to volatility and uncertainty in estimates that are mechanically produces. The intermediate track begins with a series of considerations that can help bring understanding volatility of initial estimates. These considerations lead us to diagnostic tools for clues. More complete understanding requires communication with other operating units.
Source:
2008 Casualty Loss Reserve Seminar (CLRS)
Type:
concurrent
Keywords:
loss reserving
Basic ERM Primer for Reserving Actuaries
This session will provide an introduction to Enterprise Risk Management (ERM) for property & casualty insurance companies. Our speakers will discuss the mounting pressures for implementing ERM and introduce topics including economic capital, risk financing decision making, asset/liability management, rating agency support, and operational risk management. This session will also discuss what components of ERM have been embraced by property & casualty insurance companies and what areas are still developing.
Source:
2008 Casualty Loss Reserve Seminar (CLRS)
Type:
concurrent
Moderators:
Martin Wolf
Panelists:
Michael Angelina, Steve Hazelbaker, Al Schulmann
Keywords:
Enterprise Risk Management (ERM), property & casualty insurance, economic capital, risk financing decision making, asset/liability management, rating agency support, and operational risk management
Basic I-Considerations in Evaluating Reserves
Basic Understanding begins with the "CAS Statement of principles regarding loss and Loss Adjustment Expense Reserves," including the definitions and considerations that guide the actuary. Following the discussion for the "Statement of Principles," participants will walk through, step by step, the most basic of reserving techniques-the loss development method. The presentation will include examples of data organization, link ratios, key assumptions, and potential problems.
Source:
2008 Casualty Loss Reserve Seminar (CLRS)
Type:
concurrent
Keywords:
CAS Statement of principles regarding loss and Loss Adjustment Expense Reserves, Statement of Principles, data organization, link ratios, key assumptions, and potential problems
The ABCD and the Reserving Actuary
Find out how the Actuarial Board for Counseling and Discipline works. The panelist, a member of the ABCD, will also discuss issues raised by requests for guidance and by complaints before the ABCD. As a reserving actuary, you are subject to disciplinary and litigation risk. Find out ways to reduce this risk and learn about the operation of the profession’s counseling and disciplinary processes. Discussion of case studies will be included as part of this session.
Source:
2008 Casualty Loss Reserve Seminar (CLRS)
Type:
concurrent
Moderators:
Jim Davis
Panelists:
Michael Toothman
Keywords:
Actuarial Board for Counseling and Discipline, ABCD, reserving actuary
General Session 1: Preparing for Fair Value
Fair value/economic value measures of loss reserves are 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 (a.k.a. fair value or a close surrogate) 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.
Fair value/economic value measurements are considerably more involved than simply estimating insurance claims liabilities. Expected future cash flows must reflect the time value of money, along with margins for risk.
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 FAS 157 "Fair Value Measurements."
Source:
2008 Casualty Loss Reserve Seminar (CLRS)
Type:
general
Moderators:
Jim Davis
Panelists:
Bruce Fell, Gareth Kennedy, Scott Lewis
Keywords:
Fair value/economic value measures of loss reserves, merger or acquisition, insurance accounting standard, GAAP, IASB
P&C Loss Reserve Discounting
Some practical applications of loss reserve discounting for property/casualty actuaries will be shared for three areas of P&C actuarial work where discounting is common practice: captives, self-insurers, and Canadian insurance companies.
* Self-Insurers and Captives: Reserve discounting remains relatively common in some business segments, such as medical malpractice. Our panelists will discuss some of the more common issues that self-insurers and captives consider when deciding whether or not to discount their loss reserves. They will then present the regulatory, practical, and technical considerations that are commonly encountered by self-insurers and captives.
* Canadian Accounting: Since 2003, Canadian insurance companies have been reporting loss reserves on a discounted basis for regulatory purposes. We will discuss the reasoning for this policy change, implementation issues associated with the regulatory and accounting changes, and other issues that have surfaced.
Following their presentations, the panel will encourage attendees to join in a general discussion of the current issues/challenges in discounting property/casualty loss reserves and draw parallels to life and pension loss reserving practices.
Source:
2008 Spring Meeting
Type:
concurrent
Moderators:
Jim Davis
Panelists:
Claudette Cantin, Ann Conway
ARIA Prize Paper: "Solvency, Capital Allocation and Fair Rate of Return in Insurance"
Michael Sherris will present his ARIA prize-winning paper, which considers the links between solvency, capital allocation, and fair rate of return in insurance. Sherris develops a method to allocate capital in insurance to lines of business based on an economic definition of solvency and the market value of the insurer balance sheet. Solvency, and its financial impact, is determined by the value of the insolvency exchange option. The allocation of capital is determined using a complete markets' arbitrage-free model and, as a result, has desirable properties, such as the allocated capital "adds up" and is consistent with the economic value of the balance sheet assets and liabilities.
Source:
2008 Spring Meeting
Type:
Paper
Moderators:
Harold Pachios
Panelists:
Michael Sherris
Keywords:
Solvency, Capital Allocation and Fair Rate of Return, ARIA Prize
For All the Marbles: Effective Negotiation Skills - Part 1
Part 1 covers the basics of negotiation and includes a negotiation role play. Attendees should plan on attending both sessions since the two are not independent.
Negotiating is a part of our daily lives. Kids want later bedtimes, husbands want extra minutes to watch the end of the game, car buyers push for that last option.
We all make deals, and our workplaces are no different. Some individuals negotiate internally with supervisors or a sales force, while others may negotiate externally with customers and those outside their place of employment. But negotiation isn’t just about time or money; it’s about getting what you want in a world where others’ wants must also be considered.
“For All the Marbles” includes a role playing exercise for attendees and will teach, through first-hand experience, the elements that affect a negotiation.
Source:
2008 Spring Meeting
Type:
concurrent
Panelists:
Michael Braunstein
