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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.
CERA-The New Actuarial Opportunity
The emerging discipline of Enterprise Risk Management is being shaped as you read this. For actuaries to participate, we need to augment our broad, long-standing risk management skills with new skills, focused on this new discipline. The SOA has responded with the introduction of the Chartered Enterprise Risk Analyst Designation.
In this session, attendees will:
* Understand the need for actuarial talent in the ERM arena
* Understand the skills beyond traditional actuarial training needed to play in this arena
* Hear about the SOA’s goals and desires in establishing the CERA
* Learn how to obtain the CERA designation
Source:
2008 Spring Meeting
Type:
concurrent
Moderators:
Harold Pachios
Panelists:
Stuart Klugman
Linkage of Risk, Capital and Financial Management-The Real World
Companies are facing increased pressures from regulators, rating agencies and other interested parties to implement cohesive approaches to managing all organizational risks and understanding their impacts on the organization. Under the umbrella of enterprise risk management, a key objective is the proactive linking of risk management, capital management, and financial management. This panel presents the results of recently completed research conducted for the Joint CAS- CIA- SOA Risk Management Section with respect to this linkage and addresses the practical perspectives of companies that have already begun to implement this process.
Source:
2008 Spring Meeting
Type:
concurrent
Moderators:
Harold Pachios
Panelists:
Aaron Halpert, Leslie Marlo
Health Care Cost (Medical Trend) Inflation
The session will compare and contrast how a health care insurance writer measures and estimates health care inflation when pricing health care insurance products compared to a workers compensation writer. The panelist will discuss sources of health care inflation such as general cost inflation, changes in provider contracts, and utilization. In addition, the panelists will discuss sources for medical inflation information and how each uses that information to estimate future health care costs and the potential impact of adverse health care inflation on their respective insurance products.
The panelists will share their perspective on the topic and give the audience the opportunity to ask questions and share their perspectives.
Source:
2008 Spring Meeting
Type:
concurrent
Moderators:
Harold Pachios
Panelists:
Barry Lipton, Rob Bachler, Rob Hinrichs
A Survey of Predictive Modeling across the Actuarial Disciplines
GLMs, CART, MARS, PCA… There is a plethora of predictive modeling techniques, the use of which is growing by leaps and bounds in the actuarial world. Join this panel of noted experts in the field of predictive modeling for a survey of the applications of various predictive modeling techniques across the actuarial disciplines of the property/casualty, life, and pension.
Source:
2008 Spring Meeting
Type:
concurrent
Moderators:
LeRoy Boison
Panelists:
Ron Littler, Simon Poon
Joint Day General Session: Sustainability Risk Management
In his book, Corporate Survival: The Critical Importance of Sustainability Risk Management, Dr. Dan R. Anderson, professor of actuarial science, risk management, and insurance at the University of Wisconsin, coined the term "sustainability risk management." Sustainability risk management deals with risks emanating from the environmental and social justice areas.
Examples include global warming/climate change; boycotts against major corporations by non-governmental organizations (NGOs); water contamination by chemicals; pressures brought by socially responsible investors; directors' and officers' failure to disclose environmental liabilities; gender discrimination class action suits; damages to natural ecosystems; and impacts on multinational corporations by international regulations.
While these sustainability risks are not necessarily new, it is only recently that their impacts are being felt by businesses. Environmental and social risk costs, which for years were externalized, are increasingly internalized to the firm. Sustainability risks are evolving into one of the critical risk areas of the 21st century.
Corporate risk managers, brokers and insurance officials, including actuaries, will need to develop risk mitigation and financing strategies for dealing with these new and emerging sustainability risks. While producing significant challenges, managing sustainability risks will also create enormous business opportunities for corporations, including insurance companies, brokers, and consultants.
This presentation will discuss sustainability-what it is and what it means for your company. It will include some of the benefits and challenges associated with becoming sustainable, and show that sustainability is a key part of who we are and what we do for our customers. Sustainability influences the products and services that we offer as well as the way we manage our operations. In addition, attendees will learn how sustainability impacts the risk management programs at a company.
The actuarial societies wish to thank ARIA (American Risk and Insurance Association) for this presentation.
It was presented at ARIA's annual meeting in Quebec in 2007.
Source:
2008 Spring Meeting
Type:
general
Panelists:
Dan Anderson, John Vargo, Kenneth Ayers
Property-Liability Insurance Loss Reserve Ranges Based on Economic Value
A variety of methods to measure the variability of property-liability loss reserves have been developed to meet the requirements of regulators, rating agencies and corporate management. These methods focus on nominal, undiscounted reserves, in line with statutory reserve requirements. Under these methods, scenarios with high inflation increase loss severity, which in turn increases the loss payouts, whereas scenarios with low inflation reduce loss severity, which in turn decreases the loss payouts. Thus, inflation volatility leads to large reserve ranges based on nominal values. These techniques significantly overstate the economic value of loss reserves. Insurers and regulators should be more concerned about the level and variability of the economic value of loss reserves, which reflects how much needs to set aside today to settle these claims, than with the sum of undiscounted future payments. The recognized correlation between inflation and interest rates means that most high inflation environments which increase loss payouts would be accompanied by high interest rates that would ameliorate the impact of the economic cost of those payments for an insurer with an effective Asset Liability Management (ALM) strategy. Reserve ranges on an economic value would be more meaningful than those determined on a nominal basis and would be considerably smaller under most circumstances.
Source:
2008 Spring Meeting
Type:
Paper
Moderators:
Chet Szczepanski
Panelists:
Stephen D'Arcy
Keywords:
Property-Liability
Hachemeister Prize 2007 Paper-Considerations Regarding Standards of Materiality in Estimates of Outstanding Liabilities
This paper reports on our research into the issues associated with establishing standards for materiality associated with claim liability estimates. In our research we explored several alternative methods for developing benchmarks for materiality. Rather than restrict ourselves to theoretical considerations, we tested the various methods empirically using public data for individual companies and various lines of business. The empirical test results raise many practical issues that must be considered in such an exercise. This paper is meant to promote discussion on this topic and related issues.
Source:
2008 Spring Meeting
Type:
Paper
Moderators:
Chet Szczepanski
Panelists:
Emmanuel Bardis
Keywords:
Hachemeister Prize
Trends in Medical Malpractice - Patients Versus Profits
This session will provide an overview of recently conducted research on the trends in patient care liability for hospitals, physicians and nursing homes. Insights will be provided on key factors affecting trends including tort reform, societal awareness of the cost of litigation and increased focus on patient safety. Panel participants will provide their views on the impact of recent trends on future med mal pricing and reserving and provider investments in patient safety.
Source:
2008 Spring Meeting
Type:
concurrent
Panelists:
Tammi Dulberger, Greg Larcher
Sub-Prime Issues for D&O
Our global economy has been impacted by the ramifications of the ongoing sub-prime 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 faces with regard to the sub-prime 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:
2008 Spring Meeting
Type:
concurrent
Moderators:
Ian Brodie
Panelists:
David Bradford, Kevin LaCroix, Stephanie Plancich
Second Injury Funds: Why Are They Going Away? Should Actuaries Care?
There has been a significant amount of legislative activity around workers compensation second injury funds in recent years. Since 1992, twenty states have eliminated their funds. In 2007 alone, South Carolina, New York and Arkansas enacted bills that will eventually close their funds to new claims.
What are second injury funds? Why are they closing? Why should actuaries care? Panelists will share some background on second injury funds and recent activity around them, and discuss considerations actuaries may want to make for ratemaking and reserving.
Source:
2008 Spring Meeting
Type:
concurrent
Moderators:
Catherine Eska
Panelists:
Carolyn Bergh, Jerelyn Boysia, Keith Bateman
Loss Estimation - How Do You Know When You’re Right?
Actuaries predict the future. How often are we right? Some say that some degree of accuracy is possible, but others say we are never correct.
We’ve all been there – mulling over models and estimates over and over again until we feel that we’ve reached some kind of “correct” answer. How much analysis is really right? Does more time spent equate to more accurate results?
Most of us don’t have unlimited time frames for analysis, so how do we arrive at a result with enough mathematical vigor to meet actuarial best practice within an acceptable time frame to present perhaps a sound pricing quote or a reasonable reserving estimate?
This panel will discuss how the actuary can use Actuarial Standards of Practice to help balance professional quality and quantity.
Source:
2008 Spring Meeting
Type:
concurrent
Moderators:
Patrick Thorpe
Panelists:
Pierre Laurin
Dependence Modeling via Multivariate Copulas
A lot of the discussion about copulas has been focused on the dependency relationships between two variables, e.g., between two lines or between loss and loss expense. However in typical applications there could be several variables with mutual dependence, such as lines of business, asset classes or positions in several currencies. This session will review historical options available for modeling multi-variate dependence and some new ideas for extending the traditional alternatives. The use of judgment when data is sparse and graphical techniques for comparing the effects will also be addressed.
Source:
2008 Spring Meeting
Type:
concurrent
Moderators:
Patrick Thorpe
Panelists:
Gary Venter, Ernesto Schirmacher
Clustering in Ratemaking: with Application in Territories Clustering
Clustering methods are briefly reviewed and their applications in insurance rate-making are discussed in this paper. First, the reason for clustering and the consideration in choosing clustering methods in insurance ratemaking are discussed. Then clustering methods are reviewed and particularly the problem of applying these methods directly in insurance ratemaking is discussed. An exposure-adjusted hybrid (EAH) clustering method is proposed, which may alleviate some of these problems. Results from EAH approach are presented step by step using the UK motor data. The limitations and other considerations of clustering are followed in the end.
Source:
2008 Spring Meeting
Type:
Paper
Moderators:
Howard Kunst
Panelists:
Ji Yao
Keywords:
Ratemaking, clustering
Using Cluster Analysis to Define Geographical Rating Territories
Geographic risk is a primary rating variable for personal lines insurance in the United States. Creating homogeneous groupings of geographic areas is the goal in defining rating territories. One methodology that can be used for creating these groupings with similar exposure to the risk of insurance losses is cluster analysis. This paper gives a description of an application to define rating territories using a k-means partition cluster analysis. Several of the key decisions made during the analysis are detailed including the following: the choice of building blocks, what variables to cluster on, choice of complement of credibility, and what clustering method is appropriate.
Source:
2008 Spring Meeting
Type:
Paper
Moderators:
Howard Kunst
Panelists:
Philip Jennings
Keywords:
personal lines
The Bornhuetter-Ferguson Principle
The notion of a development pattern turns out to be a unifying force in the comparison of various methods of loss reserving, including the chain-ladder method, the loss-development method, the Cape Cod method and the additive method. For each of these methods, the predictors of the ultimate losses can be given the shape of Bornhuetter-Ferguson predictors.
The process of arranging known methods of loss reserving under the umbrella of the extended Bornhuetter-Ferguson method requires the identification of prior estimators of the development pattern and the expected ultimate losses. This process can be reversed by combining components of different methods to obtain new versions of the extended Bornhuetter-Ferguson method.
The Bornhuetter-Ferguson principle proposes the simultaneous use of various versions of the extended Bornhuetter-Ferguson method and a comparison of the resulting predictors in order to select best predictors and to determine prediction ranges.
Source:
2008 Spring Meeting
Type:
Paper
Moderators:
Howard Kunst
Panelists:
Klaus Schmidt
Keywords:
Bornhuetter-Ferguson Principle
Two Approaches to Calculating Correlated Reserve Indications Across Multiple Lines of Business
When focusing on reserve ranges rather than point estimates, the approach to developing ranges across multiple lines becomes relevant. Instead of being able to simply sum across the lines, we must consider the effects of correlations between the lines. This paper presents two approaches to developing such aggregate reserve indications. Both approaches rely on a simulation model. One takes into account the actuary's judgment as to the correlations between the different underlying blocks of business, and the second uses bootstrapping to eliminate the need for the actuary to make judgment calls about the nature of the correlations.
Source:
2008 Spring Meeting
Type:
Paper
Moderators:
Howard Kunst
Panelists:
Gerald Kirschner
Keywords:
Correlated Reserve
Dynamic Risk Modeling Committee Research Update
The LSMWP has been charged to create a simulation model of the processes of loss emergence and settlement, commonly known as loss development, that underlie the loss "triangles" and other statistics used to estimate loss reserves. The goal is to create a tool that researchers could use to generate claims that can be summarized into loss development triangles and complete rectangles which would then be used to test loss reserving methods and models. The panelists will present the prototype model which is now available to CAS members along with components of an eventual full working party report.
Source:
2008 Spring Meeting
Type:
concurrent
Moderators:
John Aquino
Panelists:
Glenn Meyers, Joseph Marker, Richard Vaughan, Robert Azari
Public Auto Insurers in Canada
Join this panel of actuaries from three public auto insurance companies in Canada. They will provide a sketch of their companies, including an overview of the regulatory environment and the auto insurance marketplace that they operate within. They will also describe the interesting actuarial opportunities and challenges that they have encountered in their companies.
Source:
2008 Spring Meeting
Type:
concurrent
Moderators:
John Aquino
Panelists:
Luke Johnston, Chantale Lemire
Mortgage Fraud and the Subprime Lending Crisis, and More
This two-part session will consider mortgage and other insurance fraud, and its impact on the P&C Insurance industry.
Mortgage Fraud - The housing market has been at the forefront of the news lately. Mortgage fraud and the recent subprime "meltdown" are having a significant impact on the housing market and the economy as a whole. This session will present an overview of the meltdown, the role fraud played in causing it, and its impact on the property casualty insurance industry.
Other Industry fraud - banks are not the only places where the money is in today's electronic marketplace. Mortgages, Auto and Home Insurance, Workers Compensation, Healthcare, Retail and Credit Cards are leading the way to higher losses across the enterprises of our own companies, our partners, our competitors, and the customers we all serve. This talk will address opportunities within and across industry lines for detecting and preventing fraud.
Source:
2008 Spring Meeting
Type:
concurrent
Moderators:
Christopher Monsour
Panelists:
Martin Ellingsworth, Ann Fulmer
Evaluating Reinsurance Pricing and Optimization from Cedants’ Perspective
In this session, the speakers will present approaches to reinsurance pricing and optimization. The first panelist will provide an insurance company perspective while the second panelist will provide a reinsurance broker perspective.
Source:
2008 Spring Meeting
Type:
concurrent
Moderators:
Christopher Monsour
Panelists:
Jonathan Hayes, Donald Treanor
General Session: Catastrophe Modeling Update
Representatives from the leading catastrophe modeling firms will describe the post-Katrina landscape. They will discuss the lessons learned from recent catastrophic events and some advances that have been made in the application of catastrophe models. Specific topics to be covered will include demand surge and pandemic modeling.
Source:
2008 Spring Meeting
Type:
General
Moderators:
Christopher Monsour
Panelists:
David Lalonde, Omar Khemici, Auguste Boissonnade
Territory Analysis with Mixed Models and Clustering
Territory as it is currently implemented is not a causal rating variable. The actual causal forces that drive the geographical loss generating process (LGP) do so in a complicated manner. Both the loss cost gradient (LCG) and information density (largely driven by the geographical density of exposures and by loss frequency) can change rapidly, and at different rates and in different directions. This makes the creation of credible homogenous territories difficult. Auxiliary information that reflects the causal forces at work on the geographical LGP can provide useful information to the practitioner. Furthermore, since the conditions that drive the geographical LGP tend to be similar in proximity, the use of information from proximate geographical units can be helpful. However, to date procedures for incorporating auxiliary information involve the subjective consideration of conditions. And the use of proximate experience as a complement is complicated by complex patterns taken on by the LCG in relation to information density. Spline and graduation methods implicitly incorporate this information, but they tend to be applied ad-hoc to different regions. Incorporating a complement of credibility via proximate geographical units is only discussed formally in two papers, and is fairly undeveloped as a method. Another problem involves determining the relative value of information obtained via proximity versus the information provided by auxiliary variables. Separately, the implementation of territory as a categorical variable has prevented the integration of Territory Analysis with the parameterization of the remainder of the classification plan. In addition to these actuarial problems, territory's lack of causality creates acceptability problems. Lack of causality and increasingly complex territorial definitions have also reduced jurisdictional loss control incentives. The newly promulgated Proposition 103 regulations in California provide a useful venue for investigating solutions to these problems.
Source:
2008 Spring Meeting
Type:
Paper
Moderators:
Christopher Monsour
Panelists:
Eric Weibel
Keywords:
Territory Analysis
A Comparison of Actuarial Financial Scenario Generators
Significant work on the modeling of asset returns and other economic and financial processes is occurring within the actuarial profession, in support of risk-based capital analysis, dynamic financial analysis, pricing embedded options, solvency testing, and other financial applications. Although the results of most modeling efforts remain proprietary, two models are in the public domain. One is the CAS-SoA research project, Modeling of Economic Series Coordinated with Interest Rate Scenarios. The other was developed as the result of American Academy of Actuaries study in support of the C-3 Phase 2 RBC for Variable Annuities. Both data sets provide practitioners with a large number of iterations for key financial values, including short- and long-term interest rates and equity returns. This paper examines the role of stochastic modeling in actuarial work, focusing on a comparison of the underlying models and their outputs, to determine the impact of the use of different assumptions and parameter selection on the modeling process.
Source:
2008 Spring Meeting
Type:
Paper
Moderators:
Christopher Monsour
Panelists:
Stephen D'Arcy
Keywords:
Financial Scenario Generators
Workers Compensation: New Developments in Development
This session consists of two separate presentations on brand new research being explored for use in loss development in workers compensation. Tom Daley will explain how and why NCCI is modifying the loss development methodology used in class ratemaking. He will explain why a change was necessary from the current methodology, and provide the results of research underlying how and why the new methodology uses combinations of the injured body part, the injury type, and the open and closed claim indicator. Frank Schmid will present results from studying the development patterns of a set of workers compensation triangles (indemnity and medical) as it evolves in a changing legislative environment.
Source:
2008 Spring Meeting
Type:
concurrent
Moderators:
William Hansen
Panelists:
Thomas Daley, Frank Schmid
The Role Actuaries Play in Mergers and Acquisitions
Actuaries play pivotal roles in merger & acquisitions. The panel will discuss how potential buyers utilize actuaries to "kick the tires" of a possible merger or acquisition. While most due diligences begin with reserves analysis, other analyses are often performed. These can include capital modeling, pro-forma balance sheets, valuations, etc.
Source:
2008 Spring Meeting
Type:
concurrent
Moderators:
William Hansen
Panelists:
Thomas Myers, Sean Martin
