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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.
Regulators, Risk Managers & Good Corporate Governance - Is Your Board of Directors Up to the Job?
The International Association of Insurance Supervisors has a guidance paper on Risk Management for capital and solvency purposes, which emphasizes the importance of a Risk Management Policy and its review by supervisors as a cornerstone of principles-based regulation. Actuaries and auditors are expected to play key roles in this new scheme, particularly with respect to keeping the Board well informed on the risks facing the company.
Currently, the NAIC is adopting a principles-based approach for life insurance reserving. Part of this activity is the development of a model act and regulation on Corporate Governance. The NAIC's challenge is to balance an insurer's need for hardworking and technically skilled Directors with the realities of a limited supply of such individuals.
It is unclear how much of the NAIC Principles Based Reserving work ends up carrying over to P/C. Although we tend to think, "Nothing has changed for us so we don't need any new requirements", proponents of the new regime reply "maybe you should have been doing this all along". With the general trend in financial examinations towards evaluating management controls and risk management practices, for both Life and P/C, it is likely that some form of corporate governance requirements will be imposed on the P/C industry.
Source:
2008 Spring Meeting
Type:
concurrent
Moderators:
William Hansen
Panelists:
Mary Miller, David Sandberg, Geoffrey Etherington
Predictive Modeling and Insurance Operations
This session will focus on operational problems suitable for modeling. The panel will discuss predictive versus explanatory models, selecting key modeling targets, and assembling quality data (e.g., structured, unstructured, third-party, etc.). The panel will also review techniques for testing and for validation of models for implementation, as well as audits for accuracy, cost and return. Panelists will address some examples from mortgage and auto liability spaces.
Source:
2008 Spring Meeting
Type:
concurrent
Moderators:
William Hansen
Panelists:
Louise Francis, Glenn Meyers, Richard Derrig
Claim Reviews and Implications on Actuarial Analyses
The session will discuss how operational reviews can be incorporated in the actuarial analysis. An actuary might want to involve claims expertise when situations occur in which historical information underlying the reserve review might not be applicable in the future, and the change could have a material impact on results. Examples of situations could include:
* Claims manager indicates changes in claim handling that could have an impact on the timing/level of payments/case reserves
* New claims or policy reporting systems have been introduced
* New statutes/regulations have been passed that could have an impact on claim handling
Case studies of actual reviews will be discussed, emphasizing the impact of these reviews on actuarial analyses and financial decision-making.
Source:
2008 Spring Meeting
Type:
concurrent
Moderators:
Lis Gibson
Panelists:
Christine Fleming, Bill Azzara
Principal Component Analysis and Partial Least Squares (Two Dimension Reduction Techniques for Regression)
Dimension reduction is one of the major tasks for multivariate analysis, it is especially critical for multivariate regressions in many P&C insurance related applications. In this paper, we'll present two methodologies, Principle Component Analysis (PCA) and Partial Least Squares (PLC), for dimension reduction in a case that the independent variables used in a regression are highly correlated. PCA, as a dimension reduction methodology, is applied without the consideration of the correlation between the dependent variable and the independent variables, while PLS is applied based on the correlation. Therefore, we call PCA as an unsupervised dimension reduction methodology, and call PLS as a supervised dimension reduction methodology. We'll describe the algorithms of PCA and PLS, and compare their performances in multivariate regressions using simulated data.
Source:
2008 Spring Meeting
Type:
Paper
Moderators:
Lis Gibson
Panelists:
Jun Yan, Saikat Maitra
Keywords:
multivariate analysis
Advantages/Disadvantages of Deterministic Reserve Methods vs Stochastic Reserve Modeling
This session is intended to discuss the advantages and disadvantages of both stochastic and traditional reserving techniques and their inherent current and future usage in determining reserve variability and estimated reserve ranges.
What are the better type of models and approaches used? Should we discard with our traditional deterministic methodologies? Is stochastic reserve modeling the “Holy Grail” of determining and gauging reserve variability? Have we oversold stochastic modeling at the expense of other useful deterministic techniques? Should we approach reserve variability with both categories of techniques, stochastic and deterministic? If so how can they blend? What does one do with the results to determine reserve ranges? And of course, what number should the company ultimately book?
These and many more issues will be discussed within a Socratic dialogue amongst the panelists and the audience.
Source:
2008 Spring Meeting
Type:
concurrent
Moderators:
Lis Gibson
Panelists:
Ralph Blanchard, Roger Hayne
The Impact of Rate Regulation on Claims: Evidence from Massachusetts Automobile Insurance
Rate regulation has a long history in insurance markets. In many states an important goal of regulation is to reduce price variation across purchasers, and specifically to reduce price levels for high-risk purchasers. That feature of rate regulation leads to price cross-subsidies from low-risk purchasers to high-risk purchasers. Consumers who are charged higher prices in order to finance cross-subsidies to high-risks may be less likely to purchase insurance and to reduce participation in insured activities. These adverse selection effects will lead to a higher proportion of high-risk consumers and a higher proportion of insurance purchased by high-risks as well as a propensity for increased moral hazard.
The article tests the hypothesis that insurance price subsidies lead to higher insurance cost growth. The paper makes use of data from the Massachusetts private passenger automobile insurance market. Cross-subsidies were explicitly built into the rate structure through rules that limit rate differentials. Two approaches were taken to study the potential loss cost reaction to the Massachusetts cross-subsidies. The first approach compared Massachusetts to all other states on demographic, regulatory and liability coverage levels and found Massachusetts loss costs 44 to 50 percent higher than expected by their state characteristics. A second approach studied loss cost changes by town and related those changes to subsidy providers and subsidy receivers. That approach showed a significant and positive (relative) growth in loss costs for towns that were subsidy receivers in line with the theory of underlying incentives for adverse selection and moral hazard.
Source:
2008 Spring Meeting
Type:
Paper
Moderators:
Lis Gibson
Panelists:
Sharon Tennyson, Richard Derrig
Keywords:
Rate Regulation, Automobile Insurance
Economic Impact of Capital Level in an Insurance Company
This paper examines the impact of capital level on policy premium and shareholder return. If an insurance firm has a chance of default, it covers less liability than a default-free firm does, so it charges less premium. We explain why policyholders require greater premium credits than the uncovered liabilities. In a default-free firm, if frictional costs are ignored, we prove shareholders are indifferent to the capital level. This is a restatement of the Modigliani-Miller theorem in the insurance setting. An insurance firm incurs two classes of frictional costs, the frictional costs of capital and the costs of financial distress. Altering the capital level has an opposite effect on each class. The total frictional cost can be minimized at a proper capital level.
Source:
2008 Spring Meeting
Type:
Paper
Moderators:
Lis Gibson
Panelists:
Yingjie Zhang
Keywords:
Economic Impact
Models of Insurance Claim Count with Time Dependence Based on Generalization of Poisson and Negative Binomial Distributions
Longitudinal data (or panel data) consist of repeated observations of individual units that are observed over time. Each individual insured is assumed to be independent but correlation between contracts of the same individual is permitted. This paper presents an exhaustive overview of models for panel data that consist of generalizations of count distributions where the dependence between contracts of the same insureds can be modeled with Bayesian and frequentist models, based on generalization of Poisson and Negative Binomial distributions. This paper introduces some of those models to actuarial sciences and compares the fitting with specification tests for nested and non-nested models. It also shows why some intuitive models (past experience as regressors, multivariate distributions or copula models) involving time dependence cannot be used to model the number of reported claims. We conclude that the random effects models have a better fit than the other models examined here since the fitting is improved and it allows for more flexibility in computing the next year premium.
Source:
2008 Spring Meeting
Type:
Paper
Moderators:
Lis Gibson
Panelists:
Jean-Philippe Boucher
Keywords:
Models of Insurance Claim
Update on Solvency
This session will provide a survey of the solvency issues facing the insurance industry, and how they are being addressed in various jurisdictions and from various perspectives (e.g., that of the regulator and the insurance company.) Included will be an update on Solvency II, the comprehensive solvency framework being developed in the European Union for the insurance industry, and how elements of this framework are impacting proposals being considered in other jurisdictions.
Source:
2008 Spring Meeting
Type:
concurrent
Moderators:
Lis Gibson
Panelists:
Stuart Wason, Alessa Quane, Kris DeFrain
Project Management for Predictive Models
The use of predictive modeling tools continues to expand within the property/casualty insurance industry. The need to manage both the development and implementation of these complex tools is critical to accomplishing the goals for the business unit. This session will discuss the aspects of managing a complex project and the issues to consider for successful implementation.
Source:
2008 Spring Meeting
Type:
concurrent
Moderators:
Lis Gibson
Panelists:
John Baldan
Market and Cycle: How Long Can We Stay Profitable
Insurers profits peaked in 2006 and 2007. Insurance and reinsurance rates are now on a downward slope. The US economy is struggling. What is in store for us for 2008 and beyond? Will the insurance industry be able to manage the cycle this time around, or should we start preparing for the repeat of the late 1990s? What needs to be done to get through?
The panel of experts will discuss the current economic environment; prevalent trends and their likely outcomes.
Source:
2008 Spring Meeting
Type:
concurrent
Moderators:
Lis Gibson
Panelists:
Steven Weisbart, Kevin Lee
ASOP 43 (Unpaid Claim Liabilities)
The ASB adopted property/casualty unpaid claim estimates standard (ASOP 43) to be effective September 1, 2007. The panelists will discuss the main elements of the standard and respond to questions from the audience.
Source:
2008 Spring Meeting
Type:
concurrent
Panelists:
Mary Miller, Christopher Carlson
Reinsurance Run-Off
The move to principles-based regulation, represented by risk-based capital and Solvency II, requires or will require (re)insurers to make an assessment of their true financial position. This requires an objective appraisal by (re)insurers of not only the liabilities side of their balance sheets but also the assets side. Assets include present and future reinsurance receivables.
Recent reports estimate the size of the U.S. run-off market at between $150B and $200B and the size of the European market at €204B (approximately $285B). Adding in the rest of the world suggests that the size of the global run-off market is well in excess of $500B. A substantial part of this figure, especially from outside of the U.S., represents uncollected reinsurance receivables.
Run-off affects both reinsurers in run-off and their cedants. Cedants must both determine and quantify their exposure to risk (default, downgrade, settlement, and counterparty risk) and allocate capital to those specific risks. Companies in run-off must also allocate capital against the specific underlying risks of run-off, which may well lead to increased capital requirements. This will almost certainly lead to an increased focus on optimizing the use of capital, and capital tied up in non-productive run-off business will be regarded as an inappropriate use of shareholders’ funds and become progressively more unattractive.
Both cedants and reinsurers will therefore become increasingly encouraged to remove the capital demands created by the burden of discontinued operations from their respective portfolios.
What are the implications for the market and how best can these risks be managed?
Source:
2008 Spring Meeting
Type:
concurrent
Moderators:
Lis Gibson
Panelists:
Andrew Rothseid, Philip Singer
Professional Liability Update
This panel will discuss recent developments in the professional liability markets, focusing particularly on medical malpractice and attorneys E&O. The current medical malpractice “state of the market” will be presented, including a discussion of financial results, pricing trends, and significant reforms. The attorneys E&O discussion will focus on financial results and pricing trends, as well as observations from recent renewals, including the current pricing market, changes in capacity, terms and conditions, etc.
Source:
2008 Seminar on Reinsurance
Type:
concurrent
Moderators:
Stephen Mildenhall
Panelists:
Jim Hurley, Brian Alvers
Reinsurance and Rating Agency Models
This session will cover how a company's reinsurance program is considered in a Rating Agency evaluation. Reinsurance is a significant rating criteria with respect to risk management and has quantitative implications in the capital adequacy models employed by the Rating Agencies. Reinsurance impacts the capital adequacy models with respect to required Premium, Reserve, Recoverable, and Catastrophe risk capital. This panel will provide perspective from two major rating agencies as well as insight on how reinsurance transactions are analyzed for rating agency implications.
Source:
2008 Seminar on Reinsurance
Type:
concurrent
Moderators:
Stephen Mildenhall
Panelists:
Thomas Mount, Eric Simpson, Damien Magarelli
Enterprise Risk Management
The past two years continue to be a turning point for Enterprise Risk Management as it has evolved from the conceptual talking points to the actual implementation and results. This was driven by many factors, such as the need for coordinating risk management across all classes of risk, technology, and the rating agencies. Our panel will focus on a discussion of ERM and economic capital, operational risk, a survey of over 200 insurers regarding their views on ERM, and the recent developments at one of the rating agencies.
Source:
2008 Seminar on Reinsurance
Type:
concurrent
Moderators:
Stephen Mildenhall
Panelists:
Donald Mango, Bruce Fell, Ed Easop
D&O--Current Market Update
The D&O market has softened considerably over the last couple of years. Along with this price softening has been a sharp decline of securities action lawsuits. However, with the sub-prime mortgage crisis and other potential economic shocks, are we at another turning point? Lawsuit filings have ticked up since the middle of 2007. Is this due solely to sub-prime or are there other dangers lurking? Our panelists will discuss the recent trends in the D&O market and their impact for reinsurers.
Source:
2008 Seminar on Reinsurance
Type:
concurrent
Moderators:
Stephen Mildenhall
Panelists:
Thomas Smith, Anju Arora
Price Monitoring
Commercial writers’ ability to assess changes in price levels and their resulting impact on profitability can be a fairly involved process. Numerous issues arise such as changes in base rates vs. the impact of premium modifiers (such as schedule rating), pricing levels of new vs. renewal business, changes in structure at renewal such as increases in attachment point, and tightening or loosening of coverage terms at renewal. This session will consist of two speakers. The first is a profit center actuary at a large commercial writer. He will discuss how his company monitors pricing levels and how they tackle many of these issues. The second speaker, an actuary at a reinsurer, will discuss how a primary company’s rate monitor impacts his treaty pricing analysis, with particular emphasis given to the impact of new business.
Source:
2008 Seminar on Reinsurance
Type:
concurrent
Moderators:
Linda Johnson
Panelists:
Steven Petlick, Lawrence Schober
The Property and Casualty Underwriting Cycle In The United States: Measurement, Cause and Effect, Strategic Response
The property and casualty insurance industry has long been recognized to experience variations in profitability owing to changes in price level, loss experience, and investment returns. The general session will present analyses of the underwriting cycle which resolves the volatility in industry profitability into the contributions from each of these major factors, separately examining these issues for the major casualty lines of business. The session will then turn to an analysis of the extent to which price volatility can be shown to depend upon volatility in loss experience and investment returns as well as the effect of price on insurance and reinsurance utilization. Finally, a review of strategic response to the underwriting cycle will be presented with an eye to identifying successful strategies for insurers seeking to cope with the underwriting cycle and in particular highlighting challenges to the actuarial community.
Source:
2008 Seminar on Reinsurance
Type:
general
Moderators:
Linda Johnson
Panelists:
Isaac Mashitz, Richard Cook
2008 Cat Market Update
It has been observed that as a result of natural catastrophe activity which differs from what is expected, resulting reinsurance prices are affected.
This panel will discuss the issues surrounding the impacts of natural catastrophe activity in both good and bad years. They will discuss reinsurance pricing, terms and condition changes, alternative risk options that have appeared in recent years and the impact natural catastrophes have had on rating agency requirements. Also under discussion will be insight on how a primary company manages its exposure to natural catastrophes both through risk selection and through use of risk transfer mechanisms.
Source:
2008 Seminar on Reinsurance
Type:
concurrent
Moderators:
Linda Johnson
Panelists:
Jonathan Hayes, Ken Radigan
Pricing Property Per Risk - Advanced Topics
This panel will explore advanced topics in property per risk pricing. Exposure rating and treatment of large losses will be a central point. Topics to be explored will focus on the practical application of tools in the actuary's and underwriter's arsenal, which are not widely known among the actuarial community. These tools include an approach to the allocation of grouped or blanket policy premium to the individual risk level, and the use of an international cost index to make US exposure curves more appropriate for rating non-US risks.
Source:
2008 Seminar on Reinsurance
Type:
concurrent
Moderators:
Linda Johnson
Panelists:
David Clark, Kevin Hilferty
Ceding Company Considerations
This session will explore the ceding company considerations in the reinsurance buying process. What are the myriad of considerations a company analyzes prior to issuing a firm order (price, service, credit considerations, alternatives to reinsurance, rating agency issues)? How does a company prioritize its decision making criteria? How might the issues differ for small companies vs. larger companies?
Source:
2008 Seminar on Reinsurance
Type:
concurrent
Moderators:
Steve Armstrong
Panelists:
Gary Ganci, Elaine Brady
Workers’ Compensation Cat Pricing
Workers compensation catastrophe possesses many challenges. The session will specifically address catastrophes caused by terrorism and earthquake as well as catastrophes due to other causes, such as occupational disease. Panelists will discuss the potential approaches for evaluating exposures and pricing workers compensation catastrophe, including the critical underlying assumptions with the data and models.
Source:
2008 Seminar on Reinsurance
Type:
concurrent
Moderators:
Steve Armstrong
Panelists:
Jack Seaquist, Paul Silberbush
Umbrella Liability
This session will cover Commercial and Personal Umbrella pricing concepts and issues, from both an actuarial and underwriting perspective. Panelists will also discuss the current state of the market for Umbrella lines, particularly the impact of soft market conditions on pricing, terms, and conditions.
Source:
2008 Seminar on Reinsurance
Type:
concurrent
Moderators:
Steve Armstrong
Panelists:
Brian Johnson, Charles Gegax
US Subprime Mortgages Crisis - What is it and lessons learned?
The subprime crisis shares many characteristics with past insurance crises. As with other large losses, risk takers did not realize how bad things could get for many reasons: failure to assess correlation; contagion factor; loss of focus on core competencies, including (credit) risk assessment; moral hazard; over-reliance on leverage and hedging; softening of terms and conditions; expansion of exposure; herding effects.
Source:
2008 Seminar on Reinsurance
Type:
concurrent
Moderators:
Steve Armstrong
Panelists:
Donald Mango, Jeffrey Berg
