Terrorism: What Does the Next Seven Years Hold?
With the seven year extension that was provided by the Terrorism Risk Insurance Program Reauthorization Act (TRIPRA), the industry faces some changes with the law changes. However, stability looks to be on the horizon with the law in place for a number of years. The panelists will explain the law changes and the impact on the insurance and reinsurance industry. In addition, they will explore the pricing, underwriting and monitoring of these critical exposures.
Source:
2008 Seminar on Reinsurance
Type:
concurrent
Moderators:
Steve Armstrong
Panelists:
Jack Seaquist, Thomas Kusmierczyk
Reinsurance Research Corner
Hosted by the CAS Reinsurance Research Committee, the Research Corner is a forum to present preliminary reports on works in progress or recently completed. Research Corner participants can pose new problems and demonstrate innovative practical approaches. Individual investigators as well as representatives of research working parties and other groups are encouraged to participate. There is no need to preregister—“walk in” speakers are most welcome, though advance notice is appreciated whenever possible. Speakers should plan on having ten to fifteen minutes to make their presentation. Attendees who would like to present their work during this session are invited to contact the moderator.
Source:
2008 Seminar on Reinsurance
Type:
concurrent
Moderators:
Steve Armstrong
Loss Triangle Philosophy
Reinsurance loss triangles are notoriously unstable. Most reinsurance actuaries learn how to develop loss triangles on the job, and the range of techniques they use is wide. The published literature contains little guidance on which techniques work better than others for picking loss development factors, or even whether, given the well-known biases in the chain-ladder technique, reinsurance actuaries should be picking loss development factors at all. The CAS Committee on Reinsurance Research recently started looking at how practicing actuaries actually select factors, as a first step towards possibly producing some guidance as to how actuaries should approach a given loss triangle, and what pitfalls may await them. Though the work is still in its early stages, an initial survey of practicing actuaries with a relatively stable loss triangle resulted in a large range of approaches to picking development factors and an equally large range in the final results.
In this session:
* we will present some of the early results from our survey and also invite attendees to enlarge our survey sample size by telling us how they would pick development factors;
* we will debate whether we should be giving guidance to actuaries about picking development factors, or whether we should be counseling them to drop chain-ladder methods in favor of some other technique; and
* we will discuss the future of this project, including how to address the business implications of the wide dispersion of the results.
This session is intended to be a free-flowing exchange of ideas, and audience participation will be encouraged.
Source:
2008 Seminar on Reinsurance
Type:
concurrent
Moderators:
Steve Armstrong
Panelists:
Gary Blumsohn, Leigh Halliwell
Casualty Reserve Risk
This session will discuss risks related to casualty loss reserves that are not typically addressed by actuaries. The impact reserve risk and adverse loss development has a significant impact on the insurance industry. Often times, actuarial analysis does not reflect issues related to accumulation risk of casualty reserves and the cyclical nature of loss development for casualty business. Unique approaches to measuring, incorporating, and possibly mitigating these risk will be discussed.
Source:
2008 Seminar on Reinsurance
Type:
concurrent
Moderators:
Dan Thomas
Panelists:
Spencer Gluck, Dan Westcott
Workers Compensation Excess Loss Development
Excess workers compensation is an extremely difficult line to price and reserve. Chief among the uncertainty inherent in this line is the extremely long loss development patterns. Both NCCI and the RAA have released recent studies concerning workers compensation excess loss development. In this session, each of these studies will be discussed, including descriptions of underlying the data, analyses, and results.
Source:
2008 Seminar on Reinsurance
Type:
concurrent
Moderators:
Dan Thomas
Panelists:
Michael Christian, Jon Evans
Capital Allocation
This session is for actuaries who want to learn more about capital allocation in the context of pricing reinsurance treaties. The discussion will begin with the question of whether the allocated capital is really allocated at all or is instead the risk-adjusted capital in a RORAC (return on risk-adjusted capital) pricing model. Panelists will discuss some practical issues in implementing capital methods within pricing models and how the choice of a particular method can influence the perceived attractiveness of alternative deals. The session will be divided between individual panelist presentations and roundtable discussion.
Source:
2008 Seminar on Reinsurance
Type:
concurrent
Moderators:
Dan Thomas
Panelists:
Kevin Madigan, Ira Robbin, Trent Vaughn
Credit Risk Exposure
Reinsurance recoveries are oftentimes a significant offset to a reinsurer's gross liabilities. This session will focus on a framework to establish amounts that may not be collectible due to:
1. a retrocessionaire's current and future financial health; and
2. disputes / arbitrations
The session will also discuss the statutory accounting rules. However, the focus will be what "haircut" a buyer may apply to ceded reserves in an M&A situation.
Source:
2008 Seminar on Reinsurance
Type:
concurrent
Moderators:
Dan Thomas
Panelists:
Stephen Koca, David Weiss
General Session: Reinsurers and the Soft Market
In the latter half of 2007 and going into 2008 the softening of rates has been a hot topic. The discussion has centered on lack of significant natural catastrophes in the U.S., legislative changes, excess capacity, increasing retentions amongst primary insurers, declining rate levels, and loosening of terms and conditions. The next 18 months could be very interesting for the reinsurance market, as many companies have announced record earnings in 2007 and 2008 (with significant capital buy-backs in place) and insurance and capital markets have converged,. Our panel of very senior executives will discuss their views on the current state of the reinsurance market and where we may be in the cycle, highlighting similarities and differences from prior cycles as well as lessons learned. They will also discuss what the profession can do to mitigate repeating the past.
Source:
2008 Seminar on Reinsurance
Type:
general
Moderators:
Dan Thomas
Panelists:
H. Mitchell, Steve Kelner, John Rathgeber
Strategic Risk-Making Models Relevant in Executive Decisions
As more and more firms are developing enterprise risk models to facilitate implementation of ERM, the relevance and effectiveness of the risk models have come under scrutiny. It has become even more critical for the risk models to incorporate strategic risks and to facilitate communications with senior management. Speakers, using real-life examples to make their points, will discuss:
* Identification of key risk drivers, information content in the data, and choices of the level of complexity of the risk models;
* Use of correlation studies in identifying emerging market problems and in modeling market turning points; and
* Use of risk model results to facilitate discussions with senior management and board directors.
Source:
2008 Enterprise Risk Management Symposium
Type:
general
Moderators:
Dan Thomas
Panelists:
Charlie Shamieh, Scott Polakoffm, Myron Scholes
Tranching and Rating
In this paper we analyze the gains to an investment banker who is able to market debt securities at yields that reflect the ratings of bond ratings agencies which depend on either the probabilities of default or the expected default losses of the securities issued rather than on the true risks. We derive some general results and characterize the gains for numerical examples based on the CAPM and the Merton (1974) debt pricing model.
Source:
2008 Enterprise Risk Management Symposium
Type:
concurrent
Moderators:
Daniel Murphy
Panelists:
David Li
ERM in Mexico
This session will cover ERM regulatory and practical issues and compares the main differences between Banks and Insurance Companies in Mexico.
Source:
2008 Enterprise Risk Management Symposium
Type:
concurrent
Moderators:
Elisabeth Stadler
Panelists:
Irma Medina, Jose Oliveres, Rurik Magos
State Regulation and ERM
State Regulators have begun to incorporate ERM requirements within their Examination Rating process. Representatives from 3 states will discuss the schemes currently used or under consideration in their jurisdictions and potential impacts of the use of ERM in state regulation of financial institutions.
Source:
2008 Enterprise Risk Management Symposium
Type:
concurrent
Moderators:
J. Dean
Panelists:
Mary Miller, Jacqueline Gardner, Robert Kasinow
Capturing the Complexity for Emerging Risk Identification and Management
Strategic risks are not simple events but rather a complex set of interconnected perceptions. We present a methodology that maps this complexity in a way that allows key 'at risk' areas of the business to be identified and quantified. This methodology has been trialed in two major insurers and lessons learnt will be highlighted. Finally, we outline a process that will allow future complexity mapping to be automated from real-time data.
Source:
2008 Enterprise Risk Management Symposium
Type:
concurrent
Moderators:
Alice Gannon
Panelists:
Neil Allan, Neil Cantle
Research Paper Session 3: Industry Perspective of ERM
Source:
2008 Enterprise Risk Management Symposium
Type:
Paper
Moderators:
Thomas Le
Panelists:
Gary Venter, James Rech, Hela Dahen
Keywords:
Perspective of ERM
Research Paper Session 2: Impact of ERM
Source:
2008 Enterprise Risk Management Symposium
Type:
Paper
Moderators:
Thomas Le
Panelists:
Tom Conway, Rob Hoyt, Don Pagach
Keywords:
ERM
Insight into Solvency II Quantitative Impact Studies
Since late 2005, European Insurance regulators have been involving the insurance industry in a consultation process to test the impact of the proposed new risk-based solvency regulations (Solvency II). As a result of these Quantitative Impact Studies, the regulators' thinking has progressed significantly and companies have become more aware of their state of preparedness for full implementation of the framework by 2012. This session will include insight into the Solvency II consultation process, the key elements of the quantitative framework, where European companies are in terms of preparation, and the next steps for the regulators in Europe.
Source:
2008 Enterprise Risk Management Symposium
Type:
concurrent
Moderators:
Paul Cohen
Panelists:
Laura Hay, Michael Vuuren
Elegance Undone- Unanticipated Forces That Can Kill the Model
One element often missing from a firm's ERM process is a rigorous assessment of the firm's human talent and associated risks. For example, does the firm have the right management team to assure its success? What are the risks of sudden changes in key positions due to job change, incapacity, or death? These can be difficult and sensitive questions for a Board and senior managers to ask, but they must be asked and answered to complete the ERM process. This session will discuss how best to handle this critical assessment and outline the advantages and pitfalls that could result from this process. Learn why examining your human talent risks is critical to your firm's success in the first part of this session.
The second part of the session will address the measurement of large operational risks confronting financial institutions. While these events might be rare, when they happen, they result in severe liquidity problems. The risk measurement techniques used in other disciplines, when applied in these situations, have been found to be inadequate; therefore, a fresh look at this problem is necessary. This session will present a paper that describes experiments using a variety of empirical operational loss event data. The presenter will show how scenario analysis output can be exploited to better measure appropriate levels of operational risk. Successful integration of the results from the scenario analysis with internal loss event experience can be a challenging task. However, the techniques discussed will help financial services institutions to drive business value through their operational risk framework.
Source:
2008 Enterprise Risk Management Symposium
Type:
concurrent
Moderators:
Paul Cohen
Panelists:
Daniel Gattis, Kabir Dutta
Practical Implementation Issues
As a firm begins to implement an ERM program, how can it prevent the firm’s internal inertia from killing the program in the cradle? Representatives from two different firms will describe their experiences developing an ERM program and facing these challenges. Topics to be discussed include implementing ERM on a limited budget, unique challenges for an insurance subsidiary of a financial firm, and integrating ERM into the company’s organization and management structure.
Source:
2008 Enterprise Risk Management Symposium
Type:
concurrent
Moderators:
Paul Cohen
Panelists:
Grover Edie, David Whatley
Aggregation and Correlation of Risks
This session will explore current industry trends in the aggregation of risks. In particular, panelists will discuss correlation between risks and the techniques employed to address the challenges faced by practitioners.
Source:
2008 Enterprise Risk Management Symposium
Type:
concurrent
Moderators:
Steven Berman
Panelists:
B. Manistre, Greg Frank, Christopher Toppi
Proactive Applications of ERM
This session will begin with an overview of considerations related to designing an integrated risk program that facilitates decision-making, followed by a panel discussion among CRO's and senior risk practitioners. The panelists will discuss how elements of the risk program impact decision making. This is expected to include a broad range of activities, such as pricing, product and market development, assessment of alternative uses of capital, and the use of models in all of these.
Source:
2008 Enterprise Risk Management Symposium
Type:
concurrent
Moderators:
Arthur Gurevitch
Panelists:
Jay Glacy
In the Pursuit of Return, Have We Lost Sight of Risk?
Interest rate and payment shocks to subprime mortgage holders, speculation in the energy markets or new entrants, a widening crisis in the Middle East, liquidity concerns, and a softening insurance market all had a significant impact on the markets in 2007. This session will focus on the general question: Are we learning from past mistakes or simply repeating them? Specific questions may include:
* What are the emerging risks and policy questions that will confront managers and directors in 2008?
* From your vantage point, what are lessens learned from recent market disruptions and how have ERM programs assisted firms in anticipating and coping with these stresses?
* How should non-market problems, such as global warming, technological/cultural changes and political events factor into business strategy?
* The soft insurance market of the late 1990s not only brought inadequate pricing, but also a wave of reserve increases. How will the insurance industry react this time around?
* What threats to the economy are likely to shape firm profitability and risk appetites during 2008? Are we, for example, likely to see asset bubbles in new markets or recession in 2008?
Session speakers will highlight their market concerns for 2008 and assess how an effective ERM program will help firms address these concerns.
Source:
2008 Enterprise Risk Management Symposium
Type:
general
Moderators:
John Elder
Panelists:
Larry Moews, Leo Tilman, James Allison
In Search of Excellence
Based on current Enterprise Risk Management (ERM) rating schemes, an "Excellent" ERM program demonstrates an advanced process has been implemented effectively throughout an organization capturing an overall view of risk which emphasizes making and measuring risk/reward trade-offs among the risks, and incorporates a process for anticipating emerging risks. In the short period since its formal incorporation into financial service industry published ratings, a select few organizations' ERM programs have been awarded the designation of "Excellent". During this session, a panel of leaders from this select group of ERM "Excellent" designees will share with the audience an overview of their ERM Programs. Discussion will also include insight on how they prepared for and presented their ERM programs to the Rating Agency during their review. Speakers will include representatives from the insurance, reinsurance, and banking industries.
Source:
2008 Enterprise Risk Management Symposium
Type:
concurrent
Moderators:
Glen Barnett
Panelists:
Bev Margolian, Doug Caldwell, Todd Fonner
Parameterization and Calibration of Actuarial Models
ERM has evolved to allow insurers (and other risk-based enterprises) to use economic models of risk and capital to make decisions about tail events. These models require assumptions that are calibrated using limited data history, perhaps with biases, and potentially the wrong underlying distribution. The presenters will look into the impact parameter uncertainty can have on the results of actuarial models and the decisions made with them. The presenters will discuss traditional and evolving techniques used to measure the parameter uncertainty.
Source:
2008 Enterprise Risk Management Symposium
Type:
concurrent
Moderators:
Glen Barnett
Panelists:
Paul Kneuer, Andrzej Czernuszewicz, Peter England, Eric Sandberg
Research Paper Session 1: Aggregation of Risks
Source:
2008 Enterprise Risk Management Symposium
Type:
Paper
Moderators:
M. Germani
Panelists:
B. Manistre, Ernesto Schirmacher, Klaus Bocker
Keywords:
Aggregation of Risks
Poor Risk Disclosure: The Most Overlooked Risk
One of the key promises of ERM is providing shareholders with a better understanding of the risks of their investment. However, most companies' ERM programs have not yet delivered on that promise, which may represent a key risk in itself. Learn what some companies are doing to address this and what may be required in the future.
Source:
2008 Enterprise Risk Management Symposium
Type:
concurrent
Moderators:
Christopher Bozman
Panelists:
Todd Bault, Sim Segal, Basil Rabinowitz