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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.
The Instability of the Reinsurance Market as a Result of Natural Catastrophe Activity
It has been observed that unexpected natural catastrophe activity affects reinsurance prices.
This panel will discuss the issues surrounding the impacts of natural catastrophe activity in both good and bad years. The Panelists 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.
Source:
2007 Annual Meeting
Type:
concurrent
Moderators:
David Leblanc-Simard
Panelists:
Jonathan Hayes, Mohammed Ashab
Keywords:
Reinsurance, Natural Catastrophe
Estimating Predictive Distributions for Loss Reserve Models
Abstract: This paper demonstrates a Bayesian method for estimating the distribution of future loss payments of individual insurers. The main features of this method are: (1) the stochastic loss reserving model is based on the collective risk model; (2) predicted loss payments are derived from a Bayesian methodology that uses the results of large, and presumably stable, insurers as its prior information; and (3) this paper tests its model on large number of insurers and finds that its predictions are well within the statistical bounds expected for a sample of this size. The paper concludes with an analysis of reported reserves and their subsequent development in terms of the predictive distribution calculated by this Bayesian methodology.
Source:
2007 Annual Meeting
Type:
concurrent
Keywords:
Loss Reserve Models
General Iteration Algorithmas for Classification Ratemaking
Abstract: In this study, we propose a flexible and comprehensive iteration algorithm called "general iteration algorithm" (GIA) to model insurance ratemaking data. The iteration algorithm is a generalization of a decades-old iteration approach known as "minimum bias models." We will demonstrate how to use GIA to solve all the multiplicative minimum bias models published to date and the commonly used multiplicative generalized linear models (GLMs), such as gamma, Poisson, normal, and inverse Gaussian models. In addition, we will demonstrate how to apply GIA to solve the broad range of GLM models, mixed additive and multiplicative models, and constraint-optimization problems that pricing actuaries often deal with in their practical work.
Source:
2007 Annual Meeting
Type:
Paper
Moderators:
Nancy Hoppe
Workers Compensation Reform- How Are We Doing?
Workers compensation reform legislation is alive and well, and the good news keeps coming. Three years ago, California workers compensation loss cost and reserve studies typically included an explicit provision for "anticipated loss reductions." At that time, who (other than the governator himself) would have expected such dramatic improvement in the workers compensation landscape? In fact, California workers compensation legislative fixes enacted in 2004 appear to have made an enormous impact on reducing loss costs. The panel will present and discuss frequency and severity trends since these laws were enacted, and discuss potential challenges for the future.
Is New York the next California? The panel will review the provisions of the 2007 "landmark legislation" and prognosticate on whether the outcome can match the epiphany that has occurred in California. Reform legislation and trends in other jurisdictions will also be discussed.
Source:
2007 Annual Meeting
Type:
concurrent
Moderators:
Nancy Hoppe
Panelists:
Ann Conway, Alex Swedlow
Keywords:
Excess Loss Development
Two Recent NCCI Workers Compensation Studies-Industry Reserves and Excess Loss Development
This panel will present the results of NCCI's annual loss reserve analysis of private carrier workers compensation, along with an explanation of the process behind the analysis. Comparison of results from various loss development methods, industry reserve deficiency results, and solutions to challenges to the reserve analysis will also be included.
The results of NCCI's recent Call 31 Excess Development Study will also be presented. This study demonstrates several interesting, and even counterintuitive, aspects of excess development patterns. In some situations development factors decreases at higher attachment points. There were also very significant industry-wide, calendar-year effects.
Source:
2007 Annual Meeting
Type:
concurrent
Moderators:
Nancy Hoppe
Panelists:
John Deacon, Jon Evans
Keywords:
Workers Compensation, Reserves, Excess Loss Development
Text Mining
One of the newest areas of data mining is text mining. Text mining is used to extract information from unstructured, free-form text data such as the data in an adjustor's claim description fields. It has been estimated that 85% of corporate data is of the unstructured type. Thus, methods that can abstract data from such fields have the potential to expand significantly on the amount of data available for predictive modeling projects.
Text mining can be viewed as having two distinct phases: term extraction and feature creation. Term extraction makes heavy use of string manipulation functions but also applies techniques from computational linguistics. Actual content is a result of the feature creation process that utilize multivariate statistical techniques.
The Panelists will describe some of the underlying concepts and procedures of text mining. They will also describe applications in property/casualty insurance.
Source:
2007 Annual Meeting
Type:
concurrent
Moderators:
Stan Khury
Panelists:
Martin Ellingsworth
Keywords:
data mining, text mining
Part 2-The Loss Simulation Model Working Party (LSMWP)
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 and make available to CAS members the prototype model along with components of an eventual full working party report.
Source:
2007 Annual Meeting
Type:
Workshop
Moderators:
Stan Khury
Panelists:
Glenn Meyers, Joseph Marker, Robert Bear
Keywords:
Loss Simulation Model Working Party
Part 1-Class on Testing Assumptions Underlying Estimates of Loss Reserves
The CAS has developed a one-day course that introduces attendees to the notion that making a loss reserve estimate involves making statistical assumptions, and introduces them to techniques for testing those assumptions. A detailed facilitator's guide is available from the CAS. The Midwest Actuarial Forum successfully held this course this summer, and MAF is hoping others will be willing to teach it in their Regional Affiliates.
Source:
2007 Annual Meeting
Type:
Workshop
Moderators:
Stan Khury
Panelists:
Louise Francis, Christopher Gross, Oakley VanSlyke, Brian Montigney
Keywords:
Testing Assumptions Underlying Estimates of Loss Reserves
Testing Loss Reserving Methods and Assumptions
Source:
2007 Annual Meeting
Type:
concurrent
Keywords:
Testing Loss Reserving Methods and Assumptions
Simultaneous Determination of the Underwriting, Investment, and Reinsurance Strategies: A Quanitative ERM Framework
Although the importance of enterprise risk management (ERM) has been well addressed, much of the discussion is limited in the scope of the qualitative description. Panning (2007) pointed out that ERM as currently practiced typically lacks relevance to a firm's strategic decisions and quantitative justifications. ERM will just be hype if actuaries cannot provide a value-oriented model.
ERM is an art and science that balances the profit and risk. In this study, the panel will present a quantitative ERM framework under the classic mean-variance theory. Insurers will choose underwriting, reinsurance, and investment strategies simultaneously to maximize the downside, risk-adjusted profit. A case study will illustrate this ERM framework numerically.
Source:
2007 Annual Meeting
Type:
concurrent
Moderators:
Nathan Babcock
Panelists:
Luyang Fu
Keywords:
enterprise risk management, ERM, Underwriting, Investment, and Reinsurance
ROC Solid Reserves-Insights from the Reserve Oversight Committee
Members of the Reserve Oversight Committee (ROC) together with members of the CAS will discuss the GIRO paper: "Reserving Oversight Committee Working Party Paper: Best Estimates and Estimating Uncertainty." The session will include a brief overview of the paper. It will then focus on one of the findings that highlights some potential problems with using certain methods that quantify reserving uncertainty via the calculation of distributions of possible outcomes, in particular the over-dispersed Poisson (Bootstrap) and the Mack methods. These theoretical issues will be followed by a discussion of the uses of such methods in practice, including exploring how their potential theoretical limitations can be addressed.
Source:
2007 Annual Meeting
Type:
concurrent
Moderators:
Nathan Babcock
Panelists:
Mark Shapland, Daniel Murphy, Peter Copeman
Keywords:
Reserves
Risk-Based Capital: So Many Models
Some RBC models are formula-based, some are stochastic, but it seems like everyone (NAIC, A.M. Best, S&P, insurers) has their own version. With so many different models, are any of them "right?" This session will start with a review of both formula-based and stochastic models, including approaches to parameterization. Following this review will be a discussion of current research on risks facing insurance companies and the effectiveness of both types of models in reflecting these risks and their potential implications for solvency.
Source:
2007 Annual Meeting
Type:
concurrent
Moderators:
Glen Meyers
Panelists:
Stephen Lowe, Matthew Carrier
Keywords:
Risk-Based Capital, formula-based and stochastic models
Reinsuring Small/Regional Insurers
This session will cover the issues associated with reinsuring small or regional insurance companies. What is the ceding company's motivation for buying reinsurance? What do they look for in a reinsurer or intermediary? From the perspective of the reinsurer, what are the challenges associated with underwriting and pricing such business? How can it be analyzed in an efficient manner? In addition to these questions, the panel will discuss the current state of the market for this niche.
Source:
2007 Annual Meeting
Type:
concurrent
Moderators:
Simon Wong
Panelists:
Larry Seymour, Tim Madden, Eric Arnst
Keywords:
Reinsuring Small/Regional Insurers
Predictive Modeling for Smaller Companies
Market leaders have embraced the idea of predictive modeling and have sufficient data to produce credible results. Small-to-medium-sized companies may wonder whether predictive modeling can help them, given their smaller data volume. This session will discuss why predictive modeling has become more important for these insurers, and ways to address some of the unique issues they face when developing models, including data needs, competitive analyses, implementation, distribution, and regulatory aspects.
The session will also cover some of the results obtained when applying these techniques and some of the advantages smaller companies have when approaching the predictive modeling process.
Source:
2007 Annual Meeting
Type:
concurrent
Moderators:
Frank Karlinski
Panelists:
Gary Wang
Keywords:
Predictive Modeling, Predictive Modeling for Smaller Companies
Optimized Pricing
What is it? How is it done in other countries? Can it be done in the U.S.? Three prominent consultants in the U.S. will give us their viewpoints.
Source:
2007 Annual Meeting
Type:
concurrent
Moderators:
Frank Karlinski
Panelists:
Alice Gannon, Claudine Modlin, Lee Bowron
Keywords:
Optimized Pricing
The Next Big One
In recent years the focus of the market has been on the hurricane and flood catastrophe risks. However, earthquakes pose a similar threat to the economy, homeowners, businesses, and insurer solvency. This session will discuss the latest developments in assessing earthquake risk and an overview of California's approach to the residential risk.
Source:
2007 Annual Meeting
Type:
concurrent
Moderators:
Frank Karlinski
Panelists:
Timothy Richison, Andrew Cowell
Keywords:
catastrophe risks
Modeling Reserve Variability
During this session, we will review some of the popular models used for estimating reserve distributions and how correlations can be measured and incorporated into these models to reflect variability across multiple lines. Discussions will also include the use of the resultant distributions as a tool for determining, among other things, overall capital requirements, capital allocation, and reinsurance pricing.
Source:
2007 Annual Meeting
Type:
concurrent
Moderators:
Frank Karlinski
Panelists:
Louise Francis, Mark Shapland
Keywords:
Modeling Reserve Variability
Loss Reserve Goverence
Pursuant to the Sarbanes-Oxley Act of 2002, publicly held property/casualty insurance companies are required to have processes and controls surrounding their actuarial reserving process. Some companies have taken great strides toward establishing a well-controlled environment. Others, however, have elected to establish the minimum level of controls to accomplish the requirements for management's Section 302 and Section 404 certifications and receive an unqualified audit opinion. From a corporate governance perspective, should companies already receiving unqualified audit opinions strive to be better? What are the benefits to having a strong control environment and a "best practices" reserving process? What would you consider when comparing evaluating your company's process and comparing it to a "gold standard" or best practices company?
This session addresses each of these questions, and describes in greater detail the key considerations of a reserving process and the related best practices. The key considerations discussed at this meeting cover a broad range of topics, including the role of the board and audit committee, staffing expertise, methodology, documentation, communication, and public disclosures.
Source:
2007 Annual Meeting
Type:
concurrent
Moderators:
Frank Karlinski
Panelists:
Marc Oberholtzer
Keywords:
Sarbanes-Oxley Act, property/casualty, loss reserve
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 linkage. In addition to providing a conceptual framework, the panel includes the practical perspectives of companies that have already begun to explicitly link these functions.
Source:
2007 Annual Meeting
Type:
concurrent
Moderators:
Elliot Burn
Panelists:
John Kollar, Mark Homan, Leslie Marlo
Keywords:
regulators, rating agencies, organizational risks, Risk, Capital and Financial Management
The Language of Uncertainty-What Color is your 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:
2007 Annual Meeting
Type:
concurrent
Moderators:
Elliot Burn
Panelists:
Chester Szczepanski
Keywords:
Uncertainty
International Insurance Accounting Standards and you: Why Should U.S. P&C Actuaries Care?
Comments are due on the IASB'S Preliminary Views on Insurance Contracts (a precursor to an international accounting standard for insurance) by November 16, 2007, almost as this panel convenes. Based on the same document, FASB is asking for comments as to whether it should join a joint project with the IASB to develop a global insurance contracts accounting standard. The SEC is considering allowing foreign registrants (and perhaps U.S. registrants as well) to use IFRS accounting without reconciliation to U.S. GAAP. The International Association of Insurance Supervisors, along with the NAIC, is actively considering the developments in international accounting standards as it develops international guidelines for insurance regulation, both for accounting and solvency. Frankly, there is almost no place to hide from the international accounting (and solvency) standards of the future.
For casualty actuaries, this could be great! Look at all the new actuarial estimation opportunities there may be! This could be not so great-look at the lack of any reliable benchmark to which you can compare your estimates of "market risk margins." This could be terrible-what happens if your client insurer's new financial statements so confuse investors that its cost of capital rises considerably? Whether good, bad, or indifferent, now is the time that these potential new international accounting standards are being debated, and now is the time to attempt to influence the process to make it work better.
So, it looks like international accounting may become domestic accounting as well. The Group of North American Insurance Enterprises (GNAIE) favors and works for high-quality international accounting standards for insurance contracts, as well as for high-quality international insurance solvency regulation. GNAIE believes the IASB needs to modify some of its preliminary views if its accounting standards are to produce reliable and understandable financial reporting for insurance enterprises. Michael McCarter of GNAIE, member company AIG, will provide an overview of the IASB Discussion Paper, discuss some of the key issues on which GNAIE is preparing to comment, and show how these concepts can affect accounting standards and solvency regulation globally (yes, including in the United States). Active audience participation and Q&A are encouraged.
Source:
2007 Annual Meeting
Type:
concurrent
Moderators:
Raju Bohra
Keywords:
International Insurance Accounting Standards, IASB'S
Insurance and Reinsurance Run-off
Run-off situations in the United States and around the world have become commonplace. At one point, experts were predicting 100 new run-off situations annually. The reactions to run-offs, particularly in reinsurance have been varied. Many insurers and insureds have seen large negative impacts to profits as their insurers and reinsurers have not been able to respond to losses. Others have sold their run-off books to active reinsurers who hope to squeeze a profit from the transaction. Indeed, several organizations have arisen whose business plan is to buy or otherwise service run-off situations.
Many unique characteristics should be considered for those companies that have either put their entire operations in run-off or have decided to exit particular lines of business.
We will discuss operational changes that may be seen by an entity acquiring a run-off book of business or company. Additionally, having multiple internal and external changes to a book of business with a dwindling numbers of claims can have a noticeable impact on an entity's loss development patterns. A number of these potential distortions will be discussed.
Source:
2007 Annual Meeting
Type:
concurrent
Moderators:
Raju Bohra
Panelists:
James Kahn, Brian Brown, Dave Ostrowski
Keywords:
Insurance and Reinsurance Run-off
The Florida Property Market: What's At Stake?
The Florida legislature and governor have taken controversial steps this year to address affordability and availability of property insurance in light of Florida's natural catastrophe exposure. These steps significantly alter the mechanics of the private insurance and reinsurance markets in Florida and have potentially long-term financial implications for the citizens of Florida. The essential question being raised by various participants in the discussion is what is the appropriate level of government intervention in insurance markets. Panelists will provide a snapshot of the Florida insurance market after HB 1A, covering a quantitative analysis of what a major event could mean for Florida residents as well as the broader implications of the Florida legislation on the discussion of the potential role of state governments and the federal government in the insurance market.
Source:
2007 Annual Meeting
Type:
concurrent
Moderators:
David Drury
Panelists:
Tapio Boles, William Vainisi
Keywords:
natural catastrophe exposure
Estimating Personal Auto Loss Costs that Vary by Address/Household Averaging
Postal zip codes form the basic unit for many territorial ratemaking methodologies that are in use today. Driving conditions such as chronic traffic congestion, population density, weather, and the physical environment are not constrained by zip code boundaries. The first part of this session describes how to estimate personal auto loss costs as a function of over 1,200 variables that describe local driving conditions.
The method proceeds by first applying a number of variable reduction techniques, such as Principal components analysis and structural equation models, to significantly reduce the number of variables. Then it fits separate frequency and severity models based on this reduced number of variables to produce loss cost estimates. The session will then describe how to analyze a holdout sample and measure the effectiveness of this methodology.
Historically, operators in personal lines auto have been assigned to vehicles using outdated underwriting standards. The challenge has always been in reflecting other drivers in the household and their potential for using the insured vehicle. Over the past several years, insurers have been using predictive modeling techniques to better incorporate the information about the extra operators on to the vehicle. This second part of the session will discuss several strategies associated with this challenge within a predictive modeling framework.
Source:
2007 Annual Meeting
Type:
concurrent
Moderators:
Guiseppe Russo
Panelists:
Glenn Meyers
Keywords:
Personal Auto Loss, territorial ratemaking
Emerging Issues and Trends in Medical Malpractice
Join a panel of experts to get a fresh take on medical malpractice issues.
California enacted comprehensive medical malpractice tort reform in 1975. The Medical Injury Compensation Reform Act (MICRA) continues to be the gold standard for tort reform and many of its provisions have been adopted by other states, particularly in recent years. We will compare MICRA provisions with similar (and some not so similar) state laws and will also discuss the history of MICRA, review its key elements and their impact on claim costs, and discuss potential challenges and what’s in store for the future.
Medical malpractice insurers, faced with a softening market and fresh publicity about record profit levels, should begin strategizing now for dealing with a toughening regulatory environment in multiple states. In order to prepare for the public rate-hearing process and next wave of insurance department exams, insurers need to take their rate filings and underwriting documentation to the next level. Quite honestly, the financial exam isn't just about rates and loss reserves anymore, my friends.
Source:
2007 Annual Meeting
Type:
concurrent
Moderators:
Kevin Rooney
Panelists:
Kevin Bingham, Richard Lord
Keywords:
medical malpractice issues, softening market
