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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.
CAS Examination Process
Examinations continue to be one of the hottest topics for Casualty Actuarial Society members and candidates. In the past few years, the CAS has made material changes in order to improve the examination process. The changes are intended to better prepare candidates and more appropriately identify the truly qualified candidates. This panel will address some of these changes, including learning objectives, question-writing training, and setting pass scores. Time will be allowed for questions.
Source:
2006 Annual Meeting
Type:
concurrent
Moderators:
Jeff Eddinger
Panelists:
Derek Jones, Steven Armstrong, Nasser Hadidi
Keywords:
examination process
California Regulatory Update: Worker's Compensation, Auto Rating, etc.
The panel will discuss the overall California regulatory landscape, with an emphasis on recent developments in auto insurance rating and workers compensation. Legal challenges to the provisions in the workers compensation reform legislation will be presented, along with some prognostication about what counter-legislative activity we might expect.
Source:
2006 Annual Meeting
Type:
concurrent
Moderators:
Jeff Eddinger
Panelists:
David Bellusci, Gary Cohen
Keywords:
regulatory
California Personal Auto Rating Plans - The Good, The Bad and the Ugly
In addition to an enormous marketplace, California offers us a rather unique auto insurance regulatory environment. This panel will discuss the merits and shortfalls of the current rating plans that are filed in California, and compare them to what we see filed in jurisdictions with a file-and-use open competition landscape. The panelists will present the pros and cons of the current California auto insurance regulations from the viewpoint of the insurance industry, the consumer, and the regulator, and engage the audience for additional perspectives.
Source:
2006 Annual Meeting
Type:
concurrent
Moderators:
Jeff Eddinger
Panelists:
Kelleen Arquette, Peter Delucchi, Mark Savage
Keywords:
Personal Auto Rating
Catastrophes - How did we do in 2006? What's ahead for 2007?
Several experts with different perspectives on the catastrophe insurance market will discuss recent evolutions from the 2005 experience. Also, with the 2006 Atlantic hurricane season coming to a close, the panelists will draw very early conclusions concerning the 2006 results and their impact on 2007.
Source:
2006 Annual Meeting
Type:
general
Moderators:
Kevin Lonergan
Panelists:
David LaLonde, Robert Hair, Christopher Dineen
Risk Transfer and Why Reinsurance Contracts May Never Be the Same
A panel of industry experts will discuss anticipated changes in the accounting environment, conclusions of the Academy's Risk Transfer subcommittee, and the reinsurance and regulatory implications.
Source:
2006 Annual Meeting
Type:
general
Moderators:
Theresa Turnacioglu
Panelists:
Joseph Sieverling, Nancy Watkins, Donald Farnan
AAA Qualified Standards
The qualification standards in the United States will soon be broadened to cover most statements of actuarial opinion. This seminar examines that which constitutes a statement of actuarial opinion. Do you need to be qualified? How can you tell if you are qualified? What changes are being made to the basic and continuing education requirements? What kind of documentation do you need to keep? Why do we even need qualification standards? Find out the answers to these and (not all your) other pressing questions.
Source:
2006 Annual Meeting
Type:
general
Moderators:
Theresa Turnacioglu
Methods and Models for Loss Reserving Based on Run-Off Triangles: A Unifying Survey
This paper provides a unifying survey of some of the most important methods and models of loss reserving which are based on run-off triangles. The starting point is the thesis that the use of run-off triangles in loss reserving can be justified only under the assumption that the development of the losses of every accident year follows a development pattern which is common to all accident years. This assumption can be viewed as a primitive stochastic model of loss reserving. The notion of a development pattern turns out to be a unifying force in the comparison of methods which to a large extent can be summarized under a general version of the Bornhuetter-Ferguson method. It is shown that the loss-development method and the chain-ladder method as well as the Cape-Cod method and the additive method can be viewed as special cases of the general Bornhuetter-Ferguson method. Some of these methods can be justified by general principles of statistical inference applied to suitable and more sophisticated stochastic models. It is shown that credibility prediction and Gauss-Markov prediction as well as maximum-likelihood estimation can contribute in a substantial way to the understanding of various methods of loss reserving.
Source:
2006 Casualty Loss Reserve Seminar (CLRS)
Type:
Paper
Moderators:
Theresa Turnacioglu
Panelists:
Klaus Schmidt
Keywords:
Methods and Models for Loss Reserving
Measuring Loss Reserve Uncertainty
In this paper, the author provides a simple method for measuring loss reserve uncertainty that is easily implemented with a spreadsheet model, that relies on data available for all US insurers and all lines of business, and that makes relatively few easily accepted assumptions. The method presented appears to be the first instance of a method for estimating loss reserves and loss reserve uncertainty that is thoroughly validated by comparing its estimates to those of a simulation with known parameters. Its results can assist CEO's, CFO's, Chief Risk Officers, actuaries, rating agencies, regulators, and stock analysts in estimating the variability of loss reserves, in estimating a firm's capital adequacy, in forecasting the distribution of possible loss reserve payments during the next calendar year, and in determining whether current or past calendar year deviations from expected loss payments are sufficiently large to deserve special attention.
Source:
2006 Casualty Loss Reserve Seminar (CLRS)
Type:
Paper
Moderators:
Theresa Turnacioglu
Panelists:
William Panning
Keywords:
Measuring Loss Reserve Uncertainty
Estimating Predictive Distributions for Loss Reserve Models
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:
2006 Casualty Loss Reserve Seminar (CLRS)
Type:
Paper
Moderators:
Brian Donlan
Panelists:
Glenn Meyers
Keywords:
Predictive Distributions for Loss Reserve Models
A Method for Projecting Individual Large Claims
The paper addresses the issue of estimating the uncertainty in the run off of individual large claims in insurance portfolios, which is often the primary source of uncertainty in the reserving risk component of insurance risk. The paper begins by reviewing current methodologies for estimating the uncertainty in loss reserves. Methods until now have focused on aggregate modeling of gross or net of reinsurance loss reserves, and no direct connection between the distribution of gross and net reserves. The paper develops a non-parametric framework to simulate the distribution of ultimate position of large claims, both reported and large IBNR claims. The method samples the development of individual claims based on the historic development of large claims, incorporating information at an aggregate level surrounding reserving strength. The model also predicts when claims will settle, and the timing of claim payments.
Source:
2006 Casualty Loss Reserve Seminar (CLRS)
Type:
Paper
Moderators:
Brian Donlan
Panelists:
Karl Murphy, Andrew McLennan
Variane and Covariance Due to Inflation
This paper looks at the problem of measuring correlation between reserve segments. The research was motivated by the 2005 CAS Working Party on Reserve Variability. Covariance between reserve segments due to common sensitivity to inflation can be easily modeled. This provides a convenient and intuitive way of calculating dependence between reserve segments in order to estimate variance at a company level.
Source:
2006 Casualty Loss Reserve Seminar (CLRS)
Type:
Paper
Moderators:
Brian Donlan
Panelists:
David Clark
Keywords:
Variane, Covariance
What is a Reasonable Range?
There are no formal standards on what a reasonable range of reserve estimates is. This session intends to explore this issue and intends to offer guidelines as to its importance, its transparent disclosure, and its business consequences. A number within a reasonable range, whether on the low or high end, or in the middle, may represent a reasonable estimate; but its effect on income, earnings, and profit must be considered. These aspects, in addition to the effects of risk-and-return optimization and financial-results management, play major roles in determining a best-estimate point or range, and can significantly affect an insurance company's operations.
Source:
2006 Casualty Loss Reserve Seminar (CLRS)
Type:
concurrent
Moderators:
Brian Donlan
Panelists:
Robert Wolf, Ralph Blanchard, Roger Hayne
Keywords:
Reasonable Range
Testing the Assumptionsof Age-to-Age Factors
The use of age-to-age factors applied to cumulative losses has been shown by Mack and Murphy to produce least squares optimal reserve estimates when certain assumptions are met. Tests of these assumptions are introduced, most of which derive from regression diagnostic methods. Failures of various tests lead to specific alternative methods of loss development. The presenters will discuss the testable implications and provide practical applications for different lines of insurance.
Source:
2006 Casualty Loss Reserve Seminar (CLRS)
Type:
concurrent
Panelists:
Gary Venter, Patrick Crowe
Keywords:
Age-to-Age Factors
Risk Transfer and Attestation
Financial/finite reinsurance deals have been a popular risk-transfer/financing vehicle for many years. But what have been their primary motivations? Since the Elliott Spitzer probe, these deals have come under tighter and tighter scrutiny, particularly with the recent NAIC requirement that company CEOs must "attest" to the legitimacy of these contracts as adding significant risk transfer to their financing capabilities. Learn how the casualty actuarial profession aided CEOs in this attestation requirement and how our profession can continue to in this and other regulatory matters.
Source:
2006 Casualty Loss Reserve Seminar (CLRS)
Type:
concurrent
Moderators:
Cynthia Rice
Panelists:
Leigh Halliwell, Chris Nelson, Bradley LeBlond
Keywords:
Risk Transfer, Attestation
Reserve Variability: Two Basic Models
This session will review two basic models. The first is the Thomas Mack approach regarding variability of the chain ladder method that is explained in his 1993 paper, "Distribution-Free Calculation of the Standard Error of Chain Ladder Reserve Estimates." He will also discuss bootstrapping, as presented in the England & Verrall paper, "Analytic and Bootstrap Estimates of Prediction Errors in Claims Reserving."
This is intended to be a hands-on session, and basic spreadsheets are available to calculate the distributions. It is suggested that attendees review the spreadsheets which are available under Research/Downloadable Items/Spreadsheets/Programs, Spreadsheets, and Workbooks (See Stochastic Reserving Track Readings from 2006 Spring Meeting at the bottom of the page).
Attendees are encouraged to work with the models prior to attending the session. The objective is for attendees to be able to understand the use of these models in their customary work. This will be a hands on session, focused on application rather than theory. Attendees will be able to bring their laptops to the session, although access to electrical outlets will not be supported (charge your batteries).
Source:
2006 Casualty Loss Reserve Seminar (CLRS)
Type:
concurrent
Moderators:
Cynthia Rice
Panelists:
David Clark
Keywords:
Reserve Variability: Two Basic Models
Reports of the Dynamic Risk Modeling Committee Working Parties
Since late 2004, the CAS Dynamic Risk Modeling Committee has formed three research working parties dealing with specific areas were the committee wanted to advance new research: Dynamic Risk Modeling Handbook, the DFA Public Access Model, and Loss Simulation.
The Dynamic Risk Modeling Handbook Working Party focused on updating and expanding the old DFA Handbook. The working party has finished writing and re-writing many of the chapters of the new handbook and will discuss its progress during the session.
The DFA Public Access Model Working Party has been working to document the public access model, Dynamo, originally developed in conjunction with the University of Illinois. The working party expects to move the model to the CAS Web Site once the documentation is complete and to set it up as an "open source" solution that others can add to or improve over time. The session panel will discuss the current status of this project.
The Loss Simulation Model Working Party is working to develop test criteria, model parameters from real data, and a working simulation model that will create data triangles using individual claim frequency and severity distributions. The primary goal is to create an "open source" model(s) that can be used by members for a variety of purposes, including testing of reserving models. The session panel will discuss the current status of this project.
Source:
2006 Casualty Loss Reserve Seminar (CLRS)
Type:
concurrent
Moderators:
James Rech
Panelists:
Shawna Ackerman, Robert Bear, James Rech
Keywords:
Dynamic Risk Modeling
Regression Models and Loss Reserving
Casualty actuaries have begun to turn from deterministic methods to stochastic models. Deterministic reserving methods, such as the chain ladder, Bornhuetter-Ferguson, and Cape Cod, have been, to varying degrees, either blended or replaced with stochastic models, especially with regression models. This session will show how stochastic reserving relates to and moves beyond deterministic reserving, the progress made to date in applying regression models to loss reserving, and what progress remains to be made. Simple examples will illustrate the theory and will suggest how to apply it to loss reserving.
Source:
2006 Casualty Loss Reserve Seminar (CLRS)
Type:
concurrent
Moderators:
James Rech
Panelists:
Leigh Halliwell
Keywords:
Regression Models, Loss Reserving
How valid are your assumptions II?
A sequel to "How Valid Are Your Assumptions? I," this session will continue with a basic introduction to visual and graphical techniques that actuaries use to test the assumptions underlying loss development procedures. This session will cover methods for validating a loss development model. It will also cover model design concepts such as parsimony, robustness and accuracy. The session will use concrete examples from actual loss. The data sets used in the examples will be made available in the Casualty Actuarial Society's web site prior to the seminar.
Source:
2006 Casualty Loss Reserve Seminar (CLRS)
Type:
concurrent
Panelists:
Jane Taylor, Philip Heckman, Frederick Ryan
How valid are your assumptions I? A Basic Introduction to testing the Assumptions of Loss Reserve variability models
This session will introduce visual and graphical techniques that actuaries use to test the assumptions underlying loss development procedures commonly employed by actuaries in loss reserving. The session will assume no familiarity with statistical procedures and concepts. It will provide a basic introduction to simple techniques that can be implemented in Excel to test chain ladder procedures against several alternatives such as Cape Cod. The session will discuss the assumptions underlying common development methods such as the chain ladder and will then introduce methods for testing the validity of the assumptions. The session will use concrete examples from actual loss development triangle data and will introduce Excel functions such as LINEST and INTERCEPT that are useful in the testing. The data sets used in the examples will be made available in the Casualty Actuarial Society's web site prior to the seminar.
Source:
2006 Casualty Loss Reserve Seminar (CLRS)
Type:
concurrent
Panelists:
Jane Taylor, Philip Heckman, Frederick Ryan
Keywords:
Assumptions of Loss Reserve variability models
Considerations Regarding Standards of Materiality in Estimates of Outstanding Liabilites
This session will discuss the conceptual framework for developing ranges of reasonable estimates and ranges of probable outcomes around outstanding liability estimates. The presenters will explain the basics behind a null hypothesis approach for developing reserve ranges, including its practical application in exploring differences between two different reserve estimates of the same liability. There will also be a discussion on the practice note issued on reserve ranges through a practical example/case study.
Source:
2006 Casualty Loss Reserve Seminar (CLRS)
Type:
concurrent
Panelists:
Emmanuel Bardis, Tina Gwilliam, Atul Malhotra
Keywords:
Liabilites
Bayesian Estimation of State Space Reserving Models
Contemporary casualty actuaries are faced with the challenge of developing triangular reserve models that go beyond point estimates calculated with simple intuitive arithmetic. In the 21st century triangular reserve models will be expected to explicitly define the statistical estimators used, the uncertainty in parameter estimates, and the variability of actual reserve outcomes. The most promising approach to meeting all of these expectations is state space models. State space models assume that empirical observations are the sum of unobserved state variables plus measurement noise. State variables are not estimated as traditional statistical parameters. State variables are themselves generated by probability distributions whose parameters are estimated with traditional methods such as maximum likelihood or the Bayesian posterior. This session will include a brief review of state space reserve modeling from the seminal 1983 paper "Claims Reserving, State Space Models and Kalman Filter," by de Jong and Zehnwirth, through recent Bayesian estimation approaches such as that described in Scollnik's discussion paper "Implementation of Four Models for Outstanding Liabilities in WinBUGS: A Discussion of a Paper by Ntzoufras and Dellaportas (2002)." A basic example involving the estimation of asbestos liabilities from triangular data will be demonstrated using WinBUGS, a free software package for Bayesian estimation of statistical models.
Source:
2006 Casualty Loss Reserve Seminar (CLRS)
Type:
concurrent
Moderators:
James Rech
Panelists:
Frank Schmid
Keywords:
Bayesian Estimation of State Space Reserving Models
Introduction to Reinsurance Reserving
While reinsurance reserving principles are generally similar to primary reserving, applying them is often more difficult and involves special considerations. This session gives a basic understanding of loss reserving principles, considerations, and techniques as applied to assumed reinsurance. The panelists will cover reinsurance contract types, data grouping for loss development, specific reserving techniques, and complications in their application. This session is not intended for experienced reinsurance actuaries but assumes a working knowledge of primary reserving techniques. No advance preparation is required.
Source:
2006 Casualty Loss Reserve Seminar (CLRS)
Type:
concurrent
Panelists:
Michael Angelina, Christopher Bozman, Anita Sathe
Keywords:
Reinsurance Reserving
Professionalism and the Practicing Actuary: Do you know the rules of the road
Panelists will identify the key standards and Code precepts relevant to reserving and financial reporting actuaries. Using these tools, the audience will attempt to tackle several ethical dilemmas common to reserving actuaries. Whether you are a company or consulting actuary, this session is sure to educate and entertain!
Source:
2006 Casualty Loss Reserve Seminar (CLRS)
Type:
concurrent
Panelists:
Kevin Dyke, Therese Klodnicki, Christopher Walker
Keywords:
Professionalism, key standards and Code precepts
Managing A Loss Reserving Department and Communicating Results
Managing a loss reserving department depends on the structure of the organization and the information needs of company management. What level of detail is needed for the data used in the loss reserving analysis? After the actuarial analysis is completed what information should be communicated, how often should it be communicated, and to whom should it be communicated? The panelists will discuss practical issues faced by actuaries both in setting up and managing loss reserving departments. They will also provide insight based on their own experiences as to what information is needed by the various levels of management within companies. Lastly, they will discuss how the loss reserving actuary can communicate their findings in a way that helps management make appropriate business decisions.
Source:
2006 Casualty Loss Reserve Seminar (CLRS)
Type:
concurrent
Panelists:
William Burns, Jame Pogorzelski
Keywords:
Loss Reserving, company management
Enhancing the Reputation of Casualty Actuaries
Accepted by the CAS Board in May 2005, the Report of the Task Force on Actuarial Credibility identifies and prioritizes possible strategies for enhancing the credibility of the casualty actuarial profession in the U.S., with particular emphasis on reserving issues, and develops action plans for implementation of strategies considered to have the greatest potential for high impact. A Joint Organizations Implementation Task Force, comprised of representatives from each of the actuarial organizations representing casualty actuaries in the U.S., has been established and charged with coordinating the implementation efforts outlined in the task force report. This session will summarize the recommendations of the task force and provide an update on the implementation efforts. The session will encourage an open dialogue concerning the perceived credibility of the casualty actuarial profession and a discussion of strategies that might be considered for implementation within the next two years to enhance credibility.
Source:
2006 Casualty Loss Reserve Seminar (CLRS)
Type:
concurrent
Moderators:
Daniel Roth
Panelists:
Mary Miller, Michael Toothman
