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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.
Enterprise Risk Management and Disaster Recovery
Enterprise Risk Management (ERM) has received considerable attention over the past few years. While, at times, the concept can appear more "academic" than practical, the events of September 11 brought ERM into the forefront, particularly from a disaster recovery perspective.
The discussion will focus on the specifics of disaster recovery plans, including loss of data, technology problems, impact on personnel, and the cost of business interruption. Session panelists will discuss what parts of their plan went well, what parts fell short, and the general lessons that they have learned during this difficult period.
Source:
2002 Spring Meeting
Type:
general
Moderators:
Theresa Klodnicki
Panelists:
Elaine Carey, Pamela Porter, Stephen Ban
Keywords:
Enterprise Risk Management, ERM, disaster recovery plans
Dealing With Terrorism: Next Steps?
Last fall's terrorist attacks forever changed the nature of property/casualty business around the world. While industry leaders indicated that the industry had the ability to pay such losses-once-terrorism losses of such catastrophic size and unpredictability were not contemplated in the offer of coverage at the then prevailing price. Those losses forced the property/casualty industry to review fundamental notions about our business-coverage grants, pricing, reserving, claims handling, catastrophe risk management, risk mitigation, reinsurance treaties, data collection, and the like. The scope and nature of this event and the magnitude of the resulting losses generated federal government involvement in the process of designing structures to deal with future terrorism losses.
This panel will analyze the strategic steps insurers, reinsurers, and regulators have taken to deal with the short- and long-term consequences of terrorism losses.
Source:
2002 Spring Meeting
Type:
general
Moderators:
Stuart Sadwin
Panelists:
James Bonica, Robert Graham, Robert Gordon, William Kirven
Keywords:
terrorist attacks, terrorism losses of such catastrophic size and unpredictability, coverage grants, pricing, reserving, claims handling, catastrophe risk management, risk mitigation, reinsurance treaties, data collection
Dealing With the Differences in Hurricane Models
When comparing the results of the various models widely used today, many differences can be found in expected catastrophe losses. Regulators and others involved in public policy issues are becoming more and more concerned about the impact these differences can have on consumers. Panelists will discuss the implications of this variability from the perspective of primary insurers and reinsurers.
Source:
2002 Fall SIS- Catastrophe Risk Management
Type:
concurrent
Moderators:
Ronald Kozlowski
Panelists:
Martin Simons, William Gardner
Keywords:
expected catastrophe losses, primary insurers and reinsurers
The Challenges of Dealing With Natural Catastrophes
Insurers, reinsurers, and regulators face a number of challenges dealing with natural catastrophes such as windstorms and earthquakes. The speakers in this session will discuss the latest issues and developments regarding Florida wind exposures and California earthquake exposures. These issues include a description of the Florida Windstorm Underwriting Association's revolutionary wind-only class plan and the California Earthquake Authority's financial structure modifications in reinsurance, revenue bonds, and other debt mechanisms. Panelists will also discuss the status of NAIC initiatives and potential federal solutions.
Source:
2002 Fall SIS- Catastrophe Risk Management
Type:
concurrent
Moderators:
Ronald Kozlowski
Panelists:
Larry Johnson, Tim Richison
Keywords:
natural catastrophes, windstorms and earthquakes, reinsurance, revenue bonds
Managing Man-Made Catastrophe Risk
The events of September 11 radically changed the perspective on potential consequences of man-made disaster. From an insurance viewpoint, the loss of life and property resulting from airplane crashes and large industrial fires is as much a catastrophe as such losses caused by the weather. To provide a global perspective, panelists will present annual research conducted by SwissRe that analyzes the effects of both natural and man-made catastrophes. The speakers will address the different forms of insurance coverage for these risks as well as means of mitigating and financing their consequences.
Source:
2002 Fall SIS- Catastrophe Risk Management
Type:
concurrent
Moderators:
Sean Ringsted
Panelists:
Mike McCarter, Thomas Holzheu
Keywords:
different forms of insurance coverage for man-made disasters
Tails of Copulas
Actuaries who want to model correlated joint distributions have a choice of quite a few copulas, but little basis for choosing one over another. Methods are provided here to describe the features of different copulas, so that more informed choices can be made.
Copulas differ not so much in the degree of association they provide, but rather in which part of the distributions the association is strongest. Often needed for property and casualty applications are copulas that emphasize correlation among large losses, i.e., in the right tails of the distributions. Several copulas that do this are discussed.
To describe aspects of the copulas, univariate functions of copulas are introduced, for example tail concentration functions. These descriptive functions can be thought of as an intermediate step between correlations coefficients, such as Kendall, Spearman, Gini, etc., which are zero-dimensional measures of association, and the multidimensional copula function itself.
The descriptive functions can be used to select copulas having desired characteristics, such as tail concentration, and they can also be used in the fitting process to judge how well the fitted copulas match those aspects of the data.
Source:
2002 Annual Meeting
Type:
Paper
Moderators:
Gary Venter
Keywords:
model correlated joint distributions, Copulas
What's Going on With Directors and Officers Liability?
The D&O insurance market has been rocked by corporate misdeeds including accounting restatements and irregularities, bankruptcies, and executive compensation overloads. These and other actions have propelled shareholder confidence and stock valuations to new lows.
The panel will discuss how these recent events will affect D&O loss trends and what steps an actuary might take to try to untangle the impact on their businesses.
Source:
2002 Annual Meeting
Type:
concurrent
Moderators:
François Morin
Panelists:
John Lewandowski, Tammi Dulberger
Keywords:
accounting restatements and irregularities, bankruptcies, and executive compensation overloads, D&O loss trends
Update on the Aging Phenomenon
The aging phenomenon is a well-known but not very well-documented tendency in the property/liability insurance industry for loss ratios to improve as a book of business is successively renewed by an insurer. New business will generally have a high loss ratio, but the loss ratio consistently declines as the book of business matures. This phenomenon appears to occur for all lines of business for property/liability insurers. The reason for the minimal number of published studies on this topic is the proprietary nature of this information. If insurers keep the loss experience of an existing book of business confidential, then they can profit from the informational advantage that they have over their competitors. Recently, though, session panelist Alma Cohen, a researcher at Harvard, has obtained detailed information on over 200,000 records from an automobile insurance company in Israel. Cohen will report in extensive detail on the effect of aging on a book of business, examining the cause of this phenomenon and analyzing the magnitude of the improvement in experience.
This session will review the existing literature on the aging phenomenon (D'Arcy and Doherty, PCAS 1989; Feldblum, PCAS 1996), examine the impact on insurers of recent loss sharing activities of insurers, such as CLUE (Comprehensive Loss Underwriting subscription database), and discuss the new research on this topic.
Source:
2002 Annual Meeting
Type:
concurrent
Moderators:
Thomas Hermes
Panelists:
Alma Cohen
Keywords:
property/liability insurance, loss ratios
The State of the Line: Medical Malpractice
Will the insurance market for medical professional liability ever settle down? Underwriting results continue to deteriorate, making coverage increasingly more costly and often very difficult to place at any price. The panel will discuss what they are seeing in the market today and offer their insights into where we may be headed and what insurance companies, brokers, and self-insurers can do to minimize the pain.
Source:
2002 Annual Meeting
Type:
concurrent
Moderators:
Thomas Hermes
Panelists:
Richard Bucilla, Jack Jensen, Lawrence Smith
Keywords:
medical professional liability, Underwriting, insurance companies, brokers, and self-insurers
The State of the Insurance Market
With the hardening of the insurance and reinsurance markets, availability of higher limits and nonbasic coverage terms have been limited. In addition, the cost of these policies has increased significantly, with some insureds paying multiples of their previous year insurance costs. Issues such as "fire following" coverage, workers compensation aggregation risk, the availability of statutory limits, and states that do not allow terrorism exclusions have further complicated the already difficult underwriting task facing the post-September 11 insurance industry.
The panelists include an enterprise risk management consultant who will discuss an alternative way policyholders can view insurance, an actuary from a reinsurance company who will explore the trends in the reinsurance market, and a consulting actuary who will explain the state of the market from the perspective of the insurance consumer.
Source:
2002 Annual Meeting
Type:
concurrent
Moderators:
Edward Koral
Panelists:
Gary Blumsohn, Kevin Bingham, Ware Preston
Keywords:
insurance and reinsurance markets, compensation aggregation risk, availability of statutory limits, terrorism, ERM, enterprise risk management
Setting Goals for the CAS in 2014: Where Should We Be on Our 100th Anniversary?
This year the Long Range Planning Committee (LRPC) is engaged in setting significant, measurable, and attainable goals for the CAS in 2014, the year the CAS will be 100 years old. These goals are intended to help guide the actions of the CAS over the next dozen years. In addition to setting goals, the LRPC is also working on defining the core purpose and values of the CAS, to make sure that the goals are in line with these principles. In this session, members of the LRPC will present the core purpose and values of the CAS and the goals for 2014 that have been developed so far. Questions and suggestions are welcome! You can truly help shape the future of the CAS by attending and participating in this session.
Source:
2002 Annual Meeting
Type:
concurrent
Moderators:
Stephen D'Arcy
Panelists:
David Hartman, Eugene Connell, Gail Ross, Robert Wolf
Keywords:
Long Range Planning Committee, significant, measurable, and attainable goals, 2014
Reserve Uncertainty: Truth or Deception?
Articles in recent industry trade journals have reflected discussions on pressure to deceive. The first part of this session will explore some practical considerations and techniques in gauging loss reserve uncertainty. Discussions will include the considerations of developing a "best estimate range," the extent that actual results could vary from those indicated, and its corresponding ramifications with the appointed actuary's statement of opinion and audit process.
The second part of the discussion will include situations where the insurer's financial statements presented to regulators and rating agencies often underestimate the company's loss reserves, at least in a hindsight evaluation, in spite of the fact that financial statements are accompanied by auditors' letters of opinion and statements of actuarial opinion attesting to their accuracy. In some cases, three groups of people have evaluated the adequacy of those loss reserves, namely the individual insurer, the outside audit teams, and outside actuarial firms while the reserves, in hindsight, still fell off the mark. Are auditors and actuaries providing rating agencies and regulators with accurate and complete information about insurance companies with regards to reserve uncertainty? This and additional questions will be explored in this session.
Source:
2002 Annual Meeting
Type:
concurrent
Moderators:
Patricia Teufel
Panelists:
Charles Cook, David Hartman, Richard Marcks
Keywords:
gauging loss reserve uncertainty, developing a "best estimate range, appointed actuary's statement of opinion, financial statements
Rating Agency View of Capital Adequacy: Are They on the Mark?
The timeliness of insurer ratings has increased in interest because of the extent to which users rely on them. In an April 22, 2002, National Underwriter article, Suzanne Sclafane addressed certain concerns:
"It's hard not to read news about property-casualty insurers whose financial strength ratings tumble from `A' to `B' in a heartbeat, only to have their hearts stop beating soon after, without wondering what's going on."
These events have raised questions with regard to cause and effect. Did the downgrades prompt the regulatory action? Did the downgrades shut off future business opportunities, making the rating action itself a factor in an insurer's collapse? Were the companies in such bad shape with ratings of B and A-? Did the rating agencies miss something on the signs of deterioration? Did raters and regulators act too slowly? Are rating agencies becoming convenient scapegoats for those who are creating, and not assessing, insurer insolvencies? Are the basic capital adequacy measures (leverage ratios and/or risk-based capital) working?
Rating agencies that have testified before a congressional panel on their assessments of Enron, have said that debt ratings "ultimately depend on information provided by the issuer." Could Enronesque events happen in the insurance industry?
These and many more questions will be discussed in this session and will incorporate the views of a Wall Street analyst, a regulator, and a rating agency.
Source:
2002 Annual Meeting
Type:
concurrent
Moderators:
Adam Reese
Panelists:
Todd Bault, Chester Szczepanski
Keywords:
property-casualty insurers, insurer ratings
Practicing Defensive Actuarial Medicine
Multimillion dollar jury awards against actuarial firms indicate that our profession faces increasing risks in this litigious society. This session, developed by the Conference of Consulting Actuaries, examines ways that actuaries in all practice areas can minimize the risks of malpractice.
Source:
2002 Annual Meeting
Type:
concurrent
Moderators:
Adam Reese
Panelists:
Frederick Kilbourne, Stephen Jacobs
Keywords:
jury awards, litigious, risks, Consulting Actuaries
Call Papers
The CAS Committee on Dynamic Financial Analysis (DFAC) has been soliciting responses to a call for papers on the topic of "Dynamic Financial Analysis, A Case Study." In this call paper program, participants have been presented with a specific actuarial situation, including a company description and financial statements, and have been asked to write a paper describing their approach and solution to the current situation. By giving all participants a common starting point, DFAC has attempted to (1) encourage creative problem solving by participants using DFA, (2) demonstrate the range of DFA approaches and models to the CAS membership, and (3) illustrate how appropriate capital levels can be determined using DFA. Selected authors of accepted papers are being invited to present their work at the 2001 Special Interest Seminar on Dynamic Financial Analysis.
In contrast to prior DFA call paper programs, this call has focused on applying DFA approaches to a given situation in order to illustrate how appropriate capital levels can be determined. Each participant has been expected to determine appropriate capital levels for the given insurance company, based on standards used by ratings agencies, regulators, or financial markets. The capital standard that is adopted for this study is left to the participant but should be defended as to the appropriateness of its use. It is expected that each paper will include the following:
Description of measures of risk and reward used in evaluation;
Description of strategies considered;
Description of the model used;
Description of analytical process; and,
Interpretation of model results/evaluation of strategies.
Seminar attendees interested in the specific situation, company description, and financial statements can find them on the CAS Web Site at www.casact.org/research/dfa/dfainsco.htm.
Source:
2001 Dynamic Financial Analysis Seminar
Type:
Paper
Keywords:
Dynamic Financial Analysis
Multidimensional Analysis Profitability and Service Provider Analysis
With new competitors on the horizon, antiquated technologies, slow-moving cultures, and industry uncertainty, insurance companies now compete in a complex, global, and rapidly changing post-Glass Steagle environment. In order to survive in this new competitive landscape, insurance companies need to know their detailed profitability across permutations and combinations of all key business drivers.
By using extremely multidimensional analyses, multiple operational areas within a property and casualty insurance company are given the ability to generate very sophisticated, detailed analyses. By utilizing these analyses, the user is able to spot detailed trends early, allowing them to act quickly and specifically to achieve better pricing, improved profitability, and better marketing.
This presentation is intended to provide an introduction on how to utilize extremely multidimensional analysis to increase profitability by showing real industry examples and advanced techniques.
Source:
2001 Dynamic Financial Analysis Seminar
Type:
concurrent
Panelists:
Rick Baff
Actuarial Worlds Colliding
You know the DFA actuarial world: complex, removed, abstract. Then there is the pricing actuarial world: stable, dependable, established. What happens when the underwriting modeling aspects of DFA and innovations in pricing analysis come together? You've got worlds colliding! Come watch.
Source:
2001 Dynamic Financial Analysis Seminar
Type:
concurrent
Panelists:
Robert Walling, Brett Nunes
The Cost of Capital for Property and Casualty Insurers
In this session, Professors Doherty and Phillips will discuss recent advances in academic research on issues related to the cost of capital for insurers.
Professor Doherty will present a theoretical and conceptual discussion of two approaches in the recent literature that suggests how insurers and other firms set hurdle rates of return for capital allocation of capital budgeting. One set of models, such as RAROC (Risk Adjusted Return on Capital), argues that the discount rate should be lowered to reflect total risk. The competing approach based on models such as the Capital Asset Pricing Model argues only risk that is undiversifiable in the capital market should be priced. Each model by itself is incomplete. A dual risk model based on early work of Doherty and later work of Froot and Stein will be discussed.
Professor Phillips will discuss the objectives and some preliminary results of a research project sponsored by the CAS Committee on the Theory of Risk, "The Risk Premium Project." The presentation will focus on the part of the project designed to overcome one of the more difficult issues related to applying modern capital budgeting techniques for pricing insurance risks: the general lack of reliable information on the differences in the systematic risk across the various lines of insurance. The empirical methodology and the preliminary results of the by-line cost of capital estimates will be presented.
Source:
2001 Dynamic Financial Analysis Seminar
Type:
concurrent
Panelists:
Richard Phillips, Neil Doherty
Putting the Power of Modern Applied Stochastics into DFA
From the viewpoint of the applied scientist, DFA is a platform that integrates a variety of methods and techniques from financial and insurance mathematics, statistics, and quantitative risk management. This session will give an overview of the points of contact of DFA with current research in these areas. It will also explore opportunities that some selected topics offer for the further development of DFA: multivariate stochastic models, their scaling properties, and the use of high-frequency data for their calibration, dependence concepts, alternative risk measures, and multiperiod portfolio management.
Source:
2001 Dynamic Financial Analysis Seminar
Type:
concurrent
Moderators:
Peter Wick
Panelists:
Peter Blum
Coherent Risk Measures
To date, DFA research has been conducted relating to parameterization, modeling processes, and strategic applications. However, somewhere in the DFA process between the generation of simulations and decision making, there are vital considerations to be made in terms of what metrics to be used to measure the risk of the firm under study. Some widely used measures, such as standard deviation and value-at-risk, can be shown to have properties that are not always consistent with intuitive thinking.
This session draws on points made in an important paper by several international professors of finance, and translates their points to a DFA context. The presenters will highlight some basic examples of risk measures that are described by this paper as being "coherent," in contrast to many widely used measures that fail such a definition. The panelists will point out why these considerations should be made prior to designing and applying DFA models. Finally, we will propose a few coherent measures to use in DFA applications and discuss the merits of their use.
Source:
2001 Dynamic Financial Analysis Seminar
Type:
concurrent
Moderators:
Kevin Madigan
Panelists:
Glenn Meyers, Andrzej Czernuszewicz
Regulatory Applications of DFA
regulat Insurance regulators have long used stresstesting and similar analyses to gauge the solvency risk associated with various adverse underwriting and operational outcomes for individual insurers. As DFA capabilities have developed, such analyses have been utilized more frequently. Additionally, the scope of such analyses has expanded. In this session, the panelists will discuss specific instances in which DFA-type analyses have been utilized in identifying and monitoring distressed insurers. Additionally, the panelists will discuss the process of reviewing the assumptions and results of insurer-submitted DFA analyses.
Source:
2001 Dynamic Financial Analysis Seminar
Type:
concurrent
Panelists:
Chester Szczepanski, Victoria Lusk
How DFA May Affect Your Company's Rating
DFA is becoming an increasingly important risk management and capital optimization tool for insurance companies in evaluating decisions, such as finding the optimal reinsurance program and determining financial planning. Asset portfolio and strategic planning decisions can also be enhanced by DFA analyses. Given that a company sees value in using DFA internally to evaluate corporate initiatives and capital adequacy, a key question is the degree to which rating agencies are interested in DFA for their external valuation purposes. Can internal DFA studies be used by the company to garner an upgrade or stave off a downgrade? Can DFA models be used in meetings with rating agencies to support strategic or tactical changes in a company's business plan, or to support how the company evaluates and manages risk? Our panelists will address these and related questions. The panelists will also discuss the role that DFA and similar quantitative models play in their rating process.
Source:
2001 Dynamic Financial Analysis Seminar
Type:
concurrent
Panelists:
William Wilt, Mark Puccia, Martin Sheffield
Measuring Risk/Reward Trade-offs
Traditional financial planning and asset management models do not have DFA's capabilities to reflect the risk-vs.-reward trade-offs between alternative business growth and asset allocation options. These trade-offs include the risks embedded in varying premium growth plans among lines of business and/or the company's changing its asset allocations between bonds and equities. With DFA, the analyst can simulate the likelihood that a given plan will produce an outcome within an acceptable range and the probability that selected measures of success will be achieved. For example, with DFA the potential trade-off between a consistent NWP-to-surplus target versus maximizing growth in the company's future economic value, can be tested under varying asset portfolio structures. In this session the panelists will discuss measures of success and risk-vs.-reward that they have applied and demonstrate DFA approaches and tools for testing alternative strategies against these measures.
Source:
2001 Dynamic Financial Analysis Seminar
Type:
concurrent
Panelists:
Gayle Haskell, Russell Bingham, Stephen Sonlin
Strategies for Ranking DFA Results
DFA is often used to provide quantitative insights into strategic business questions. These questions include:
Which reinsurance program is better?
Which asset mix is preferred?
What is the impact of changing product mix?
What are the ramifications of changing pricing strategy?
To assist in making these decisions, the various alternatives need to be prioritized. This presentation will provide several ideas for ranking strategies in the context of a case study, focusing on the choice of investment strategy. The approaches suggested can be applied to decisions regarding any type of strategy, including those that focus on more than one aspect of an insurance company's operations, such as a set of strategies for mitigating risk through combinations of changes in the mix of business and reinsurance programs.
Source:
2001 Dynamic Financial Analysis Seminar
Type:
concurrent
Panelists:
Susan Witcraft
Securitized Risks: Engineering and Empirical Analysis with DFA Concepts
During the last several years, securitized products have become an alternative source of capital for the insurance industry. The first part of this session will focus on the basics of insurance linked securities including typical terminology and pricing factors. The effect on the cedant's balance sheet as well as pros and cons versus traditional reinsurance will be discussed. The second part of this session will present a case study of how a medium-size primary insurer used DFA concepts to evaluate a catastrophe reinsurance program with both private and public components, the performance of which relies heavily on public risk securitization. The implications for reinsurance buyers as well as the bond markets and the borrowers will be discussed.
Source:
2001 Dynamic Financial Analysis Seminar
Type:
concurrent
Panelists:
John Rollins, Paul Puleo
