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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.
Risk Implications of Unemployment and Underemployment
The unemployment rate is used by policy makers to measure economic activities and social stability. The term people who are underemployed, which is not included in the standard unemployment rate, refers to involuntary part-time workers or overqualified workers. For insurance companies, unemployment and underemployment are important because of not only their impact on the economic assumptions but also their direct impact on the insurance business. This session will discuss how to use unemployment and underemployment information for risk management, economic forecasts, and insurance assumption setting. It will touch on the practices of unemployment modeling in the banking industry. Examples of unemployment-related stress testing and assumption setting will also be shown. Part of the content is based on the JRMS research report titled “Risk Implication of Unemployment and Underemployment.”
Source:
2016 Enterprise Risk Management for the P&C Actuary
Type:
Concurrent Session
Moderators:
Jason Harger
Panelists:
Kailan Shang, Zakir Hossen, David Shleifer
Stress and Scenario Testing – Practical Considerations and Real World Examples
For years, the focus of most Enterprise Risk Management programs was on building better and more complete stochastic models. Questions like “What’s the best way to model Reserves?” or “How should I handle Operational Risk?” were the key concerns of many actuaries in the field. While this is still the main focus of most ERM programs, we’re starting to see an increased usage of scenario testing as part of the process. This extension to the process offers both opportunities and challenges for practitioners; on the positive side, adding these scenarios can often lead to better buy-in from senior management, since individual scenarios are easier to understand than stochastic analysis, but before you can get there, you’ll have to face a wide range of challenges.
In this session we will explore questions such as, should we build two separate models, one for stochastic and the other for scenario testing, or cram everything into a single platform? How should we deal with ambiguous or incomplete scenario descriptions (e.g. a “bad” equity result)? To flesh out these concepts, we will also provide a detailed example of an “Underwriting Cycle” stress scenario that will explore quantifying the impact of a soft to hard market cycle turn across a multi-year time horizon.
Source:
2016 Enterprise Risk Management for the P&C Actuary
Type:
Concurrent Session
Moderators:
Ariel Chiu
Panelists:
Parr Schoolman, Daniel Finn, Adam Troyer
Trends and Best Practices in Model Risk Management: A Roundtable Discussion
In this session, highly qualified experts from various fields of expertise will share their perspective on trends and best practices in model risk management. In this multi-disciplinary panel, the panelists will discuss the various regulatory, actuarial, modeling, and analytics concerns related to risk management. Some of the legal and regulatory requirements will be provided as a framework, and the panelists will discuss how these requirements interact with companies’ risk management decision-making processes.
The panelists will share their views on trends and best practices in the enterprise risk management field. They will describe some of the processes that should be in place to adequately document a company’s ERM framework. The various assumptions, methodologies, and controls that should be in place will all be considered, as well as issues arising from analyzing and modeling risks. The panelists will also look at the use of capital models to make risk-informed decisions, from portfolio management to development and execution of underwriting strategy.
Source:
2016 Enterprise Risk Management for the P&C Actuary
Type:
Concurrent Session
Moderators:
Ariel Chiu
Panelists:
John Burkett, Fred Karlinsky, Derek Chapman, Christopher Ordowich, Jacqueline Noto
Predictive Modeling and Pricing: How Does it all Fit Within an ERM Framework?
Predictive modeling and Pricing require holistic collaboration to optimize risk and rewards for P&C insurance operations. Ineffective treatment in either of these disciplines carries with it risk, both in silos and in collaboration. In this session we will discuss how to manage the integration of the these disciplines to fit within the company-wide ERM structure.
Source:
2016 Enterprise Risk Management for the P&C Actuary
Type:
Concurrent Session
Moderators:
Dave Snow
Panelists:
Cheng-Sheng Wu, Rita Zona, Hsiu-Mei Chang, Berna Beekman
Aligning ERM, Risk Models, and Business Strategy
Many efforts to align ERM and company strategy never get into the room for strategic planning or fail because of an overly quantitative approach to strategic planning. This session will look at the ways that insurers choices for business strategies related to risk align with overall risk objectives and how an ERM program can work to create and enhance favorable linkages. The discussion will focus on actual situations as captured in a recent poll of insurers with $50 million of premiums up to billions.
Over the last decade, Insurers have increasingly been embracing enterprise risk management practices. With this has come a move to develop more sophisticated models for the quantification of a company’s key risks. Management may have a variety of different uses for this risk measurement and so models need to be designed in such a way that they are able to meet the potentially diverse range of needs from the business.
Source:
2016 Enterprise Risk Management for the P&C Actuary
Type:
Concurrent Session
Moderators:
Sandy Santomenno
Panelists:
David Ingram, David Payne
ERM in Practice - Case Studies and ORSA Best Practices Regarding Quantitative and Qualitative Components of the ERM Framework
This interactive session features two expert panels. The first will engage the audience in a discussion of how to design and utilize economic capital models to support strategic business decisions, using two pertinent case studies. The second will explore how this quantitative discipline is integrated with qualitative considerations within an ERM framework, including the articulation of risk appetite and communication via the ORSA report.
Source:
2016 Enterprise Risk Management for the P&C Actuary
Type:
Concurrent Session
Moderators:
Sandy Santomenno
Panelists:
Barry Franklin, Daniel Finn, Edward Yao
Linkage Between Risk Strategy, Appetite, Tolerances, and Limits
The Risk Appetite framework is the bridge between Strategy and ERM, and provides a mechanism for communicating and cascading Board and Senior Management approved risk strategies and desired risk profiles into tolerances and limits that can guide day to day decision making. In essence, risk tolerances are a quantitative extension of risk strategy. A link between risk tolerances and risk limits will be provided through the introduction of the risk budget concept. We will also discuss how risk tolerances, defined at the enterprise risk level, are connected to risk limits employed for day-to-day local management decisions. We will discuss at least one case study to illustrate these concepts.
Source:
2016 Enterprise Risk Management for the P&C Actuary
Type:
Concurrent Session
Moderators:
Sandy Santomenno
Panelists:
Kevin Madigan, Jason Abril
Comparison of Regulatory Required Capital by Regime
Global insurers are challenged by the need to comply with regulatory regimes worldwide, each with differing capital and reporting requirements. These insurers need to consider the ramifications of these regulatory requirements on risk and capital management actions by developing an understanding of the technical nuances underpinning the requirements promulgated by each regulatory regime.
This session will demonstrate key differences by offering a comparison of the regulatory required capital of a fictionalized P&C insurance group adopting the respective regulatory prescribed formulas of several regimes including the following: US (NAIC RBC), Bermuda (BMA BSCR), and Europe (SII Standard Formula).
In addition we will examine other features of the regimes’ regulations that may have an impact on required capital and will summarize the benefits and potential pitfalls of operating within each regime.
Source:
2016 Enterprise Risk Management for the P&C Actuary
Type:
Concurrent Session
Moderators:
Wesley Griffiths
Panelists:
Maryellen Coggins, Jed Isaman
Lessons Learned Through the Economic Capital Modeling Process
A case study of one company’s successes and challenges faced during the economic capital modeling (ECM) process, the steps of this process being:
• Parameterization, and transferring ownership of this to business experts.
• Validation of the model to identify limitations.
• Using the model in the wider business (e.g. determination of risk margin for financial reporting).
• Improving the modeling process and outcome through the feedback loop.
A key theme to be discussed will be on improving the collaboration between key internal stakeholders and ECM actuaries, and how this leads to better use of the ECM for decision making in the business. This is intended to be an interactive session, inviting discussion.
Source:
2016 Enterprise Risk Management for the P&C Actuary
Type:
Concurrent Session
Moderators:
Wesley Griffiths
Panelists:
Andrea Cablayan, Daphne Lum, Krishaanth Shanthikumar, Pinkal Pandu
ERM Townhall Debate
Join us for a lively, interactive, town hall discussion regarding current ERM hot topics. Bring your thoughts and opinions on what is working, and what is not. Potential topics to include:
· Stochastic vs. Scenario Testing – which is better when?
· Emerging Risk Monitoring – Are we kidding ourselves, or is there a systematic way to do this?
· Economic Capital Models – What should be the goal, what risks should we be attempting to include?
Additional topics to be added through a survey sent to all registered attendees. Come for the fun, stay for the cocktail reception afterwards.
Source:
2016 Enterprise Risk Management for the P&C Actuary
Type:
General Session
Moderators:
Ken Easlon
Panelists:
Barry Franklin, Kevin Madigan, Stephen Mildenhall, Parr Schoolman, Mark Verheyen
An Update from Admissions
Topics will include how CAS Admissions is addressing specific suggestions from a candidate working group session; incorporating technology into the examination process; restructuring the Admissions department and related volunteer opportunities; and other priorities for the coming year. The content will be similar to that presented at the 2015 Annual Meeting but candidates are still welcome to attend to interact with the presenters.
Source:
2016 Spring Meeting
Type:
Concurrent Session
Moderators:
Ken Easlon
Panelists:
Steven Armstrong, William Wilder, Hal Pedersen, Michelle Iarkowski, Edward Yao, William Courchain
Variance Paper #1
#1: Advances in Common Shock Modeling
In this session, the concept of Common Shock, or Contagion, modeling will be introduced through an illustration of its incorporation within traditional collective risk modeling. In particular, the ease of implementation within Frequency, Severity, or Aggregate Loss simulation procedures will be described. Closed-form expressions for the resultant volatilities and correlations will be presented, as well as the ability of the model to produce empirically consistent correlations, across several lines of business, using only a parsimonious set of parameters. Finally, the results from several case studies, employing empirical industry data, will be used to demonstrate the expediency of Common Shock modeling for reinsurance treaty pricing and risk aggregation.
#2: Risk Classification for Claim Counts and Losses Using Regression Models for Location, Scale and Shape
In this paper, the concept of employing regression models for location, scale and shape for pricing risks through ratemaking based on a priori risk classification will be discussed. The differences between these models will be analyzed through the mean and the variance of the annual number of claims and the costs of claims of the insureds, who belong to different risk classes and interesting results about claiming behavior will be presented. Furthermore, the resulting a priori premiums rates will be calculated via the expected value and standard deviation principles with independence between the claim frequency and severity components assumed.
Source:
2016 Spring Meeting
Type:
Concurrent Session
Moderators:
Wenwen Salerno
Panelists:
Paul Ferrara, Wesley Griffith, Nikolaos Frangos, Z. Ming Li
Research Topic: The Low Interest Rate Environment & ACA Impacts on Workers Comp and Auto
The Low Interest Rate Environment Working Party Report
The Low Interest Rate Environment Working Party was formed to investigate the impact of the historically low interest rates on P&C insurance companies. In particular the question of whether insurers were taking greater risk in their investments was considered, and whether a sudden rise to more historically normal rates would cause problems within the industry.
Impact on Workers Comp and Auto of the Affordable Care Act: A Research Project of the Health Care Issues Committee
Despite the fact that U.S. Workers' Compensation (WC) systems provide tens of billions of dollars in medical care each year, relatively little is known about how changes in health insurance availability affect the incidence and nature of WC claims, and the theoretical relationship is ambiguous. In this paper, we use the Affordable Care Act's young adult dependent coverage expansion to measure the effect of health insurance expansions on WC claim frequency and severity. Using millions of hospital records drawn from four large states with distinct WC systems, we find that a 25% reduction in uninsurance in the affected population was associated with a 4%-8% drop in WC bills. This decrease was driven by harder-to-verify conditions, such as strains and sprains, as well as more expensive WC claims. These results suggest that the Affordable Care Act's coverage expansions may serve to broadly, albeit modestly, lower costs in the WC system.
Source:
2016 Spring Meeting
Type:
Concurrent Session
Moderators:
Wenwen Salerno
Panelists:
Chris Gross, Paul Heaton, Jonathan Taccone, Philip Armour
Insuring the Future: How Emerging Technologies Are Changing the Face of Risk
The wireless and connected world is just beginning to change the way we live. It may not be long before driverless cars are taking people to work, drones are delivering packages to your door, and people are controlling their home heating systems, laundry machines, and coffee makers from their mobile phones. In this session we will explore how new technologies could have an impact on potential insurance claims. This session will also address how insurers can plan for and assess emerging risks -- how early recognition and assessment of potential loss exposures from these and other emerging risks can help carriers anticipate and prepare for underwriting and claims pitfalls, disruptive financial consequences, negative customer reaction, and other downstream ramifications.
Understanding the loss potential as well as growth opportunity of emerging risks is critical and successfully doing so will better position insurers to meet the needs of today's policyholders and the changing marketplace for years to come.
Source:
2016 Spring Meeting
Type:
General Session
Moderators:
Esther Becker
Panelists:
Kevin Bingham, Charlie Kingdollar, Michael Doyle, David Cummings
Cyberrisk
Cyber risk has rapidly become a major concern for businesses and governments worldwide. Insurance coverages for this risk is changing rapidly as new breaches and legal theories are being formed. This session will address the different cyberrisk coverages and how the insurance market is responding to the demand for this coverage. Underwriting and actuaries must work closely together since pricing this coverage is difficult due to the lack of historical data and changes made to the policy coverage.
Source:
2016 Spring Meeting
Type:
General Session
Moderators:
Esther Becker
Panelists:
Carl Ashenbrenner, Eduard Goodman, Jeremy Ong, Robert Hayes
Twenty Five Years of Actuarial Research: Successes and Open Problems
The past quarter century has seen many advances in actuarial and risk management science. The role and importance of actuaries, and especially property casualty actuaries, has increased enormously, and actuaries are now employed in disciplines that did not exist or were only beginning to become established in the early 1990s.
This session will survey research and technical developments in actuarial science broadly, discussing the progress we have made as well as the important current issues in need of additional research. The talk will be arranged around four key research areas:
Predictive modeling
Catastrophe modeling
Capital modeling and Enterprise Risk Management
Loss Reserving
Stephen Mildenhall will speak for the first half of the session, the panelists will respond, and then we will have extended Q&A with the attendees.
Source:
2016 Spring Meeting
Type:
General Session
Moderators:
Esther Becker
Panelists:
Stephen Lowe, Stephen Mildenhall, Stephen D'Arcy, Benoit Carrier
Generalized Linear Models with Correlated Frequency and Severity --- Theory and Case Studies for Ont
Ontario's auto insurance system is not working. In 2013, Ontario drivers spent more than 5% of their disposable income on auto insurance on average. A series of reforms were implemented to reduce the premium. Ontario customers are very sensitive to premium changes and shopping hard on the market to get the best deal for their cars, houses and toys.
In such a heavily regulated and highly competitive market, more accurate and precise predictive analytics and modelling are needed to gain competitive advantages. While GLM becomes a standard methodology in personal auto pricing in many companies, actuaries could still add value by improving the current process and assumption.
In the current GLM modelling practice, actuaries normally have two separate models as one for frequency and one for severity. Then, the simple multiplication of the predicted frequency and severity is the modeled pure premium by assuming no correlation between frequency and severity. This method will skew pure premium because the frequency and severity are indeed negatively correlated in most cases.
This presentation will show how actuaries could add value by quantifying the bias of the estimated pure premium from the zero correlation assumption. Two case studies will be provided to illustrate how this theory could be used in actuaries' daily works. We will show that first the dependency levels are different for third party liability (TPL) and physical damage (PD) coverages; second, the impact on the pure premium for TPL and PD heavily depends on the dependency level; third, the pure premium estimation could be improved significantly by removing this bias.
Source:
2016 Spring Meeting
Type:
Concurrent Session
Moderators:
Esther Becker
Panelists:
Fransis Gribbon, Anh Tu Le, John Zhou
Fair Valuation of Insurance-Linked Securities and Fully Collateralized Reinsurance
The Insurance-Linked Securities (ILS) and fully collateralized reinsurance markets grew exponentially during the past several years, driven primarily by the low interest rate environment and investors' desire to search for returns uncorrelated to the traditional financial markets. Despite this growth, the ILS and fully collateralized reinsurance markets are thinly traded and market prices are determined mainly on a subjective basis by a very limited number of parties directly involved in the transaction. In order for ILS and fully collateralized reinsurance to be considered as legitimate asset classes by the investment community and to maximize their liquidity, a robust fair valuation framework has been developed which incorporates three key factors:
risk run-off due to seasonality and actual events;
general market price movement reflecting supply and demand; and
macroeconomic conditions, particularly interest rates.
This presentation will provide details on how each of these three important factors is determined and utilized to assess the fair valuation of individual transactions. With this more rigorous framework, fund managers and independent third parties can objectively evaluate the fair valuation of an ILS or fully collateralized reinsurance portfolio in much more detail using this scientifically sound approach. More secondary trading of this market and increased overall liquidity should result from this robust fair valuation framework. Also, this framework can be utilized to build forward-looking tradable indexes. Those indexes can be used to construct exchange traded funds (ETFs) for cat risk, which will allow participation from individual investors.
Source:
2016 Spring Meeting
Type:
Concurrent Session
Moderators:
Esther Becker
Panelists:
Lixin Zeng, David Snow, Kevin Huang, David Third
Disruptive Forces Facing the Insurance Industry
In recent years, we are seeing major shifts and trends that point to where the insurance industry is headed long-term. Widespread adoption of mobile technologies is streamlining communication like never before, and unlike past years, the majority of insurance companies, customer interactions are now happening online without ever speaking face-to-face and are creating more transparency for the consumer. Sharing economy (ride sharing, home sharing, etc), driverless cars, smart homes, and other technological advances are changing insurance exposures. This session will focus on the following latest disruptive trends affecting the insurance industry:
The power of true shopper data from unbiased digital marketplaces (with multiple carriers), to build or optimize new insurance products.
The immediate impact on insurance caused by millennial shoppers & the global shift to mobile transactions.
Ride Sharing: Understand the growth in the ride sharing economy and how that impacts personal auto insurance as we traditionally understand it.
Source:
2016 Spring Meeting
Type:
Concurrent Session
Moderators:
Esther Becker
Panelists:
Carolyn Yau, Anita Sathe, James Guxzcza, Keith Moore
China's Reinsurance Market Update
As the insurance market continues to grow in China, the opportunity for new reinsurance products and services has been growing significantly accordingly. In this session, the panel will discuss the current China reinsurance market development, including: China reinsurance market overview; global vs. local reinsurance players in China; new reinsurance products such as Cat bond; impact of C-Rross solvency regulation on insurers' asset liability matching requirement; and adoption of analytics capability such as Cat modeling and predictive modeling.
Source:
2016 Spring Meeting
Type:
Concurrent Session
Moderators:
Esther Becker
Panelists:
Jun Yan, Xiaoxuan (Sherwin) Li, Weishu Fan
China's P&C Insurance Market Current Advancements and Future Challenges
After significant growth over the last few decades, the China insurance market is facing a wide variety of new opportunities and challenges, especially due to the moderation of overall economy growth. In this session, a panel of senior executives from China will share with the audience their views on the current advancements and future challenges:
China P&C market overview
New and creative P&C insurance products
UBI application in auto insurance
pdate on auto insurance reform
Rise of the direct web based distribution channel
Demand of P&C actuaries with international experience
Source:
2016 Spring Meeting
Type:
Concurrent Session
Moderators:
Esther Becker
Panelists:
Cheng-Sheng Peter Wu, Sen Chen, Yuanli Zhu, Chunfang Xue
The Biggest Problem with Your Pricing Model is your Reserving Model
Using historical data to develop a rate plan requires assumptions about loss development. Often these assumptions are broad and do not distinguish between very different loss development tendencies across rating variables. Biased pricing indications are the natural result. If the company is conservatively reserved, with case savings common, slower developing classes of business are likely to be overpriced. If case-incurred losses tend to develop upward, the slower developing classes are likely to be underpriced. By changing the reserving model paradigm from triangle squaring to one that reflects differences across all of the rating variables, these issues are revealed. The differences in indicated rating factors are often dramatic.
Source:
2016 Spring Meeting
Type:
Concurrent Session
Moderators:
Esther Becker
Panelists:
Andrew Doll, Chris Gross
Weaving ERM into Operations
Enterprise Risk Management has been around now for a while. Companies and rating agencies understand its importance. However, how are these companies implementing it? This session will discuss the process of moving from initial discussions of ERM to a full blown implementation of an ERM plan within a company.
Source:
2016 Spring Meeting
Type:
Concurrent Session
Moderators:
Esther Becker
Panelists:
David Snow, Kenneth Van Laar, David Ingram, Jason Christopherson
Advanced Predictive Modeling in Ratemaking and Reserving
In this session, we will describe a few modern techniques and show how valuable they can be when applied to ratemaking and reserving. For ratemaking, we will discuss how to incorporate spatial information in an efficient and structured way. For reserving, we will show how to flexibly incorporate information from similar lines, allowing those most similar to have the largest impact. We will also discuss model adjustments to improve both prediction and interpretability.
Source:
2016 Spring Meeting
Type:
Concurrent Session
Moderators:
Esther Becker
Panelists:
Peng Shi, Brian Hartman
Washington Rate Filings: From Initial Filing Submission to Approval
The Washington State Office of the Insurance Commissioner (OIC) is known for being detailed and thorough in its review of property and casualty rate filings. From the review of rate-of-return assumptions and multivariate analyses to the validation of catastrophe models, the OIC carefully scrutinizes the actuarial aspects of rate filings. In this session, the OIC's P&C actuarial staff will provide guidance on how insurers can present rate filings in a way that streamlines the review and approval process, and avoids common pitfalls that tend to delay filing approval. Time permitting, they will also discuss whether some of the supporting information in a P&C rate filing might be an actuarial communication and thus subject to ASOP 41.
Source:
2016 Spring Meeting
Type:
Concurrent Session
Moderators:
Esther Becker
Panelists:
D. Lee Barclay, Daniel Forsman, Eric Slavich, Manuba Mizushima
