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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.
Stress and Scenario Testing for Advanced ERM
Our panel of experienced practitioners will discuss current applications and areas for growth and improvement in stress and scenario testing for P&C insurers and reinsurers. Stress and scenario testing is required by regulators and the advanced practitioner understands the usefulness beyond simple capital adequacy and ORSA requirements. Internally, companies utilize stress and scenario testing for pricing, strategy, capital analysis, risk management, and model validation. There are many approaches and alternative benefits to stress and scenario testing, including: stochastic versus deterministic tests, stress versus scenario testing versus "what-if" analysis. Our panel will discuss best practices and practical ideals for us as risk managers and advanced practitioners to improve our models and analysis through stress and scenario testing.
Source:
2015 Enterprise Risk Management for the P&C Actuary
Type:
General Session
Moderators:
John Zhou
Panelists:
Pierre Laurin, Rachel Bardon, Thomas Hartl, Maryellen Coggins, Gero Michel, Elizabeth Cartier
Model Governance: What Could Possibly Go Wrong?
An interactive session designed for paired teams (with 5 or 6 members in each) to explore model governance. Teams in turn will role-play insurer management teams - with supplied pre-prepared material including roles of CEO, CRO, Head of Capital Modelling, Head of Reinsurance, Audit Committee chairperson, Commercial Director, Head of Investments.
The other team (in each pair of teams) will act as reviewer of the model governance as it is presented by the first team. The other team will attempt to find the weaknesses or failures and then to make recommendations for improving model governance.
The teams will then swap around and a second case study will be worked through with a different set of pre-prepared materials.
The materials will be based on real case studies from single insurers and national and international insurance groups. The materials are mocked-up including extracts from:- (a) board agenda and papers relating to ECM (b) proposals for ECM design (c) numerical examples of parameterisation (d) extracts for several distinct uses of the ECM (e) validation results (f) samples of internal and external audit review (g) historical threads of emails between individuals in the case study insurer?s management team (h) external analyst and rating agencies reports.
The case studies allow the session?s participants to work through common failings in model governance: (a) overly-isolated modelling teams (b) poor intra-company comms (c) low involvement beyond confines of actuarial and modelling (d) unstable models (e) weak linkage to and from wider risk management (f) inadequate involvement, understanding, knowledge and approvals from companies? leadership.
Source:
2015 Enterprise Risk Management for the P&C Actuary
Type:
Concurrent Session
Moderators:
Evan Petzoldt
Panelists:
David Payne, David Paul, Miles Allkins
Managing Reserve Risk: A Partnership between ERM and Corporate Actuarial
Attendees are encouraged to come prepared to discuss the following topics with our experienced panel comprised of two actuaries from ERM functions and two from corporate actuarial functions, with a focus on how these two groups can work together to help P&C insurers manage their reserve risk.
• Coordination, collaboration, and communication regarding the evaluation and monitoring of reserve volatility.
• The ability to arrive a cohesive view of reserve risk given differing uses of ERM / corporate actuarial work product and differing data segmentation needs.
• Challenges posed by latent liabilities / mass torts.
• How can risk appetite, tolerances, and limits framework by applied to reserve risk management?
Source:
2015 Enterprise Risk Management for the P&C Actuary
Type:
Concurrent Session
Moderators:
Evan Petzoldt
Panelists:
Kevin Madigan, Susan Witcraft, Sarah Krutov, Jeffrey Pfluger, Ronald Swanstrom
Managing and Governing Pricing Risks
The emphasis on establishing robust controls and effective model governance framework for actuarial models has continued to grow, along with the scrutiny on actuarial models from regulators, external auditors, and management. In response, the industry’s application of actuarial model controls has continued to develop as more companies understand the importance of actuarial model governance and controls and the value they bring to an organization. In this session we will discuss model risk governance and a validation framework in General Session, and then explore model risk specifically in terms of the unique risks associated with the use of catastrophe models.
Source:
2015 Enterprise Risk Management for the P&C Actuary
Type:
Concurrent Session
Moderators:
Evan Petzoldt
Panelists:
Cheng-Sheng Wu, Parr Schoolman, David Shleifer, Gero Michel
Estimating Effect of Correlation Between Lines on Total Reserve Distribution
This session will illustrate how to estimate the effect of correlation across lines of business when estimating the total reserve distribution. There are three steps involved in the process:
1) Develop stochastic reserve models for each line of business that identify the effect of inflation on incremental payments;
2) Calculate the correlation between classes excluding the effect of inflation;
3) Join the reserve model results and correlation via simulation.
Source:
2015 Enterprise Risk Management for the P&C Actuary
Type:
Concurrent Session
Panelists:
Michael Larsen, Thomas Struppeck
Enterprise Risk Modelling: Beyond Basic Capital Modelling
Historically, many companies have developed ERM models to evaluate a single question: how much capital do we need to support our business over the next year? Increasingly, these companies are realizing that this definition of risk is overly simplistic. In reality, their perspective encompasses a wide range of different dimensions: alternative measures (e.g. NAICs RBC ratio), multiple time horizons, even multiple points on the probability spectrum. Unfortunately, developing a model to be able to address this more robust picture of risk is not as easy as bolting on additional years of business onto existing systems. Specifically, companies need to address a number of key questions like: How should we link one year's business to the next? Are there additional risks that we need to consider modelling? How should we incorporate management decisions into the extended framework? In this session, we will draw on our years of working with clients on these types of models to help shed some light on how to successfully make the transition.
Source:
2015 Enterprise Risk Management for the P&C Actuary
Type:
Concurrent Session
Moderators:
Evan Petzoldt
Panelists:
Daniel Finn, Adam Troyer
Emerging Risks
This session will review the 8th annual Survey of Emerging Risks, authored by Max Rudolph and sponsored by the Joint Risk Management Section of the CAS, CIA, and SOA, sharing new information learned and comments from risk practitioners. Some risks will be explored more deeply. This session will also elaborate on emerging risks.
Source:
2015 Enterprise Risk Management for the P&C Actuary
Type:
Concurrent Session
Moderators:
Evan Petzoldt
Panelists:
John Pierce, James Rech, Dave Moore
The Case for Prioritizing Model Risk Management
Data and analytics are penetrating all industries and functions. Google and startups like Zenefits are taking on the Insurance sector through data mining and model building. The effective use of models is becoming increasingly critical to profitability. At the same time, proactive model risk management organizationally and/or within Enterprise Risk Management is increasingly vital for an insurer’s long term success. Many organizations already have dozens, if not hundreds, of models. Yet many would struggle to identify all their models and respective uses. Without a framework for proper model risk management, decision makers may be reluctant to utilize model results or, worse yet, base their decisions on faulty information. This session will present some simple to implement best practice model management techniques that all organizations should consider to improve reliability of their in-house decision support.
Source:
2015 Enterprise Risk Management for the P&C Actuary
Type:
Concurrent Session
Panelists:
Alietia Caughron, Vikas Shah
Allocation Criteria
Typical reasons for allocation are risk pricing and identification of portfolio concentrations. Two intuitive business criteria lead to specific allocation rules for identification of concentrations, and one more criteria is needed for reasonable risk price/profitability analysis. In addition, one must consider allocation of the diversification benefit when allocating company risk measures down to business units. Specific examples will be given with some fairly new risk and allocation methods.
Source:
2015 Enterprise Risk Management for the P&C Actuary
Type:
Concurrent Session
Panelists:
Gary Venter
Research Paper Session #2 - Incorporate the Dependence Structure between Frequency and Severity in Estimating Pure Premium
GLM becomes a standard methodology in personal auto pricing in many companies. In most of the practice, independence between frequency and severity is an implicit assumption. However, from the empirical data, it is quite often to see the pattern that the higher the severity the lower the frequency and vice versa. In a mathematical word, the frequency and severity are negatively correlated. If we ignore this negative correlation, the pure premium will be overestimated in most cases. This research uses the copula theory to link the frequency and severity to have the correlation being explicitly modelled. This research concludes that by taking into consideration of the correlation between the frequency and severity, the pure premium estimated from the GLM could be more accurate, and hence more precise segmentation could be achieved.
Source:
2015 Spring Meeting
Type:
Paper
Moderators:
Scott Lefkowitz
Panelists:
Jun Zhou
Research Paper Session #1 - Workers Compensation Large Loss Regression Analysis
Actuaries have been studying loss distributions since the emergence of the profession. Numerous studies have found that the widely-used distributions such as lognormal, Pareto, and gamma do not fit insurance data well. Mixtures distributions have gained popularity in recent years because of its flexibility to represent losses from various sizes of claims, especially on the right tail. To incorporate the mixture distributions into the framework of popular generalized linear model (GLM), the authors propose to use Finite mixture model (FMM) to analyze insurance loss data. The regression approach enhances the traditional whole-book distribution analysis by capturing the impact of individual explanatory variables. FMM improves the standard GLM by addressing the distribution-related problems such as heteroscedasticity, over and under dispersion, unobserved heterogeneity, and fat-tails. A case study on claims triage model using workers compensation data illustrates those benefits.
Source:
2015 Spring Meeting
Type:
Paper
Research Paper Session #1 - Estimating Insurance Attrition using Survival Analysis
Retention is an important factor that impacts both profit and growth of insurance companies. Conventional retention analysis, such as logistic regression, does not distinguish two types of attritions: mid-term cancellation and end-term nonrenewal. In this paper, the authors propose to use survival analysis to estimate attrition and retention. Compared with conventional methods, the approach has three advantages: 1) it addresses not only whether the policy will leave but also when it will leave; 2) it analyzes mid-term cancellation and end-term nonrenewal sequentially, and therefore provides a dynamic insight of retention, which improves the static view derived from snapshot data; 3) it can take into account time-varying macroeconomic variables, and would help researchers to understand how insurance retention is impacted by the broader economic environment. A case study illustrates the technique from creating the panel data required by survival analysis to interpreting the model results.
Source:
2015 Spring Meeting
Type:
Paper
What to Do with Data — Big and Unstructured?
Over the last few years not only has the actuarial profession but the general public as heard about BIG DATA! We hear about it so much that we are becoming numb to BIG DATA! Predictive modelers will always be looking for the next great data source to enhance their analytics. Unstructured data has slowly been introduced through text mining and data mining. With the explosion of BIG data and the emergence of non-numeric and non-text data sources, companies will need to identify ways to handle these novel forms of unstructured data.
Dr. Borba will explore how to manage and extract information from various unstructured data sources. Mr. Wing will discuss best practices on how to use visual imagery to build models and make informed business decisions. Mr. Mosley will discuss extensions of research that he has done with regard to mining text "tweets" to P&C insurance and how to derive real-time insights and to make business decisions based on social media data.
Source:
2015 Spring Meeting
Type:
General Session
Moderators:
Scott Lefkowitz
Panelists:
Roosevelt Mosley, Philip Borba, David Cummings, Douglas Wing
Climate Change: What Should We Do About It?
This panel will feature Lisa Dilling, who has published extensively in the fields of usable science, climate adaptation and policy. Lisa will share her expertise on the dynamics of vulnerability, the implications of the assumptions people make about why science is usable, and the potential for climate adaptation. Her comments will contribute to the ongoing debate about what can and should be done, both generally and within the insurance industry, about climate change. Representatives from the Climate Change Committee will provide the latest information on a joint effort between the CAS, SOA, AAA and CIA, which has been developing two climate indices to be published on a special purpose web site.
Source:
2015 Spring Meeting
Type:
General Session
Moderators:
Scott Lefkowitz
Panelists:
Doug Collins, Stu Mathewson, Lisa Dilling
Competition and Consolidation of the Reinsurance Market
Competition in the reinsurance industry is as intense as it has ever been, and opportunities for growth are limited by vast quantities of surplus capacity in many lines of business, as well as an influx of alternative capital from third parties. With a lack of major losses affecting the market during the past two years, companies in both the insurance and reinsurance markets are not capital stressed and reinsurers continue to compete using traditional and non-traditional products and services.
Concurrently, the M&A market is active as the insurers and reinsurers acquire new lines of business or consolidate.
This panel will discuss the current reinsurance market environment and how alternative forms of risk transfer are used in the marketplace as well as how M&A activity influences market pricing and activity.
Competition in the reinsurance industry is as intense as it has ever been, and opportunities for growth are limited by vast quantities of surplus capacity in many lines of business, as well as an influx of alternative capital from third parties. With a lack of major losses affecting the market during the past two years, companies in both the insurance and reinsurance markets are not capital stressed and reinsurers continue to compete using traditional and non-traditional products and services.
Concurrently, the M&A market is active as the insurers and reinsurers acquire new lines of business or consolidate.
This panel will discuss the current reinsurance market environment and how alternative forms of risk transfer are used in the marketplace as well as how M&A activity influences market pricing and activity.
Source:
2015 Spring Meeting
Type:
General Session
Moderators:
Scott Lefkowitz
Panelists:
Bradley Kading, David Flandro, Tim Tetlow, Sean McDermott, Michael Pedraja
Tax Issues for P&C Actuaries
This panel will focus on federal income tax issues that are of interest to P&C actuaries. In 2013, Acuity Insurance successfully defended its actuarially determined loss reserves as "fair and reasonable"against an IRS challenge, in an important case in the U.S. Tax Court. The session will include perspectives from a consulting actuary and an attorney who worked on the Acuity case (and other similar loss reserve tax challenges) as well as a former branch chief of insurance for the IRS who was central to the IRS™ efforts in this area. The panel will also discuss recent cases regarding the definition of insurance for taxation purposes.
Source:
2015 Spring Meeting
Type:
Concurrent Session
Moderators:
Scott Lefkowitz
Panelists:
Dick Riley, Sheryl Flum, Richard Yocius, Chuck Mitchell
The Role of an Actuary in PAS Implementation
Policy administration system implementation is a transformative undertaking for insurance companies that increases the efficiency, flexibility, analytics capability and ultimately provides a better experience to their customers. This session will focus on the vital role an actuary plays in this process in defining business requirements and ensuring adequate level of data capture for improved risk classification and analytics.
Source:
2015 Spring Meeting
Type:
Concurrent Session
Moderators:
Scott Lefkowitz
Panelists:
Anita Sathe, Catherine Pallivathuckal, Lyn-Ellen Maass, Nicholas Frank
Rocky Mountain High: Legalization and the Impacts on Insurance
This session will discuss the impact of marijuana legalization in Colorado and other states on the insurance industry. The session will start with a brief history of prohibition/legalization of marijuana. The session will then discuss how legal marijuana and its effects are currently insured in the marketplace. Next, the knowns and unknowns about the effects of marijuana on driving performance and crash risk will be discussed. Contrast and comparisons between alcohol and marijuana as relating to crash risk and impairment measures will also be discussed. This will be followed by Q&A from the audience.
Source:
2015 Spring Meeting
Type:
Concurrent Session
Moderators:
Scott Lefkowitz
Panelists:
Carl Ashenbrenner, Anne McCartt, Brenda Wells
Obesity Epidemic in Our Society (Impact on P&C Insurance Products and rates)
This session will discuss the implications of increasing obesity and the impacts on the workers compensation industry. Statistics of the proportion of WC tail claimants who are obese and some comparative examples of claim outcomes for normal weight vs obese claimants. Difficulties in the medical management of obese claimants compared to the morbidity tables in general will be discussed. This will lead into a discussion regarding Medical Dispute Resolution and the key linkage between utilization review (UR) and independent medical review (IMR).
Source:
2015 Spring Meeting
Type:
Concurrent Session
Moderators:
Scott Lefkowitz
Panelists:
Alex Swedlow, Bob Briscoe
The Next Frontier: Claims Predictive Analytics
Claims predictive analytics is the next frontier for insurers. Claims analytics can help insurers control claims costs, provide a competitive advantage and improve profitability in the process. This session will describe the Insurance Corporation of British Columbia's vision for claims analytics and describe how complimentary qualitative and quantitative analysis has helped ICBC understand the root causes behind increasing claims costs.
Source:
2015 Spring Meeting
Type:
Concurrent Session
Moderators:
Scott Lefkowitz
Panelists:
James Guszcza, Steve Yun, John Vavrik
Effective Presentations
Exceptional business presentation kills are essential for organizational success, positioning your team to consistently demonstrate confidence, credibility and expertise - prerequisites for cultivating successful relationships with both internal and external customers.
Whether you're an actuarial manager or Chief Actuary responsible for communicating the value of your actuarial decisions to the C-suite, or an actuarial associate charged with client or inter-department communication, your ability to effectively engage and persuade others ultimately dictates your level of success.
Effective Presentations™ experiential Business Presentation Skills workshops combine in-depth training with role-play, practical exercises and videotaped presentation practice. Its healthy and supportive learning environment enables CAS members to quickly master essential verbal and non-verbal skills, cultivate essential techniques for success, and immediately begin delivering more effective presentations!
Source:
2015 Spring Meeting
Type:
Concurrent Session
Panelists:
Mike Fruciano
Doing More With Less: Getting Better Value Out Of Your Current Data
Actuaries often have less data to use than ideal to ensure credible results, or too much for efficient calculations. Our session will focus on this theme of using data more efficiently and relating them to 1) a real world example during the financial crisis, 2) measure customer satisfaction, and 3) capital modelling. Various approaches/techniques will be explored to obtain credible results and real world applications along with their associated benefits will be emphasized.
Source:
2015 Spring Meeting
Type:
Concurrent Session
Moderators:
Scott Lefkowitz
Panelists:
Thomas Le, Neil Covington, Jenny Zhang
CAS Monograph Series - Stochastic Loss Reserving Using Bayesian MCMC Models
The emergence of Bayesian Markov Chain Monte-Carlo (MCMC) models has provided actuaries with an unprecedented flexibility in stochastic model development. Another recent development has been the posting of a database on the CAS website that consists of hundreds of loss development triangles with outcomes. This monograph begins by first testing the performance of the Mack model on incurred data, and the Bootstrap Overdispersed Poisson model on paid data. It then will identify features of some Bayesian MCMC models that improve the performance over the above models. The features examined include (1) recognizing correlation between accident years; (2) introducing a skewed distribution defined over the entire real line to deal with negative incremental paid data; (3) allowing for a payment year trend on paid data; and (4) allowing for a change in the claim settlement rate. While the specific conclusions of this monograph pertain only to the data in the CAS Loss Reserve Database, the breadth of this study suggests that the currently popular models might similarly understate the range of outcomes for other loss triangles.
Source:
2015 Spring Meeting
Type:
Concurrent Session
Panelists:
Glenn Meyers
Actuarial Modeling Techniques
The section will not go into the theory of why time series methods work.
Instead it will walk through a couple of simple, working examples of how this family of techniques could be applied in practice. The presentation will be constructed using SAS to run the time series analysis, but sample data sets and R code that can be used to do the analysis described in the presentation will be made available to assist those participants who want to apply these techniques in practice after seeing the presentation as will the SAS code. Time series models can be used in many settings which include parameterizing an Economic Capital model or estimating trend for ratemaking. We will cover some of the vocabulary used to describe time series models and suggest some additional sources for those who wish to learn more, but discussing the theory of time series analysis is beyond the scope of this presentation.
Testing Output of Economic Scenario Generators
One of the essential inputs for an economic capital model is a set of economic scenarios. Actuaries are often called upon to evaluate the reasonableness of these scenarios.
We address a basic way of doing such testing, namely comparing stochastic properties of the generated scenarios to observed properties of historical series. We did a literature search on observed properties, and updated a number of the studies. This provides a benchmark for comparison to generated output. The emphasis is on yield curves, as that is the most complex part of generated scenarios, but some other series are reviewed as well.
Source:
2015 Spring Meeting
Type:
Concurrent Session
Moderators:
Scott Lefkowitz
Panelists:
Gary Venter, Michael Larsen, Roman Gutkovich, Qian Gao
The Dynamic China P&C Market - An Update
Over the past decade, the China P&C insurance industry has achieved remarkable growth (compound annual growth rate of over 20%), reaching a total direct written premium of USD 122 billion in 2014. In August 2014, the central government announced a ten-point macro-policy measure to boost growth in the insurance sector, aiming to double the size of the industry in five years. With this backdrop, the market dynamics is shifting constantly, creating numerous challenges and opportunities for insurers and reinsurers. At this session, the panelists will discuss the latest China P&C industry trends such as the implementation of a brand new China Risk Oriented Solvency System (C-ROSS) and the introduction of auto insurance rate reform, both of which are expected to affect the market landscape for years to come. They will also discuss the recent merger & acquisition activities involving China insurers, and provide a comparison of the US and China P&C market, including regulations, market players, business mix, pricing, capital, distribution, underwriting and investment performance.
Source:
2015 Spring Meeting
Type:
Concurrent Session
Moderators:
Scott Lefkowitz
Panelists:
Robert Conger, Li Zhang, Bo Huang, Qian Tao
