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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.
Research Paper Session #2 - Actuarial Portfolio Management of Infrastructure Service Contracts
A firm will replace a physical asset at the end of its useful life. This fact demonstrates that there is a notion of mortality implicit in the way an enterprise manages its physical assets. We propose a theory that there is also an efficient time to replace a physical asset that is random and observable. Separate economic and financial models converge on agreement that: 1) there is only one instant in time that an asset must be replaced in order to minimize the present value cost impact to the enterprise, 2) that this efficient instant is observable, and a function of both the enterprise's cost of capital and readily obtainable current calendar year information, and 3) that the time to this efficient instant is random, and may be infinite. Through a policy of coordinating the timing of replacements with these efficient, observable instants, lost efficiencies are recovered. Such a policy necessarily creates volatile, fortuitous, future cash flows, which are dealt with through capital adequacy or risk transfer, rather than deferral or other forms of scheduling for convenience. The efficiency gains and accompanying value creation may be material if the enterprise's assets are mostly physical.
The potential role of the extended service contract to implement such a policy, and to transfer the resulting uncertain cash flows between entities, is reviewed. A broad comparison to prior art capital expenditure planning methods is made. Possible tax consequences due to the interaction between efficiency and fortuity are discussed.
Source:
2015 Spring Meeting
Type:
Paper
Moderators:
Scott Lefkowitz
Panelists:
Tom Wendling
Impact of Medicare
Section 111 of the Medicare, Medicaid, and SCHIP Extension Act of 2007 (MMSEA) requires insurers and self-insureds to notify Medicare about claims involving ongoing medical treatment and lump sum settlements received by or on behalf of Medicare beneficiaries. Although Medicare has long been the secondary payer for medical services received by individuals 65 and over, Section 111 changed the reporting requirements and these changes may increase the losses paid by insurers and self-insureds. In this session, we will identify potential implications of Section 111 for a practicing casualty actuary. We will discuss the potential impacts from several perspectives - practicing claims and actuarial professionals; hypothetical case studies; the process of estimating the impact of Section 111 reporting requirements by applying assumptions to aggregate data for work-related and automobile injury insurance claims.
Source:
2015 Spring Meeting
Type:
Concurrent Session
Moderators:
Brian Jones
Panelists:
Philip Borba, Guy Avagliano, Christine Fleming
Ebola
This session will address the P&C impacts of illness caused by the Ebola virus.
Source:
2015 Spring Meeting
Type:
Concurrent Session
Moderators:
Brian Jones
Panelists:
Martin King, Gisele Norris, Nancy Green
Price Optimization: Methods and Ethics
Recently, there is quite a lot of interest and concerns around price optimization. Per the Actuarial Statement of Principles (ASOP) Regarding Property and Casualty Ratemaking, Actuaries develop a rate which reflects the expected cost of a risk. From the considerations in the same ASOP, business decisions and actuarial judgment are then almost always used to select prices that deviate from the rate. Price optimization is a recent discipline which provides a more rigorous framework to this problem. This framework uses demand models in the process of selecting a price that differs from the rate. While Price Optimization has been historically accepted in actuarial pricing in informal ways, the current formal practice is considered controversial. Join us as we discuss the various optimization methods; discuss recent litigation; and summarize regulatory/NAIC actions to date.
Source:
2015 Spring Meeting
Type:
Concurrent Session
Moderators:
Brian Jones
Panelists:
LeRoy Boison, Serhat Guven, Arthur Schwartz
Parameterizing Collective Risk Models
I will present a variant of the familiar Collective Risk model for simulating insurance losses. This method preserves in full the implied dependence structure between large and small losses. Closely related is a "common shock" model to reflect correlation between multiple lines of business, and across underwriting periods. This allows for a wide variety of correlation structures while requiring a low number of independent parameters.
Finally, we will note the implicit constraints that can be exploited in parameterizing the model. Applications to reinsurance pricing will be given,
Source:
2015 Spring Meeting
Type:
Concurrent Session
Panelists:
Richard Rosengarten
Predicting Hurricanes
Be one of the first to hear Colorado State University's forecast for the 2015 Atlantic hurricane season. Presenters will also discuss longer-term Atlantic hurricane variability, along with catastrophe risk models commonly used by insurers to quantify and mitigate hurricane risk.
Source:
2015 Spring Meeting
Type:
Concurrent Session
Moderators:
Brian Jones
Panelists:
Prasad Gunturi, Kim Kurban, Phil Klotzbach
Inflation from All Angles
A tightening labor market could introduce higher interest rates and moderate inflation in the next few years. So much time has passed since inflation last accelerated that even moderate inflation could have unwelcome consequences. This session will examine how a new spate of inflation would affect insurance companies pricing and balance sheets. It will also examine what actuaries can learn by looking at alternatives to the standard trend analysis.
Source:
2015 Spring Meeting
Type:
Concurrent Session
Moderators:
Pong Woo
Panelists:
Steven Weisbart, James Lynch
Cyber Risk and How it Affects Us
Virtually every organization is exposed to privacy and data security risks and a commercial firm's risk of loss to these types of exposures have become widely recognized. The terms "cyber" and "cyber liability," however, may mean different things to different people and the risks are no longer just about data breaches.
Attend this session to learn about cyber risk insurance, the latest marketplace trends and cyber-related emerging issues.
Also learn about how the ever changing cyber exposure might be quantified through the use of models.
Source:
2015 Spring Meeting
Type:
Concurrent Session
Moderators:
Kevin Roll
Panelists:
Tomas Girnius, Joe Palmer, Anne Mason, Eduard Goodman
CAS & You for New Fellows
The CAS is the organization that has provided New Fellows with development and learning opportunities through the examination process. Do you know the mission of the CAS, its history, or governance structure? Are you familiar with the member services available from the CAS? Members of the New Members Committee will provide this information and more. Here you will find information about the additional personal development and enrichment available through the many CAS volunteer opportunities.
Source:
2015 Spring Meeting
Type:
Concurrent Session
Moderators:
Kevin Roll
Panelists:
Shane Barnes, Kimberly Guerriero, Katey Walker, Paul Grammens, Matt Caruso
Homeowners Pricing Survey
In 2014 ISO and Earnix released the results of a joint industry study: Homeowners Insurance Ratemaking Approaches Survey.
This survey was conducted to help insurance executives uncover best practices in ratemaking approaches used by North American insurance companies in their homeowners business. Survey responses were collected online from 99 insurance professionals representing companies that sell homeowners coverage in the United States and Canada.
The survey covered key areas of homeowners pricing including:
How are predictive models used in homeowners pricing?
What catastrophe models are used in homeowners pricing?
How far has the industry gone in moving to by-peril rating? What is the expectation for the next few years?
What are the most commonly used external data elements in Homeowners pricing?
What is the current state of inspection of homes for underwriting or rating purposes
What are factors influencing a company's decision to file a rate change? How long does it take to implement the changes?
What are the major ratemaking process challenges?
What are the emerging issues that most concern the industry?
Real time polling will happen during the session so we can compare the results of the attendees to the industry results.
Source:
2015 Spring Meeting
Type:
Concurrent Session
Moderators:
Kevin Roll
Panelists:
Robert Curry, Jared Smollik, Drew Lawyer
Workers Compensation
This session will provide a review and analysis of current workers compensation results including trends, cost drivers and the significant new developments effecting the industry. A discussion of probable impacts of the trends and the results on workers' compensation reinsurance underwriting.
Source:
2015 Seminar on Reinsurance
Type:
Concurrent Session
Moderators:
Kevin Roll
Panelists:
Sean Cooper, Brian Johnson, Pat O'Dell
Runoff Reinsurance
This session will cover several case studies of runoff solutions. This will provide an understanding of different types of runoff solutions, the motivations of buyers and sellers, the complexity of the runoff due diligence work, the importance of good underlying actuarial data, and the key characteristics of successful deals. Through discussion of case studies, the session will examine various types of reinsurance solutions as well as the “sale of the company� solution. Finally, the various issues that arise in the management of a runoff portfolio post-transaction will be discussed.
Source:
2015 Seminar on Reinsurance
Type:
Concurrent Session
Moderators:
Kevin Roll
Panelists:
William Miller, Todd Cheema, Steve Talley
Structured Reinsurance Refresher: Motivations, Features, Examples, and Risk Transfer Considerations
An overview of the current state of structured reinsurance, including General Session characteristics of structured deals, client motivations, examples of transactions, and risk transfer considerations.
Source:
2015 Seminar on Reinsurance
Type:
Concurrent Session
Moderators:
Kevin Roll
Panelists:
Seth Ruff, Kenneth Kruger, Joshua Fishman
Trends and Developments in Hurricane Forecasting
The last several North Atlantic hurricane seasons have been relatively quiet for insurance carriers - nevertheless, a major hurricane represents one of the largest potential sources of loss to the industry. In this session, representatives from the meteorological community and the reinsurance industry will discuss recent developments in long-term and live event hurricane forecasting. In particular, the focus will be on considering how breakthroughs in the research world translate into business opportunities, and what types of forecasting improvements might be of the most use to the reinsurance industry.
Source:
2015 Seminar on Reinsurance
Type:
Concurrent Session
Moderators:
Kevin Roll
Panelists:
Mark Bove, Gabriel Vecchi
Flood Modeling: Challenges and Solutions
In this session, we will have speakers coming from various modeling companies discussing flood risk modeling.
We will open our session discussing key decisions to be made when modeling flood risk and factors to be considered when evaluating models. Risk metrics that can be derived from flood risk models will be presented. Then we will move on to a specific cause of flood risk, flood caused by storm surge. We will present the unique set of challenges due to the large spatial scale and large number of events in flood modeling with respect to storm surge caused by US hurricanes. Lastly, we will review how flood models are used within the Private market sector to Underwrite and Price Flood exposure – for both Primary and Reinsurance solutions.
This session welcomes inexperience and experience professionals.
Source:
2015 Seminar on Reinsurance
Type:
Concurrent Session
Moderators:
Kevin Roll
Panelists:
Guy Morrow, Zilan Shen, Kunst Howard, Mark Hope
Crop Insurance Ratings, Reinsurance, and Performance
This session will provide a General Session overview of the state of the market for Crop Insurance.
Source:
2015 Seminar on Reinsurance
Type:
Concurrent Session
Moderators:
Kevin Roll
Panelists:
Subhayu Bose, Bruce Sherrick
2015 Reinsurance Call Paper Program Session 2
Paper 1: Sharpe Ratio Optimization of an Excess Loss Reinsurance Contract (Reinsurance Prize Winner)
Effects of the sharing and layering of losses by means of an excess of loss reinsurance contract are examined. In particular, the covariance of loss at any given position across the layers of an excess of loss reinsurance contract as a function of the first and second moments of the frequency and individual layer loss severity distributions is derived. Based on this result, a risk management application is presented and the Sharpe Ratio based investment equivalent paradigm for measuring profitability is explored.
Paper 2: An Enhanced Understanding of Using the RAA Excess Casualty Loss Development Study for a Reserve Analysis
This article explores the differences between the various studies published by the RAA over the years. In comparing the reporting patterns for the different lines of business in the RAA study, I attempt to determine what factors can have an effect on the reporting patterns. Based on the data I show that these factors include the underwriting cycle, data quality and data manipulation to minimize the impact of any one company. I also show how the actuary can incorporate this information in using the RAA data in his reserving analysis.
Source:
2015 Seminar on Reinsurance
Type:
Concurrent Session
Moderators:
Kevin Roll
Panelists:
Chaim Markowitz, Sameer Nahal
2015 Reinsurance Call Paper Program Session 1
Paper 1: The Consideration of Loss Timing for Risk Transfer Analysis
The timing of all cash flows between a primary insurer and reinsurer is an important consideration when assessing a reinsurance structure for risk transfer. This paper specifically looks at the timing of losses associated with variations in loss and ALAE development patterns. We will illustrate the potential impact loss timing variability can have on risk transfer test statistics such as the ERD.
Paper 2: The Actuary's Role in Transfer Pricing (Reinsurance Prize Winner - Honorable Mention)
When related parties enter into cross border intercompany reinsurance, most countries require that the intercompany pricing be consistent with an "arm's-length standard." An arm's-length standard is an internationally accepted concept that the price of a transaction needs to be reasonably consistent with what would have been negotiated between unrelated parties. In the U.S., regulations governing the intercompany prices are in the Internal Revenue Code(RC) Section 482 and Treasury Regulations promulgated thereunder. The analysis and documentation surrounding these regulations is referred to as transfer pricing analysis. Actuaries often play a key role in creating transfer pricing documentation since it requires an in depth knowledge of reinsurance pricing and a fundamental understanding of the reinsurance market. In this paper, we will provide an overview of transfer pricing regulations and acceptable documentation. Further, we will explore and demonstrate the methods that are commonly used to support the pricing of such transactions, which include Return on Economic Capital, Market Based, Expected Profits, Rate-on-Line and Contract Comparison. We will also give practical examples and provide considerations for the actuary performing these analyses.
Source:
2015 Seminar on Reinsurance
Type:
Concurrent Session
Moderators:
Albert Zhou
Panelists:
Marc Oberholtzer, Lynne Bloom, Gerry Palisi, Peter Johnson
Surety Before and After: From Pricing to Adjusting
This session will cover the beginning and end of the Surety reinsurance process. We'll start with lessons from Surety exposure rating which could be applied to other lines of business as presented by an actuary. We’ll end with a discussion of the Surety claims adjusting process as presented by a real claims adjuster. Current claims management for Surety is unique in its many remedies and mitigation approaches and so this discussion may spark ideas which would be useful for non-Surety lines.
Source:
2015 Seminar on Reinsurance
Type:
Concurrent Session
Moderators:
Albert Zhou
Panelists:
Jason Masch, Kirsten Saunders, Kimberly Czap
Affordable Care Act Revisited
A veteran panel of underwriters, brokers and actuaries will discuss the current state of the medical liability insurance market and present expert opinion on the impact of the Affordable Care Act (ACA) in 2015.
Source:
2015 Seminar on Reinsurance
Type:
Concurrent Session
Moderators:
Albert Zhou
Panelists:
Kevin Bingham, Elke Kirsten-Brauer, Jennifer Middough
Current D&O Market and Emerging Trends
A highly experienced panel consisting of underwriters and actuaries will discuss current market conditions (rates, capacity, new entrants, stock market and its impact). In addition, this panel will address potential effects of QE: 1, 2, and 3 and the implications of interest rate increases.
Source:
2015 Seminar on Reinsurance
Type:
Concurrent Session
Moderators:
John Murphy
Panelists:
Athula Alwis, Thomas Iorio, John Burkhart, Michael Caufield
More Structured Reinsurance: Finding the Best Client Solution
This session will expand on structured reinsurance topics, discussing additional structures and tools to ultimately formulate the best solution to meet a client's situation.
Source:
2015 Seminar on Reinsurance
Type:
Concurrent Session
Moderators:
John Murphy
Panelists:
Todd Hess, Albert Zhou, Mandy Kisala
NAIC, ORSA and an Introduction to a China Risk Oriented Solvency System
This session will discuss US and China regulatory issues and challenges.
Source:
2015 Seminar on Reinsurance
Type:
Concurrent Session
Moderators:
John Murphy
Panelists:
Daniel Gibson, Steven Sumner, Subhayu Bose, Blanca Qin
Intermediate Experience Rating: Not All Models are Wrong
This session will cover a number of topics related to experience rating for reinsurance pricing. We will discuss the statistical model underlying the technique, along with the connection to GLM, and how recognizing the underlying model is useful for selecting best estimators and testing model assumptions. Next we will extend this concept to show how additional information can be incorporated in the model to account for changes in policy limits or mix of business. Much of this will be taken from the 2005 paper by Mata and Verheyen.
Source:
2015 Seminar on Reinsurance
Type:
Concurrent Session
Moderators:
Ernest Wilson
Panelists:
Dave Clark
Intermediate Track: Property Exposure Rating
This session will describe the steps that are necessary to produce appropriate property per risk exposure results. This session will describe the latest update of the ISO PSOLD curves that has been accompanied by various changes in implementation. Discussion will focus on implementation of a new methodology and an impact analysis of the updated parameters. Discussion will also center on data preparation and estimations of ground-up loss costs to accompany appropriate usage of various size-of-loss curves.
Source:
2015 Seminar on Reinsurance
Type:
Concurrent Session
Moderators:
Ernest Wilson
Panelists:
John Buchanan, Kevin Hilferty
