Casualty Actuarial Society

Professional Education

2006 Annual Meeting Handouts

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Select sessions from the meeting have been audio recorded and are available below.


General Sessions

AAA Qualification Standards

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Monday, 10:30 a.m. - 12:00 p.m., Grand Ballroom (Street Level)

The qualification standards in the United States will soon be broadened to cover most statements of actuarial opinion. This seminar examines that which constitutes a statement of actuarial opinion. Do you need to be qualified? How can you tell if you are qualified? What changes are being made to the basic and continuing education requirements? What kind of documentation do you need to keep? Why do we even need qualification standards? Find out the answers to these and (not all your) other pressing questions.

    Moderator/Panelist:
    Mary Frances Miller, President, Select Actuarial Services

Risk Transfer and Why Reinsurance Contracts May Never Be the Same

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Tuesday, 8:00 a.m. - 9:30 a.m., Grand Ballroom A (Street Level)

Inquiries by the New York Attorney General's Office into accounting for risk transfer and definition of insurance contracts caused considerable turmoil in the insurance and reinsurance market in 2005. The NAIC reacted by forming a task force on risk transfer seeking to revise and clarify statutory accounting definitions of what constitutes an insurance contract. Additionally, the American Academy of Actuaries formed a subcommittee on risk transfer. Earlier this year the FASB issued a white paper considering whether to revise famous FAS 113, and requested comments from the industry due by August 24, 2006.

All of the above activity could have a significant impact on the landscape of our industry and our profession.

A panel of industry experts will discuss anticipated changes in the accounting environment, conclusions of the Academy's Risk Transfer subcommittee, and the reinsurance and regulatory implications.

    Moderator:
    Alex Krutov, President, Navigation Advisors
    Panelists:
    Donald F. Farnan, Partner, PricewaterhouseCoopers
    Joseph B. Sieverling, Senior Vice President, Reinsurance Association of America
    Nancy P. Watkins, Consulting Actuary, Milliman, Inc.

Lloyd's of London

Tuesday, 8:00 a.m. - 9:30 a.m., Grand Ballroom B-C (Street Level)

For over 200 years, Lloyd's was considered a bastion of financial solidity and trustworthi-ness. However, events of the last 20 years have tested, or perhaps permanently altered, this long-earned reputation. In the 1980s and early 1990s the London Market-especially Lloyd's-had to contend with huge adverse casualty losses primarily attributable to U.S. asbestos claim liabilities. Massive fraud allegations ensued in the U.S. and London when these claim liabilities caused financial devastation to many of the Lloyd's "Names." Lloyd's underwent significant restructuring, including a change that permitted syndicates to be associated with large global insurers rather than individual private investors, and continued its business as a major international marketplace for insurance and reinsurance.

Although instantly recognized as a premier insurance/reinsurance entity and a major supplier of reinsurance security on U.S. balance sheets, Lloyd's structure is barely understood by many actuaries in the U.S. The panelists will discuss both Lloyd's and the London market in general. Key discussion topics will include:

  • What is Lloyd's structure and how was it shaped;
  • Is Lloyd's recent success purely a function of the global insurance hard market or is it largely attributable to recent structural improvements;
  • Should further governance changes be instituted to ensure that Lloyd's is a financially viable and reasonably stable insurance market for the future; and
  • Is Lloyd's broker market/syndicate structure outdated or is it providing Lloyd's with a competitive edge versus other international insurance and reinsurance providers?

    Moderator:
    Kendra M. Felisky, Director, Deloitte & Touche
    Panelists:
    Robert Henry Johnson, Lloyd's Actuary, Lloyd's of London
    Robert F. Kennedy, President and CEO, ReSource Intermediaries
    Steven Ratton, CFO of EMCA Insurance Company, Ltd., and Controller of EMCS Corporation

Catastrophes - How did we do in 2006? What's ahead for 2007?

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Wednesday, 10:00 a.m. - 11:30 a.m., Grand Ballroom A (Street Level)

Several experts with different perspectives on the catastrophe insurance market will discuss recent evolutions from the 2005 experience. Also, with the 2006 Atlantic hurricane season coming to a close, the panelists will draw very early conclusions concerning the 2006 results and their impact on 2007.

A primary insurance company expert will address catastrophe risk management, market capacity, and rate level issues. He will also talk about what companies are doing differently after the 2005 season and further possible changes after 2006.

A catastrophe modeler will address how the models performed for the 2006 season compared to 2005, as well as discussing what model changes might be expected for 2007. The modeler will also discuss how the model loss distributions reflect recent changes in science, and how conflicting theories as to the root causes of increased activity are incorporated into the models. A dispute analysis/investigation consultant will give insights into some of the work performed for his clients to help them settle their Katrina business interruption claims. This will include anecdotes from the field, as well as important lessons learned for the future.

    Moderator:
    Marcus Tarrant, Manager, PricewaterhouseCoopers LLP
    Panelists:
    Christopher Dineen, PricewaterhouseCoopers LLP
    Robert Hair, Senior State Manager, Allstate Insurance Company
    David LaLonde, Senior Vice President, AIR Worldwide Corporation

Concurrent Sessions

C 1
The Actuarial Standards Board and ASOPs

Monday, 3:30 p.m. - 5:00 p.m., Garden Room B (Atrium Lobby Level)
A member of the Actuarial Standards Board will give a presentation explaining the composition and the workings of the Board. The processes that the ASB uses will be discussed along with critical issues that are currently facing the Board. Finally, a discussion will take place with respect to casualty ASOPs currently being written or revised. During this discussion the template that is used for ASOPs will be reviewed. The session will end with a question and answer period during which individuals are encouraged to give their impressions of the ASOP process.

    Moderator/Panelist:
    Karen Terry, Assistant Vice President & Actuary, State Farm Mutual Automobile Insurance Company
    Panelist:
    Patrick B. Woods, Assistant Vice President & Actuary, ISO

C 2
California Personal Auto Rating Plans - The Good, The Bad, and the Ugly

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Monday, 1:30 p.m. - 3:00 p.m., Garden Room A (Atrium Lobby Level)
Tuesday, 10:00 a.m. - 11:30 a.m., Seacliff A-B (Bay Level)

In addition to an enormous marketplace, California offers us a rather unique auto insurance regulatory environment. This panel will discuss the merits and shortfalls of the current rating plans that are filed in California, and compare them to what we see filed in jurisdictions with a file-and-use open competition landscape. The panelists will present the pros and cons of the current California auto insurance regulations from the viewpoint of the insurance industry, the consumer, and the regulator, and engage the audience for additional perspectives.

    Moderator:
    Shawna S. Ackerman, Principal and Consulting Actuary, Pinnacle Actuarial Resources
    Panelists:
    Kelleen D. Arquette, Consultant, Towers Perrin
    Peter V. Delucchi, Director of Auto Insurance Product Management, California State Auto Association
    Mark Savage, Senior Attorney, Consumers Union of United States, Inc.

C 3
California Regulatory Update: Workers Compensation, Auto Rating, etc.

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Monday, 1:30 p.m. - 3:00 p.m., Bayview Room B (Street Level)
Monday, 3:30 p.m. - 5:00 p.m., Bayview Room B (Street Level)
The panel will discuss the overall California regulatory landscape, with an emphasis on recent developments in auto insurance rating and workers compensation. Legal challenges to the provisions in the workers compensation reform legislation will be presented, along with some prognostication about what counter-legislative activity we might expect.

Unlike numerous past attempts, it appears that the latest round of California workers compensation legislative fixes has made a major impact on reducing claim costs. The panel will present and discuss the trends we have seen in frequency, severity, and insurance pricing since these laws were enacted.

    Moderator:
    Robert F. Conger, Principal & Consultant, Towers Perrin
    Panelists:
    David M. Bellusci, Senior VP & Chief Actuary, WCIRB
    Gary M. Cohen, General Counsel, California Department of Insurance

C 4
CAS Examination Process

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Tuesday, 12:30 p.m. - 2:00 p.m., Garden Room B (Atrium Lobby Level)
Examinations continue to be one of the hottest topics for Casualty Actuarial Society members and candidates. In the past few years, the CAS has made material changes in order to improve the examination process. The changes are intended to better prepare candidates and more appropriately identify the truly qualified candidates. This panel will address some of these changes, including learning objectives, question-writing training, and setting pass scores. Time will be allowed for questions.

    Moderator:
    Daniel G. Roth, Vice President and Actuary, CNA Insurance Companies
    Panelists:
    Steven D. Armstrong, Senior Actuary, Allstate Insurance Company
    Nasser Hadidi, Professor - Department of Mathematics, Statistics and Computer Science, University of Wisconsin
    Derek A. Jones, Consulting Actuary, Milliman, Inc.

C 5
Competitiveness and Impact Analysis

Monday, 1:30 p.m. - 3:00 p.m., Grand Ballroom C (Street Level)
Rate comparisons as we knew them 10-15 years ago are much different today. With proprietary tiering and scoring models, including credit, how does a company go about getting a good handle on their competitive position, and what types of diagnostics might a company possibly look at. In addition, how does a company incorporate all this information with that of their rate indications to decide what type of rate change to actually implement.

The panelists will present three different perspectives on how to approach these issues.

    Moderator/Panelist:
    Jeffrey L. Kucera, Senior Consultant, EMB America LLC
    Panelists:
    John Felton, Executive Vice President - Sales & Marketing, Quadrant Information Services
    Sandra L. Ross, FCAS, Assistant Vice President and Product Manager, Auto Club Insurance Association

C 6
COTOR Challenge Round 4

Wednesday, 8:00 a.m. - 9:30 a.m., Garden Room B (Atrium Lobby Level)
Two years ago, year a great deal of interest was generated in a ratemaking estimation challenge sponsored by the Committee on the Theory of Risk (COTOR). In this session, the winners of round 4 of the COTOR Challenge will present their solutions.

The fourth round of the COTOR Challenge will feature new "real life" complications to the claims data. For round 4, claims have been drawn at random from a heavy tailed distribution, split equally amongst 5 years. Each year's "true" severity is impacted by inflation. In addition, the mix of claims from two distributions generating the data will change once during the 5 year period. Winning respondents will present their estimates of the mean severity and a 95 percent confidence interval for the $500,000 excess of $500,000 layer for the sixth year.

    Moderator:
    Louise Francis, Consulting Principal, Francis Analytics & Actuarial Data Mining Inc
    Panelists:
    COTOR Challenge participants

C 7
Crop Insurance

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Monday, 3:30 p.m. - 5:00 p.m., Garden Room A (Atrium Lobby Level)
Crop Insurance is a governmental/private insurance partnership. Panelists will broadly discuss how the program works between these entities. The typical risk to any producer is price/yield. This session will focus on how actuaries can build models to project loss costs for insurance policies.

Recently, new insurance products have been introduced that are based on cost of production or total farm revenue. Panelists will discuss these new products and how actuaries can model these risks.

    Moderator:
    Carl X. Ashenbrenner, Principal and Consulting Actuary, Milliman, Inc.
    Panelists:
    David R. Bickerstaff, Chairman, Bickerstaff, Whatley, Ryan & Burkhalter, Inc.
    Richard B. Lord, Principal and Consulting Actuary, Milliman, Inc.
    Myles Watt, Professor, Department of Agricultural Economics and Economics, Montana State University

C 8
Current Events in Marine & Energy

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Wednesday, 8:00 a.m. - 9:30 a.m., Bayview Room B (Bay Level)
The panelists will present diverse topics important to the pricing, reserving and risk management of marine and energy insurance products. Topics will focus on the availability of industry statistics, changes in catastrophe coverage, and the evolution of the London Market.

The American Institute of Marine Underwriters (AIMU), a trade association providing services to the US marine insurance industry, has recently formed a committee to improve marine data quality and availability. One of the panelists (Henry Newman) chairs the committee. The session presentation will describe the AIMU initiative and the usefulness of this information for selecting trend factors, loss development factors, and recovery (salvage and subrogation) ratios.

The marine and energy lines were significantly impacted by the 2005 hurricane season. The 2005 hurricanes have surprised many marine and energy insurers with an unprecedentedly long tail. Particularly alarming is the mass-tort-like potential of class action suits trying to blame hurricane damage on negligent practices. The panelists will discuss the 2005 claims, what makes them unprecedented, and how marine and energy coverages and pricing have changed in response.

The UK regulatory environment is undergoing revolutionary change, both at the national level and within Lloyd's. The panelists will summarize the increase in regulatory requirements for Lloyd's and the London Market, which have traditionally provided a large amount of the global capacity for marine and energy risks. The panelists will also discuss why Lloyd's is at the center of the marine and energy insurance markets and how the regulatory changes are likely to affect its standing.

    Moderator/Panelist:
    Christopher M. Steinbach, Chief Actuary, Navigators Insurance Group
    Panelist:
    Henry E. Newman, Head of Pricing, Navigators Insurance Group

C 9
Discussion Draft on Reserving Principles - CANCELED

    Moderator/Panelist:
    Bertram A. Horowitz, Chairperson, Task Force on Reserving Principles, President, Bertram Horowitz Inc.
    Panelists:
    Aaron M. Halpert, Principal, KPMG LLP
    Dale F. Ogden, President, Dale F. Ogden & Associates
    Deborah M. Rosenberg, Deputy Chief Casualty Actuary, New York State Insurance Department

C 10
Emerging Exposures

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Tuesday, 10:00 a.m. - 11:30 a.m., (Street Level)
Are there new emerging exposures lurking in the dark for the Insurance Industry? Should the P&C Industry be concerned about Avian Flu, Nano Engineered Materials, Cyber Exposures or Global Warming?

The panel will discuss emerging exposures and offer their opinion as to their likely impact on the P&C Industry as well as give the audience the opportunity to express their viewpoint.

    Moderator:
    Gail M. Ross, Principal & Consulting Actuary, Milliman, Inc.
    Panelists:
    Raji Bhagavatula, Principal & Consulting Actuary, Milliman, Inc.
    Al Fine, Managing Director, Willis Risk Solutions
    Harrison D. Oellrich, Managing Director, Guy Carpenter & Co., Inc.

C 11
From Swamp Mud to Rocket Science: Actuaries as Data Quality Advocates

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Tuesday, 10:00 a.m. - 11:30 a.m., Grand Ballroom C (Street Level)
Predictive modeling, which applies sophisticated technologies to large complex databases, is perhaps one of the fastest growing disciplines within actuarial practice. Yet good models cannot be produced without adequate data. We all know the old I.T. expression G.I.G.O.: "garbage in => garbage out." In general, the data provided for modeling work is very "dirty": A rule of thumb is that 80% or more of the modeler's time is spent on data issues. Meanwhile, reserving actuaries, especially those involved in statement of opinion work, must ensure that their data meets minimum quality levels which all too often it does not. Thus for actuaries performing conventional actuarial functions such as reserving and ratemaking, data quality is an ongoing issue with serious consequences.

This session will make the case for data quality to actuaries and other major stakeholders. The panel will provide examples of how poor data affected the decision to undertake predictive modeling work and the quality of the result. The panel will also provide examples of data quality issues faced by reserving actuaries. The panelists will discuss the actuaries' role as data quality advocates both within companies and as consultants and provide suggestions for improving data quality. This session will also synthesize the work of the GIRO Task Force on Data Quality with that of the CAS Data Management and Information Educational Materials Working Party.

    Moderator:
    Suzanne Black, Principal, Mercer Oliver Wyman Actuarial Consulting
    Panelists:
    Keith Allen, Associate Actuary, United Educators Insurance
    Louise Francis, Consulting Principal, Francis Analytics & Actuarial Data Mining Inc.
    Aleksey Popelyukhin, Vice President, Information Systems, 2 Wings Risks Services

C 12
Getting Published in the CAS

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Wednesday, 8:00 a.m. - 9:30 a.m., Garden Room A (Atrium Lobby Level)
Perhaps you've been thinking about writing and getting published, but just didn't know where to start. Do you have reservations because you think that there just wouldn't be an audience for what you have to say? Are you confused by the myriad of CAS publications - The Forum, The Discussion Paper Program, the Proceedings, and the new CAS Journal?

This session will take the mystery out of getting published in the CAS. A panel comprised of published authors and editorial board members will discuss the process of turning an idea into a published paper. The panelists will explain the differences among the various CAS publication options and describe the exciting changes that are underway. They will also discuss the process of submitting a peer-reviewed paper and the associated editorial guidelines. You learn what the new Journal Editorial Board is looking for in a paper and get valuable tips for a successful submission.

    Moderator:
    Joanne S. Spalla, Senior Vice President, Converium Reinsurance (North America)
    Panelists:
    Roger M. Hayne, Consulting Actuary, Milliman, Inc.
    Gary R. Josephson, Consulting Actuary, Milliman, Inc.
    Gary G. Venter, Managing Director, Guy Carpenter & Company, Inc.

C 13
Medical Malpractice: Avoiding the Next Crisis

Monday, 1:30 p.m. - 3:00 p.m., Seacliff C-D (Bay Level)
Medical Malpractice has seen three major crises in the last few decades. These crises led to insurer insolvencies, doctors moving to different states, escalating rates and unavailability of professional liability insurance for certain specialties.

Our panel will discuss what both actuaries and companies can do to avoid the next medical malpractice crisis.

    Moderator/Panelist:
    Susan Forray, Actuary, Milliman, Inc.
    Panelists:
    Robert Walling, Principal & Consulting Actuary, Pinnacle Actuarial Resources, Inc.
William E. Burns, Vice President and Actuary, Holborn Corporation

C 14
Medical Malpractice Claims Made Coverage Idiosyncrasies

Tuesday, 10:00 a.m. - 11:30 a.m., Bayview Room B (Bay Level)
This will include a discussion of some of the variations of policy language and terms that are found in claims made coverage and the actuarial implications and challenges they present. Including such items as the effect of various claims made coverage triggers, related claims language, considerations when self insuring and when self insureds handle their own claims, extended reporting endorsements and how it affects the original policy pricing, the pricing effects of consent to settle and hammer clauses, blended rating when physicians change specialty or territory, prepaid claims made policies and the proper treatment of loss development, the mismatch of premium and losses on prepaid claims made policies and the ramifications for reinsurers, slot rating or "rolling IBNR" and how to price it.

    Moderator:
    Betsy Wellington - President, Wellington Actuarial Services
    Panelists:
    Joseph Cerreta, Senior Consultant and Actuary, Aon Risk Consultants, Inc.
    Kenneth Hoppe, Vice President and Actuary, Hudson Healthcare

C 15
Non-Traditional Roles for Actuaries

Monday, 1:30 p.m. - 3:00 p.m., Bayview Room A (Bay Level)
What are some of the responsibilities and challenges actuaries face when working in non-traditional actuarial roles, as well as how an actuarial skill set can be applied in non-traditional roles.

The panelists will share their perspective on the topic and give the audience the opportunity to ask questions and share their perspectives.

    Moderator:
    Barclay Burns, Manager, D.W. Simpson & Company
    Panelists:
    Mohammed Q. Ashab, Senior Vice President, Benfield, Inc.
    David D. Hu, Financial Representative, Northwestern Mutual Life
    Scott J. Swanay, Sports Consultant, FantasyBaseballSherpa.com

C 16
Predictive Modeling: Potentials and Pitfalls

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Monday, 3:30 p.m. - 5:00 p.m., Grand Ballroom B (Street Level)
Wednesday, 8:00 a.m. - 9:30 a.m., Bayview Room A (Bay Level)
Predictive modeling has been used very effectively in other countries for years. Initially, only a few leading US personal lines companies utilized these advanced ratemaking techniques. That has been changing and predictive modeling techniques are now being employed by a wide variety of insurance companies from the largest to the smallest and within the broad spectrum of lines of business.

As with anything, new techniques bring both opportunities and issues. The panel will present three different perspectives on the issues.

    Moderator/Panelist:
    David J. Otto, Managing Director, EMB America LLC
    Panelist:
    John R. Pedrick, Assistant Director, Ohio Department of Insurance

C 17
Principles Underlying Actuarial Science

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Wednesday, 8:00 a.m. - 9:30 a.m., Seacliff A-B (Bay Level)
The SOA and CAS are considering exposure of a draft of Principles Underlying Actuarial Science (which may have occurred by the time of this session). If exposure is approved, the draft will be available at the organization's websites and copies will be available at this session. The purpose of the session is to introduce the draft and receive comments from those in attendance. This is an extensive revision to the prior draft distributed in 1999.

The objective of Principles Underlying Actuarial Science is to articulate the current understanding of the significant principles that form the scientific framework underlying all areas of actuarial practice. The intended audience includes practicing actuaries, researchers, and others, such as representatives of standard-setting organizations. This articulation is not immutable; if fundamental changes occur in our understanding of the world, or if a better expression of the ideas is developed, this statement of principles should be revised. Principles abstract the key elements of the scientific framework. Principles are not prescriptions that specify how actuarial work is to be done, but are statements grounded in observation and experience. As our experience and understanding continue to develop, the articulation of these principles may change.

    Moderator/Panelist:
    Mark S. Allaben, Chairperson, Committee on Principles, Vice President and Actuary, The Hartford Financial Services Group, Inc.
    Panelists:
    Stephen W. Philbrick, Vice President, Swiss Reinsurance America Corporation and Member of the Committee on Principles

C 18
Property Residual Market Mechanism Post 2005 Catastrophes

Monday, 1:30 p.m. - 3:00 p.m., Seacliff A-B (Bay Level)
The assessments from these pools are very large, some can be passed through to insureds, others can not depending on structure. In most cases, the majority of the losses are being generated by personal lines, but a large percent of the assessment is being paid by commercial lines insureds/insurers.

This session focuses on the various mechanisms and how they operate, how they are funded, whether costs are passed through, who participates in the mechanism, how take out credits work, the benefits and consequences of these mechanisms from the perspective of the insurance consumer, etc. Then discussion will proceed to the record deficits, the funding approaches and any recent/pending regulatory/legislative changes and the impact all this has had on the market-specifically focusing on availability of coverage.

    Moderator & Panelist:
    Frederick M. Strauss, Product Operations Director, Allstate Insurance Company
    Panelists:
    Kay A. Cleary, Actuary, Citizens Property Insurance Corporation
    Terry Lisotta, Chief Executive Officer, Louisiana Citizens Property Insurance Corporation

C 19
Rating Agencies - De Facto Regulators?

Wednesday, 8:00 a.m. - 9:30 a.m., Seacliff C-D (Bay Level)
As more criteria (ERM, catastrophes and other current events) are added to what rating agencies are reviewing, companies are now spending more time and assets managing these issues in addition to the official regulators needs. As a result, are the rating agencies adding another layer of regulation? In using this data, are the rating tools being normalized to grade companies relative to an average, or are they just setting the bar higher?

These are a few of the potential issues this panel will discuss. They will give us viewpoints from varying perspectives, as to how these issues relate to their responsibilities and the insurance market.

    Moderator/Panelist:
    Joseph R. Lebens, Senior Consultant, Towers Perrin
    Panelist:
    Mohammed Q. Ashab, Senior Vice President, Benfield, Inc.
    Margaret Wendy Germani
    Chester J. Szczepanski, Vice President and Chief Actuary, Donegal Insurance

C 20
Reserving for Large Catastrophes

Wednesday, 8:00 a.m. - 9:30 a.m., Grand Ballroom B (Street Level)
Reserving for large catastrophes in the reporting periods immediately following the events can be a difficult prospect. Due to the lack of hard data, qualitative judgment often materially affects the final results posted by companies. This session will discuss several of the methods used and their respective characteristics. These methods will include cat models, hindsight analyses, ground-up exposure examination and professional judgment. Actuarial documentation for these processes will also be discussed.

    Moderator/Panelist:
    James J. Matusiak, Director, PricewaterhouseCoopers LLP
    Panelists:
    Michael Angelina, Chief Actuary and Chief Risk Officer, Endurance Specialty Holdings, Ltd.
    Catherine A. Kalaydjian, Endurance Specialty Insurance

C 21
Risk Transfer Issues

Tuesday, 10:00 a.m.-11:30 a.m., Garden Room A (Atrium Level)
Risk transfer has been a headline topic over the last year. This session will discuss some ideas regarding how to define and test for risk transfer in short duration reinsurance contracts as required by FAS 113 and SSAP 62. A summary of the report prepared by the CAS Research Working Party on Risk Transfer Testing will be presented along with a discussion by accounting professionals.

    Moderator:
    Brian Z. Brown, Consulting Actuary, Milliman, Inc.
    Panelists:
    John G. Aquino, Executive Vice President, Benfield Group Limited
    Peter M. Licht, Managing Director, PricewaterhouseCoopers LLP

C 22
Sarbanes-Oxley Update

Monday, 3:30 p.m. - 5:00 p.m., Seacliff A-B (Bay Level)
An enormous amount of time has been invested in establishing controls over your company's processes for managing insurance financial activity. Now is a good time to step back and evaluate where you and your company stand in relation to your initial objectives and compared to the rest of the industry. The panel will run through the financial statement assertions required in 2006, and discuss how the landscape has changed since 2005. What exactly are the deliverables in a typical internal controls/SOX project? And, who controls the controls? Some benefits that actuaries and risk managers can take away from having been through this process in 2005 will be offered, along with some take-aways you should aim for in 2006.

To provide you with additional insight as you conduct your 2006 SOX testing, the panel will present a case study from the perspective of an actuary, auditor, and risk manager.

    Moderator/Panelist:
    Robin M. Davis, Actuarial Consultant & Manager, KPMG LLP
    Panelists:
    Jenny Novoa, Senior Director Risk Management, Gap, Inc.
    Christopher J. Toohey, Partner, KPMG LLP

C 23
Seasoned Actuaries Section

Monday, 3:30 p.m. - 5:00 p.m., Seacliff C-D (Bay Level)
Have you been a member of the CAS for 25 years or more or are you retired or thinking of retiring in the next several years? The CAS is forming a special interest section to be known as the Seasoned Actuaries Section for those CAS members interested in giving back to the profession or on behalf of it. Join us to see what role you can play in this new section.

    Moderator:
    David G. Hartman, Chubb Group of Insurance Companies

C 24
U.S. Insurance Market Within a Global Marketplace

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Monday, 3:30 p.m. - 5:00 p.m., Grand Ballroom C (Street Level)
With 2005 being a record year of natural disasters, speculation about the pricing cycle and the need to replenish surplus has attracted a lot of new capital and investors into the reinsurance industry. As rating agencies focus on diversification and ERM, how has this affected the 2006 renewal pricing? With the low level of catastrophes so far this year, what will be the subsequent impact on the current underwriting cycle in 2007 and beyond?

    Moderator:
    Bruce D. Fell, Senior Consultant, Towers Perrin
    Panelist:
    John Aquino, Executive Vice President, Benfield Group
    Todd R. Bault, Senior Analyst, Sanford C. Bernstein & Co., Inc.

C 25
Update on the Proposed Actuarial Standard of Practice - Property/Casualty Unpaid Claim and Claim Adjustment Expense Estimates

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Monday, 1:30 p.m. - 3:00 p.m., Garden Room B (Atrium Lobby Level)
The Actuarial Standards Board distributed a proposed actuarial standard of practice on property/casualty unpaid claim and claim adjustment expense estimates for review and comment earlier this year. A number of comments were received by the comment deadline of June 30, 2006. The panel will discuss the main themes underlying these comments and the actions that are being taken as a result.

    Moderator:
    Raji Bhagavatula, Principal, Milliman, Inc.
    Panelists:
    Mary Frances Miller, President, Select Actuarial Services
    Jason L. Russ, Consulting Actuary, Milliman, Inc.

Enterprise Risk Management Track

ERM 1
Challenges to ERM Implementation in the Property Casualty Insurance Industry

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    Panelists:
    Thomas E. Hettinger, Managing Director, EMB America LLC
    Donald F. Mango, Senior Vice President, Guy Carpenter & Company, Inc.

ERM 2
Enterprise Risk Management & Rating Agencies

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Tuesday, 10:00 a.m. - 11:30 a.m., Grand Ballroom B (Street Level)
One of the major forces behind the recent emphasis on Enterprise Risk Management is coming from various rating agencies, and their encouragement of companies to incorporate ERM into their regular work. This session will give an overview of Standard & Poor's new initiative and how companies will be assessed in five key areas: risk-management culture, risk controls, extreme-event management, risk and capital models, and strategic risk management.

View points from a broker and company perspective will also be presented.

    Moderator/Panelist:
    Donald F. Mango, Senior Vice President, Guy Carpenter & Company, Inc.
    Panelists:
    Ming-I Huang, Chief Risk Officer, Praetorian Financial Group
David Ingram, Director, Enterprise Risk Management, Standard & Poor's

ERM 3
Risk Load, Profitability Measures, and Enterprise Risk Management

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Monday, 3:30 p.m. - 5:00 p.m., Bayview Room A (Bay Level)
The panel will discuss the interrelated pricing issues of profitability measurement, risk load, and enterprise risk management. Attendees will be given two related, leading edge, practical methods for integrating pricing (or hedging or plan portfolio composition) with an internal risk model, which is a core ERM component. The methods provide valuable insights into pricing individual risks, portfolio management, and reinsurance purchasing decisions.

In this session, Donald Mango will present his 2005 ASTIN paper on "Insurance Capital as a Shared Asset." Robert Bear will present his discussions of this paper and a related paper by Rodney Kreps on "Riskiness Leverage Models." An approach to integrate desirable properties of the two methods will also be presented. Both papers appear in the CAS 2006 Fall Forum.

    Panelists:
    Donald F. Mango, Senior Vice President, Guy Carpenter & Company Inc.
    Robert A. Bear, Consulting Actuary, RAB Actuarial Solutions LLC

General Business Skills Track

GBS1
Strategic Thinking/Mental Toughness Program - Part I

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Tuesday, 10:00 a.m. - 11:30 a.m., Seacliff C-D (Bay Level)
This two part presentation will address the significance of strategic thinking and mental toughness to business performance and effectiveness in the 21st century.

The first part will provide participants with the scope and perceptions necessary to think strategically, while helping to remove unfounded fears related to this territory. It will introduce strategic thinking principles, how to think according to the bigger picture, how to form strategies and more.

This program is designed to motivate, inspire and demonstrate to people how to use strategic thinking in their daily tasks in an effective and simple manner.

    Moderator:
    Eli Harari, The Thinking Coach

GBS2
Strategic Thinking/Mental Toughness Program - Part II

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Tuesday, 12:30 p.m. - 2:00 p.m., Seacliff C-D (Bay Level)
The second part will feature mental toughness and emotional intelligence; ingredients that are essential in today's demanding business environment. This part of the presentation will focus on how to think under stress, overcoming personal obstacles, principles of assertive communication, how to provide effective feedback, harness will power and much more.

The presentation is interactive/experiential with many practical tools for the participants to use and improve their professional performance.

    Moderator:
    Eli Harari, The Thinking Coach

Paper Presentation Track

P 1
2006 Hachemeister Award Paper

Tuesday, 12:30 p.m. - 2:00 p.m., Garden Room A (Atrium Lobby Level)
Measuring Loss Reserve Uncertainty
Author: William H. Panning

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This paper presents a simple method for measuring loss reserve uncertainty - the variability of potential differences between actual and estimated future loss payments -- that is easily implemented with a spreadsheet model, that relies on data available for all US insurers and all lines of business, and that makes relatively few easily accepted assumptions.

The method for estimating loss reserve uncertainty explained and demonstrated here has five important advantages. First, it is simple, and easy to implement. Second, it avoids severe statistical problems that affect some alternative methods, as explained in detail. Third, the method is validated (rather than merely illustrated) by applying it to simulated data in which answers are known, and demonstrating that its estimates agree closely with these known answers. Fourth, the measure of loss reserve uncertainty used here - the standard deviation of loss reserves as a percentage of the estimated reserve -- is scalable, so that it can be applied to reserves estimated by other methods. Fifth, this measure can be directly compared across different lines of business in a single firm, or for the same line of business across different firms. The results obtained can assist CEO's, CFO's, Chief Risk Officers, actuaries, rating agencies, regulators, and stock analysts in estimating the variability of loss reserves, in estimating a firm's capital adequacy, in forecasting the distribution of possible loss reserve payments during the next calendar year, and in determining whether current or past calendar year deviations from expected loss payments are sufficiently large to deserve special attention.

P2
2006 Reserve Call Paper Presentation

Tuesday, 10:00 a.m. - 11:30 a.m., Garden Room B (Atrium Lobby Level)
Loss Reserving Using Claim-Level Data
Authors: James C. Guszcza, Jan A. Lommele

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While the actuarial literature devoted to stochastic loss reserving has been developing at an impressive rate, much of this literature has been devoted to the statistical analysis of summarized loss triangles. This restriction limits the benefits that modern statistical techniques can bring to the subject of loss reserving. This paper will sketch one possible framework for estimating future claims payments using claim-level data. The first part of the paper will discuss the use of covariates (or "predictive variables") to improve one's estimates of future payments, especially in cases where the mix of business being analyzed has changed over time. The second part of the paper will describe how the bootstrapping technique can be applied to claim-level data to estimate reserve variability.

P 3
Proceedings Paper Presentation

Tuesday, 10:00 a.m. - 11:30 a.m., Garden Room B (Atrium Lobby Level)
Estimating the Workers Compensation Tail

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Authors: Gordon F. Diss, Richard E. Sherman

The workers compensation tail largely consists of the medical component of permanent disability claims (MPD). Yet the nature of MPD payments is not widely understood and is counter to that presumed in common actuarial methods.

This paper presents an analysis of medical payments based on 160,000 permanently disabled claimants-for 77 accident years. It introduces a method for utilizing incremental payment data prior to the standard triangle to extend development factors beyond the end of the triangle (for any casualty line).

A model is presented that explicitly reflects the opposing effects of medical cost escalation and the force of mortality. It demonstrates that:

  • Paid loss development factors (PLDFs) tend to increase over many successive, "mature" years of development.
  • PLDFs and tails will trend upward over time-due to expected future mortality improvement.
  • Average medical costs for elderly claimants are substantially higher than for younger claimants.

The paper also demonstrates that case reserves based on inflating payments until the expected year of death are significantly less than the expected value of such reserves. A method is introduced for realistically simulating the high expected value and variability of MPD reserves. It is based on a Markov chain model of annual payments on individual claims.

2014 CLRS

On-Demand Continuing Education Credit

 

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The CAS Roundtable

Posted on 08/21/2014
By Alice Chambers

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