This seminar is geared to practitioners familiar with standard DFA concepts, as described in CAS discussion papers. The seminar uses hands-on experience with an actual DFA stochastic model to integrate the various risk components and to address corporate strategic questions.

The target audience is CAS members who are currently implementing DFA models in their firms and who would like guidance from experienced actuaries in redesigning their models. A working knowledge of DFA models and current actuarial science in this area will be assumed.

The seminar will cover the following topics:

  • Modeling property/casualty insurance operations (reserving, underwriting);
  • Modeling interest rate paths, inflation rate paths, and their correlation;
  • Estimating process risk and parameter risk for insurance operations;
  • Generating stochastic runs from underwriting, interest, and inflation generators;
  • Analyzing statutory results versus economic results;
  • Using measurement yardsticks: probability of ruin and expected policyholder deficit;
  • Determining capital requirements and allocating capital among lines of business; and
  • Estimating returns on capital for different company operations.

The seminar will consist of approximately four hours of instruction on Tuesday and eight hours of instruction on Wednesday during which the participants will use the DFA model on their own.

For this session, each participant will need to bring a personal computer (notebook-size or larger) loaded with Microsoft Excel (version 5.0 for Windows 95 or higher). For those without a portable computer, the CAS can arrange for a rental at an additional cost. Please note this on your registration form.

Before the seminar, registrants will be provided with a selection of articles on DFA and a series of spreadsheets with the components of a DFA model. They will also be encouraged to collect, before the seminar, the input data required for applying the DFA model to their own company, if they are employed by an insurer. This will facilitate participants' obtaining realistic hands-on experience at the seminar. Reading the material and collecting company information before the seminar will enhance the learning experience, but will not be a prerequisite for the seminar.


Instructor
Sholom Feldblum
Liberty Mutual Insurance Company