Casualty Actuarial Society

Professional Education

2000 Reinsurance Handouts

These handouts are available in their original Power Point Presentation format. If you do not have Power Point on your computer, you will need to download the free Power Point Viewer, which is a 2.8 MB file.

Some of the handouts are Portable Document Format (PDF) files. The files were created using Adobe Acrobat. To view the documents, you need the Acrobat Reader. For more information, read the Adobe Frequently Asked Questions. To download the free Acrobat Reader, click the icon below.

Acrobat

If a session handout is not online, unfortunately it was not submitted by the speaker and is not available.


Valuation of Insurance and Reinsurance Companies
Handout 1
Handout 2

This past year has been a very difficult one for (re)insurance stocks. Two years ago many companies were valued at 200% to 300% of book value; today many are trading well below book value. This session will examine the reasons for these deteriorating valuations, including a discussion of whether valuation models have changed or whether the declines in value are purely due to diminished perceptions of reserve adequacy and future profitability. The speakers will discuss the approaches that they use to value companies and their view of the difficult current state of the industry. They will also discuss why (re)insurance company valuations are so low relative to other industries and what changes the industry needs to make to improve its perception on Wall Street.

Moderator:
Jeffrey L. Dollinger
, Senior Vice President, Risk Capital Re

Speakers:
James R. Fisher, Managing Member, Fisher Capital Corp, LLC
Myron M. Picoult, Director, Wasserstein Perella Securities, Inc.
Michael F. Klein, FCAS, Assistant Vice President, St. Paul Companies

Insurance Securitization - The State of the Market
Handout 1

The panel will discuss the securitization of insurance liabilities and the transfer of risk to the capital markets. The speakers will include executives in the business of structuring these deals, and in the business of investing in the securities. They will describe the deals being done today, and will provide their vision of the future of securitization.

Moderator:
Peter Senak, FCAS, Senior Managing Director, Gerling Global Financial Products

Speakers:
Morton Lane
, Senior Managing Director, Gerling Global Financial Products
Kenneth Clark, FSA, Senior Vice President, Lincoln Re
David Govern, Vice President, Goldman Sachs & Company

Project Finance and Credit Enhancement
Handout 1
Handout 2

The areas of Project Finance and Credit Enhancement are a growing opportunity for the insurance industry. As companies design more innovative and cost-effective ways to finance new projects or acquisitions, there is an increasing demand for creative insurance products to support the loans. The panelists will describe these deals and will provide specific examples of how they are used in businesses such as entertainment, real estate, energy and utilities. In addition, there will be a discussion of some of the technical issues that arise in pricing these products.

Moderator:
Peter Senak, FCAS, Senior Managing Director, Gerling Global Financial Products

Speakers:
Christine Hazen, Vice President, American Re-Insurance Company
Jeff Stewart, Senior Managing Director, Gerling Global Financial Products
Paul Hussian, FCAS, Director, Gerling Global Financial Products

Current Events
Handout 1
Handout 2

This session will present three topics of interest to reinsurance actuaries. 1) Changes in asbestos liability: Have recent court decisions and procedural changes altered the number and type of claims, as well as the way in which they are presented to insurers and reinsurers? 2) NAIC Codification of statutory accounting will change effective January 1, 2001. This presentation will focus on those elements of codification of interest to actuaries involved with both ceded and assumed reinsurance. 3) California Workers Compensation: What’s happening and why? Will it change? Is it indicative of what’s happening in other jurisdictions?

Moderator:
David S. Powell, FCAS, Consulting Actuary, Tillinghast-Towers Perrin

Speakers:
Jennifer L. Biggs, FCAS, Consulting Actuary, Tillinghast-Towers Perrin
Michele P. Bernal, FCAS, Vice President, American Re-Insurance Company
TBD, Accountant, Ernst & Young, LLP

Research Corner
Handout 1

This session will give speakers the opportunity to present research that is currently in progress. The session will include a significant amount of audience participation and will be an excellent forum for discussing new ideas in actuarial methodology.

Moderator:
Paul J. Kneuer, FCAS, Vice President and Chief Actuary, Holborn Corporation

Weather Risk Management
Handout 1
Handout 2

The profits of many companies are dependent upon weather conditions. For example, the revenues and earnings of utility companies can be adversely affected by summers that are too cool and winters that are too warm. Hedging products, in both insurance and derivative form, have emerged to assist utilities in managing these risks. This session will first consider a model which analyzes the question of whether catastrophe losses are affected by global warming. It will next provide an overview of the hedging products and present alternative pricing methodologies. Finally, managing a portfolio of weather derivatives will be discussed with emphasis on the proper handling of correlation issues.

Moderator:
Robert Bear, FCAS, Senior Vice President, PXRE Reinsurance Company

Speakers:
Paul Kneuer, FCAS, Vice President, Holborn Corporation
David Molyneux, FCAS, Vice President, Zurich Re North America, Inc.
Lixin Zeng, Vice President, E. W. Blanch Risk Analysis & Technology Services

Finite Risk Insurance and Reinsurance Products
Handout 1
Handout 2
Handout 3

This session will explore a variety of issues relating to this area. One speaker will discuss how advanced reserving methodologies are used to analyze loss portfolio transfers and retrospective aggregate excess covers. The second speaker will discuss accounting issues related to retrospective reinsurance products, finite risk insurance, and risk transfer. The final speaker will review finite risk products being sold in the market place today.

Speakers:
Thomas Passante, FCAS, Associate Director, Swiss Re New Markets
Peter Senak, FCAS, Senior Managing Director, Gerling Global Financial Products
Gary Blumsohn, FCAS, Vice President, St. Paul Re

Review of ISO’s New ILF Tables
Handout 1
Handout 2

The purpose of this session is to discuss the implications of recent ISO Increased Limit Factors changes for the pricing and evaluation of excess of loss reinsurance contracts. What are the data and assumptions underlying the tables? What information is available to help predict excess layer loss development? What information is available to address loss adjustment expense? The methodology used to develop ISO increased limits factors will be described with emphasis on the most recent changes. Panelists will discuss pricing issues from both the reinsurance company and intermediary perspectives.

Moderator:
Jerome A. Degerness, FCAS, Vice President, E.W. Blanch Co.

Speakers:
Ralph M. Cellars, FCAS, Senior Vice President, St. Paul Re
Allan A. Kerin, FCAS, Director, Insurance Services Office, Inc.

Topics in Professional Liability
Handout 1
Handout 2
Handout 3

This panel will give an overview of some of the recent developments in professional liability. They will discuss emerging issues for some of the more traditional lines, as well as explore new coverages. Topics will include the latest results of the D&O claim cost study, a discussion of EPLI and Internet liability.

Moderator:
Gregg Evans, FCAS, Vice President - Actuarial Systems, Zurich Reinsurance
North America

Speakers:
Mark Larsen, Consultant, Tillinghast-Towers Perrin
Peter Szendro, Vice President, Zurich Reinsurance North America
Kevin Rooney, Vice President, General Re

Workers Compensation Excess of Loss Reinsurance
Handout 1
Handout 2
Handout 3

The workers compensation reinsurance market has been in an unsettled state over
the last year, and the collapse of Unicover has stirred up considerable debate about rate adequacy. Pricing excess workers compensation is always a challenge, given the potentially unlimited size of the claims, the long tail, the sensitivity to decades of future inflation, changes in mortality rates, and the difficulties in evaluating the impact of improved medical care and managed care. This panel will discuss the pricing of excess workers compensation from both primary company and reinsurer perspectives, comparing and evaluating the various techniques that are available.

Moderator/Panelist:
Gary Blumsohn, FCAS, Vice President, St. Paul Re

Speakers:
Jill Petker, FCAS, Associate Actuary, Liberty Mutual Group
Steve Basson, FCAS, Second Vice President, Travelers Property & Casualty Corp.

Pricing Property Excess of Loss Reinsurance
Handout 1

This session will include a discussion of ISO’s new property per risk curves, and their use in pricing excess of loss reinsurance. There will also be a presentation of SNAP-TC, Swiss Re’s proprietary catastrophe underwriting tool for hurricanes. SNAP-TC determines loss frequency curves by means of a novel hazard correlation approach.

Moderator:
Steven Petlick, FCAS, Senior Actuary, Swiss Re America

Speakers:
Glenn Meyers, FCAS, Chief of Actuarial Research, Insurance Services Office, Inc.
Matthias Weber, Senior Product Line Manager, Swiss Re America

Aggregate Loss Distributions and NCCI’s New Table M
Aggregate loss distributions are used extensively in reinsurance for both pricing and reserving. This session will evaluate the use of different statistical models to approximate aggregate loss distributions when it is not feasible/practical to obtain frequency and severity distributions separately and only aggregate information is available for analysis. The session will also include a presentation on the use of Table M in reinsurance pricing. The following topics will be addressed: Table M construction, State and Hazard Group adjustments to Table M, Insurance Charge Reflecting Loss Limitation (ICRLL.)

Moderator:
Liz Stadler, FCAS, Senior Pricing Actuary, Swiss Re America

Speakers:
Dmitry Papush, FCAS, Vice President & Actuary, Commercial Risk Reinsurance
Jose Couret, ACAS, Associate Actuary, Swiss Re America

Reinsurance Reserving: Testing their Reasonableness and
Using Scenarios
Handout 1

Given the soft market conditions in the industry over the past several years, reinsurers are struggling more than ever to maintain simultaneously profitability and adequate reserves. In this session, one of the presenters will discuss a new approach for reserving contracts with features that do not lend themselves to traditional techniques, such as annual aggregate deductibles. These contracts are often priced by constructing various loss scenarios that can then be used for reserving as loss experience develops. A new way to test the reasonableness of reserves will also be presented. Using actual historical industry experience, several reserve ratios and benchmarks will be presented based on recently conducted research. This portion of the session will include a brief presentation by the researcher followed by an open discussion forum for all session attendees.

Moderator:
Bruce D. Fell, FCAS, Am-Re Consultants, Inc.

Speakers:
C. K. Stan Khury, FCAS, Bass & Khury
Douglas W. McKenzie, FCAS, Assistant Vice President, Zurich Re North America

Ceded Track

Using Catastrophe Modeling In Structuring a Reinsurance Program
Handout 1
Handout 2

This session is designed for primary company actuaries and others who want to learn more about reinsurance program design, specifically the structuring of a catastrophe reinsurance program. Designing a program is not an easy task, since the financial consequences are significant and there are many alternatives. One of the most important objectives is the measurement of exposure to specific catastrophe perils, such as windstorm and earthquake. These two perils will be the focus of the session that will explore how to incorporate the results of one (or more) catastrophe models into the design of a catastrophe reinsurance program. Common pitfalls to avoid when relying on catastrophe models will also be discussed.

Moderator/Speaker:
Rick Brutto, ACAS, Manager-Actuarial Consulting & Risk Management, Allmerica Property & Casualty Companies

Speakers:
Paul Budde, Ph.D., ACAS, Assistant Vice President, E. W. Blanch - Actuarial Services
Christopher R. McKeown, Chief Underwriting Officer, Tempest Re

Using Dynamic Financial Analysis to Design Reinsurance Programs
Three different perspectives of how financial modeling techniques are used to support
or direct reinsurance purchasing decisions will be presented. A ceding company actuary will describe techniques they personally use, as well as their degree of reliance on reinsurance providers for modeling services. A reinsurance company actuary will describe considerations in presenting DFA to ceding companies in support of recommended solutions. Finally, the moderator will describe techniques for presenting
financial modeling results to a wide variety of ceding company personnel, from a reinsurance intermediary perspective.

Moderator:
Elizabeth Hansen, FCAS, Senior Vice President, E.W. Blanch Co.

Speakers:
Jeff Salton, FCAS, Vice President, Crum & Forster Insurance Company
Joe Wallen, FCAS, Vice President, General Reinsurance Corporation
 
Intermediate Track

Exposure & Experience Rating
This session will provide a brief review of the basics of both experience and exposure rating of excess-of-loss reinsurance contracts, followed by discussion of pricing techniques for special contract features such as loss corridors, annual aggregate deductibles and profit commissions. Other topics that will be discussed include aggregate stop loss, loss portfolio transfer and adverse loss development covers. The emphasis for this session will be the calculation of expected losses.

Moderator:
George N. Phillips, FCAS, Vice President, Transatlantic Reinsurance Company

Panelists:
Jane Eichmann, ACAS, Assistant Actuary, St. Paul Re
Robert S. Yenke, ACAS, Vice President, PXRE Reinsurance Company

Pitfalls in Reinsurance Pricing
Handout 1
Handout 2
Handout 3

This session will address problems that pricing actuaries frequently encounter in evaluating different types of proposals. Topics will include: the available data, use of simulation, the Bornhuetter-Ferguson method applied to pricing, individual claim loss development, increased limit tables, cession factors, calculation of on-level factors and use of trend. Actual examples will be used by the panelists and audience participation will be strongly encouraged.

Panelists:
Kasing Leonard Chung, FCAS, Vice President, Transatlantic Reinsurance Company
Clive L. Keatinge, FCAS, Associate Actuary, Insurance Services Office, Inc.
David Skurnick, FCAS, Senior Vice President, St. Paul Re

 

Quick Poll

How do you think the industry will change in 10 years?

Multiple Choice

Annual Meeting

 

The CAS Roundtable

Posted on 10/20/2014
By Jessica Leong

Read More