Pricing Techniques: Practical Track- Property
(formerly known as "Intermediate Track")
Is the 1978 Lloyd's First Loss Scale still appropriate? What about ISO's PSOLD product—can we rely on it? Which catastrophe modeling firm's model works the best? This session will explore the practical aspects of pricing property reinsurance covers. Panelists will explain differences in the various methods and models used to price property covers and the limitations of the models and methods.

Moderator:
Barry C. Zurbuchen, FCAS, Vice President, Allied World Assurance Company

Panelists:
Sean R. Devlin, FCAS, Chief Pricing Actuary - Property, Employers Reinsurance Corporation
Gil Crouse, Vice President, American Re

Pricing Techniques: Practical Track - Casualty
(formerly known as "Intermediate Track")
When it comes to pricing casualty reinsurance, actuaries can face many pitfalls. In this session, panelists will discuss data limitation, use of simulation, individual claim loss development, increased limit tables, cession factors, and use of trend. Speakers will discuss pricing techniques for loss sensitive treaty terms such as loss corridors, annual aggregate deductibles, and profit commissions. Other topics that will be discussed include pricing of finite covers such as aggregate stop loss, loss portfolio transfer, and adverse loss development covers. This session is intended for those with three or fewer years of reinsurance pricing experience.

Moderator:
Jeanne L. Ying, FCAS, Vice President, ACE Tempest Re

Panelists:
Michael A. Coca, FCAS, Chief Actuarial Officer, Partner Re
Peter W. Wildman, FCAS, Vice President, Pegasus Advisors

Reinsurance Research Committee - Call Papers

Session 1:

• "On the Optimality of Multiline Excess of Loss Covers"
  Author: Jean-Francois Walhin, Secura Belgian Re
• "Estimating the Parameter Risk Of A Loss Ratio Distribution"
  Author: Charles E. Van Kampen, FCAS, Vice President, Actuary, American Agricultural Insurance Company

Session 2:

• "The Valuation of Stochastic Cash Flows"
  Author: Leigh Joseph Halliwell, FCAS
• "Hedging Catastrophe Risk Using Index-Based Reinsurance Instruments"
  Author: Lixin Zeng, Willis Re

Session 3:

• "The Aggregation and Correlation of Reinsurance Exposure"
  Authors:
  Glenn G. Meyers, FCAS, Chief of Actuarial Research & Assistant VP, ISO
  Fredrick L. Klinker, FCAS, Manager, Actuarial, ISO
  David A. Lalonde, FCAS, Senior Vice President, Applied Insurance Research
  
• "Quantifying Correlated Reinsurance Exposures with Copulas"
  Author: Gary G. Venter, FCAS, Managing Director, Guy Carpenter Instrat

Session 4:

• "Capital Consumption: An Alternative Methodology for Pricing Reinsurance"
  Author: Donald F. Mango, FCAS, Chief Risk Officer, American Re-Insurance Company

Reinsurance Research Committee - Speaker's Corner
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:
Peter W. Wildman, FCAS, Vice President, Pegasus Advisors

Panelists:
James C. Sandor, FCAS, Vice President & Actuary, American Re-Insurance Company
Rodney E. Kreps Ph.D., FCAS, Managing Director, Guy Carpenter & Company, Inc

Commutation Pricing
Sholom Feldblum will present his new paper on commutation pricing. The paper uses a return on capital model along with NAIC and rating agency capital requirements to price commutations. It includes an exacting analysis of the tax consequences of a commutation, along with the statutory deferred tax assets that are generated. A series of illustrations show the pricing procedures by line of business, investment yield, and cost of capital.

Moderator:
Robert A. Bear, FCAS, Senior Vice President & Chief Actuary, PXRE Reinsurance Company
Paul J. Kneuer, FCAS, Chief Actuary, Holborn Corporation

Panelist:
Sholom Feldblum, FCAS, Vice President, Liberty Mutual Group

Workers Compensation Catastrophe
From the vantage point of a reinsurer, this session will focus on evaluating and pricing workers compensation catastrophe. The session will specifically address catastrophes caused by terrorism and earthquake as well as catastrophes due to other causes. Panelists will discuss the approaches they have seen and used for evaluating exposures and pricing workers compensation catastrophe, including the critical underlying assumptions.

Moderator:
Ernest S. Tistan, FCAS, Chubb Re

Panelists:
John G. Aquino, FCAS, Executive Vice President, Aon Re Services
Seth Ruff, FCAS, Assistant Vice President, Swiss Re Underwriters Agency Inc.

Commercial Umbrella
Panelists will review recent developments and emerging issues for this line of business. One major topic will be the worsening loss trends in this class of business and the drivers of this deterioration. This session will focus on other key issues, such as aggregate monitoring, particularly for Fortune 1000 accounts, and emerging exposure issues, including mold and terrorism. Finally, panelists will discuss best practices in underwriting and pricing commercial umbrella business.

Moderator:
Jeffrey L. Dollinger, FCAS, Vice President, Endurance Re

Panelists:
Thomas L. Ghezzi, FCAS, Consulting Actuary, Tillinghast-Towers Perrin
Thomas J. Burke, Vice President, GeneralCologne Re
Gerson Smith, FCAS, Second Vice President, Employers Reinsurance Corporation

Ceded Reinsurance- Analyzing Reinsurers' Financial Security
An analyst from A.M. Best and executives in ceded reinsurance come together in this session to give their views on analyzing the financial security of reinsurers. An A.M. Best spokesperson will discuss the method that A.M. Best uses to analyze the financial strength of insurers and reinsurers. He will also discuss key emerging issues in A.M. Best's rating analysis. Speakers from ceded reinsurance operations will discuss the key items that they focus on when reviewing reinsurance security. They will also review positive and negative experiences that they have had with their reinsurers and key issues that influence their choice of reinsurance partners.

Moderator:
Jeffrey L. Dollinger, FCAS, Vice President, Endurance Re

Panelists:
Stefan Holzberger, Managing Senior Financial Analyst, A.M. Best Company
Clifford W. Rich, Principal, Guy Carpenter & Company, Inc.
Michael Kerner, FCAS, Chief Operations Officer, Zurich North America Specialties

Loss Trend Projections
Taking a look at recent trends in losses for various lines of business, this session will discuss the difficulties in projecting loss trends. The panelists will also compare econometric studies to actual data and talk about general differences they have seen in trends by size or type of loss. Workers compensation, general liability, and commercial auto will be the main focus of the session.

Moderator:
Kari S. Mrazek, FCAS, Second Vice President, Employers Reinsurance Corporation

Panelists:
Karen F. Ayres, FCAS, Senior Actuary, National Council on Compensation Insurance
Joseph M. Palmer, FCAS, CPCU, Manager and Associate Actuary, ISO

Directors & Officers Liability
Some have said that actuaries cannot contribute very much to the pricing of this class of business. While it is true that past results are frequently not indicative of the future, there is a considerable amount of information available to actuaries and underwriters to help in understanding past results and evaluating prospective exposures. This session will discuss various pricing parameters, including a comprehensive price monitoring procedure.

Moderator:
Steven Petlick, FCAS, Chief Actuary Global & National, Swiss Re America

Panelists:
Peter J. Schultheiss, FCAS, Assistant Vice President, Zurich North America
Joseph Reschini, Actuarial Assistant, The Hartford

Specialty Lines: A&H, Aviation, Marine and Surety
The panels will discuss recent results, market conditions, loss trends, and changes in terms and conditions for these lines of business. Expounding on their respective papers published in the 2003 Winter Forum, Athula Alwis will discuss a new exposure based method for analyzing Credit and Surety and Romel Salam will present a method for estimating the cost of airline catastrophes based on exposures and stochastic simulation.

There will be three separate sessions presenting various combinations of these topics, with two topics per session.

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

Panelists:
Athula Alwis, ACAS, Assistant Vice President, American Re-Insurance Company
Henry E. Newman, ACAS, Principal, Guy Carpenter & Company, Inc
David E. Olsho, Senior Consultant, eBenX, a SHPS Company
Romel Salam, FCAS, Vice President & Associate Actuary, Transatlantic Reinsurance Company

Trends in Finite Reinsurance
Many changes have occurred over the past year and a half in the reinsurance marketplace. The traditional market has hardened, interest rates have dropped, and the market continues to expand globally. This session will focus on trends in the world of finite reinsurance as it adapts to an ever-evolving marketplace.

Moderator:
Jean A. DeSantis, FCAS, Vice President, Swiss Re Underwriters Agency Inc.

Panelists:
Mark W. Callahan, FCAS, Senior Vice President, XL Financial Solutions
Edward Hochberg, CPCU, Senior Vice President, PMA Re
David Koegel, ACAS, Senior Vice President, Enterprise Advisors/Imagine Group

Property Per Risk
In exploring the current state of the art for rating property per risk covers, this session will delve into the workings of ISO's PSOLD product. Panelists will explore where PSOLD's data comes from, how the underlying distributions were created, and how PSOLD can be used to price property per risk covers as well as what are the product's limitations in this regard. Other important aspects of pricing property per risk treaties will also be discussed.

Moderator:
Barry C. Zurbuchen, FCAS, Vice President, Allied World Assurance Company

Panelists:
Glenn G. Meyers, FCAS, Chief of Actuarial Research & Assistant Vice President, ISO
David R. Clark, Vice President and Actuary, American Re-Insurance Company

Medical Malpractice
The night President Bush mentioned medical malpractice in his State of the Union address was the night this line of insurance officially became a national crisis. Insurers are withdrawing from the line of business. Doctors are staging walkouts. In the midst of the turmoil, what should the reinsurance actuary focus on when pricing this class of business? The panel will discuss and pose some answers to that very question.

Moderator:
William E. Burns, ACAS, Vice President and Actuary, Holborn Corporation

Panelists:
George A. Hroziencik, FCAS, Regional Actuary, AIG
Richard A. Lino, FCAS, Consulting Actuary

Liability Storms: Asbestos, Mold, Construction Defect
As highlighted in the recent press, asbestos litigation continues to challenge companies, their insurers, and reinsurers. These challenges are driven by increases in the number of cases filed, higher settlement awards, and more companies named in litigation. RAND estimates that approximately 8,600 companies have been named in asbestos litigation. This session will focus on recent developments in asbestos, including the hearings held by the Senate Judiciary Committee, and potential legislative efforts.

As insurers have struggled with asbestos, other torts have tried to unseat asbestos as the "next asbestos." This session will also focus on construction defects and mold to determine what is driving these torts and what effects they are causing to insurers and reinsurers.

Moderator:
Michael E. Angelina, ACAS, Consulting Actuary, Tillinghast-Towers Perrin

Panelists:
Chandrakant C. Patel, FCAS, Senior Vice President & Corporate Actuary, ACE INA
TBD