CAS 2004 Seminar on Reinsurance

Technical and Pricing Sessions
Advanced Experience Rating
This session will address two issues in casualty excess-of-loss pricing:

The effects of shifting policy limits profiles over time on experience indications, methods for quantifying these affects and adjusting experience indications

Deriving experience indications using separate frequency and severity projection techniques

Moderator/Panelist:
Robert A. Giambo, FCAS, Senior Actuary, Swiss Reinsurance America Corp.
Panelist:
John Buchanan, FCAS, Senior Vice President, Platinum Underwriters Reinsurance Inc.
Alice Underwood, Vice President, Converium
Advanced Exposure Rating
This session is targeted to those who wish to improve the basic exposure rating tools available to them. On the casualty side, the panelists will present an adjustment to the ISO mixed exponential curves, which thickens the tail of the distribution while still reflecting the latest ISO parameters. For property, the panelists will discuss the use of first loss scales (Ludwig, Salzmann, Lloyds) vs. size of loss distributions (PSOLD). The panelists will also address how to handle stacking, ventilation, and participation within an exposure-rating model.
Other casualty topics include:

Treatment of ALAE

Using ceding company ILFs

Umbrella over own and over other

Creating frequency and severity assumptions for collective risk modeling

Other property topics include:

Potential adjustments to the PSOLD model

Fitting curves to first loss scales

Interpolating between first loss scales

Moderator/Panelist:
Steven B. White, FCAS, Senior Vice President, Guy Carpenter & Company, Inc.
Panelist:
Kari S. Mrazek, FCAS, Second Vice President, Employers Reinsurance Corporation
Property Catastrophe Modeling— Small-to-Medium-Size Events
Insurers and reinsurers depend on catastrophe modeling results in the development of pricing estimates and in the capacity allocation for their organization. Understanding the accuracy and limitations of catastrophe models is essential to the pricing process. This session will focus on how well the catastrophe models calibrate the small-to-medium-size loss events as well as the theory behind the models for northeast hurricane perils. Representatives from catastrophe modeling firms will discuss their approach in terms of data used as well as underlying assumptions, parameters, and the latest model developments.
Moderator:
Todd D. Cheema, FCAS, Assistant Vice President, PartnerRe
Panelists:
Jayanta Guin, Vice President of Research, AIR
Robert Muir-Wood, Chief Research Officer, RMS
Parameter Uncertainty
Many reinsurance actuaries use pricing models that assume pricing parameters such as the mean and standard deviation are known. While these models may do a good job at analyzing the process risk, they ignore the risk emanating from the fact that the parameters are really just estimates and are not known. Ignoring the parameter uncertainty may lead to underpricing reinsurance covers. The panel will describe practical methods for analyzing parameter risk and how to incorporate it into the pricing experience.
Moderator:
Ernie Tistan, FCAS, Chubb Re
Panelists:
Charles Van Kampen, FCAS, Vice President and Actuary, American Agricultural Insurance Company
Steven B. White, FCAS, Senior Vice President, Guy Carpenter & Company, Inc.
Research Corner
Hosted by the CAS Reinsurance Research Committee, Research Corner will include a significant amount of audience participation. Research Corner is an excellent forum for discussing new ideas in actuarial methodology and gives attendees the opportunity to present current research.
Moderator:
Stewart Gleason, ACAS, Senior Vice President, Guy Carpenter & Company, Inc.
Ronald Ferguson Reinsurance Award—Paper Presentation
Commemorating the work of Ronald E. Ferguson, CAS Fellow and chairman of GeneralCologne Re, the Ferguson Reinsurance Award is made to the author of the best paper nominated for the prize as determined by the CAS Committee on Reinsurance Research. This session is hosted by the Reinsurance Research Committee and features the paper presentation of the 2004 award. If time allows, an additional nominated paper may be presented.
Moderator:
Reinsurance Research Committee Member

Business Segment Sessions
Directors & Officers Professional Liability
On September 3, 2003, New York Attorney General Eliot Spitzer announced an investigation into mutual fund practices. The SEC and other state attorneys general followed suit with their own investigations of market timing, late trading, and improper distribution activities. The scandal has expanded to encompass about half of the nation's mutual funds, insurers offering variable annuities, and financial institutions that distribute mutual funds. Plaintiffs' lawyers have been quick to file class action suits based on the allegations in these regulatory investigations. This panel will address the mutual fund claims, focusing on allegations, defenses, and possible damages. It will also examine underwriting D&O and financial institution risk in light of these claims.
Moderator:
Steven Petlick, FCAS, Chief Actuary Global & National, Swiss Reinsurance America Corporation
Panelist:
Ivan Dolowich, Senior Vice President & Chief Claims Officer, Gulf Insurance Company
Shelia January, Senior Vice President, Diversified Financial Institutions, Zurich North America Specialties
International
With the continued globalization of the insurance industry and reinsurance market, actuaries practicing in different countries are faced with exciting new challenges. They are learning cultural differences in business practice, incorporating actuarial discipline and processes into markets that traditionally are not accustomed to these practices, and dealing with traditional core lines of business with little or no benchmark data. This panel will focus on the experiences of three actuaries who have practiced in various parts of the world including Latin America, Asia-Pacific, London, and Continental Europe.
Moderator:
Michael E. Angelina, ACAS, Principal and Consulting Actuary, Towers Perrin
Panelists:
Robin N. Murray, FCAS, Consulting Actuary, Towers Perrin
Susan J. Patschak, FCAS, Chief Actuary, ACE Global Headquarters
Dom M. Tobey, Consulting Actuary, Towers Perrin
Medical Malpractice
The panel will discuss medical malpractice financial results - net and ceded; and associated issues in the federal and state legislative debates on tort reform. The presentation will also include a discussion of a publicly available medical malpractice claim database, including potential uses such as analyzing underlying loss trends, and inherent pitfalls.
Moderator:
Kasing Leonard Chung, FCAS, Vice President & Associate Actuary, Transatlantic Reinsurance Company
Panelist:
James D. Hurley, ACAS, Consulting Actuary, Tillinghast - Towers Perrin
Betsy Wellington, FCAS, President, Wellington Actuarial Services
Umbrella
The panelists will provide both underwriting and actuarial perspectives, discussing coverage issues, ceding company pricing, rate monitoring and emerging issues. The panel will also comment on data requirements for submissions and discuss underwriting, actuarial and claims audits.
Moderator:
Patrick J. Burns, FCAS, Senior Vice President, American Home Assurance Co.
Panelist:
James Nealon, Vice President, General Reinsurance Corporation
Gerard J. Palisi, FCAS, Actuary, Swiss Reinsurance America Corporation
Lee Taylor, Vice President & General Casualty Underwriting Manager, Transatlantic Reinsurance Company
Accounting Issues
Developments with insurance risk interpretations could affect the accounting treatment for both finite and standard reinsurance contracts. In the U.S., the Accounting Standards Executive Panel and the Insurance Expert Panel have specifically asked FASB to consider clarification of FAS 113. Internationally, IASB ED 5 looks to define insurance risk and accounting for liabilities. The panel will discuss several issues, including bifurcation and insurance risk as it relates to sliding scale commissions, corridors, and other contract features.
Moderator:
Mark W. Callahan, FCAS, Senior Vice President, XL Financial Solutions
Panelists:
Bill Babcock, Endurance Reinsurance
Mary Saslow, PricewaterhouseCoopers LLP
Reinsurance Contract Wording
Topics in this session include current issues and trends in reinsurance contract wording. The speakers will discuss what influence market conditions and regulation have on contract terms and the impact specific contract clauses have on pricing and underwriting decisions. This session will also discuss contract terms that create real options imbedded in most reinsurance contracts and methods of quantifying them.
Moderator:
Jeanne L. Ying, FCAS, Vice President, ACE Tempest Re
Panelists:
Harry Bittner, Vice President, Towers Perrin
Kathleen M. Carroll, Senior Vice President, Guy Carpenter & Co., Inc.
David L. Drury, FCAS, Senior Vice President and Chief Actuary, ACE Tempest Re
Was That a Rational Decision?
We wrote the business—should we be happy or worried? How do human limitations affect the decisions actuaries and underwriters make? This session will explore the "Winner's Curse" and other topics in behavioral economics.
Moderator:
Christian Svendsgaard, FCAS, Senior Pricing Actuary and Member of Senior Management, Swiss Re
Panelists:
Michael Mavaddat, Managing Director, Decision Strategies International, Inc.
William Samuelson, Ph.D. and Professor, Boston University

Other Sessions
The Versatile Skill Set
Within the insurance/reinsurance community many CEOs, CUOs, COOs, and CFOs have business cards containing the letters FCAS or ACAS. The combination of the CAS exams and on the job training expose the actuary to the majority of functions associated with running an insurance/reinsurance company. This knowledge base provides the actuary with a versatile skill set and the option for career development outside the pure actuarial function. The panelists in this session are CAS members who have moved into other roles within the reinsurance world. They will share their experiences, including the industry's perception of the actuary and how to market your skill set over stereotypes.
Moderator:
Jean A. DeSantis, FCAS, Underwriter, Swiss Re Underwriters Agency, Inc.
Panelists:
Charles T. Goldie, FCAS, Senior Vice President and Manager of Specialty Lines, PartnerRe U.S.
H. Elizabeth Mitchell, FCAS, Executive Vice President and Chief Operating Officer, Platinum Underwriters Reinsurance Inc.
Dale G. Vincent, FCAS, Director Treaty Casualty, Arch Reinsurance Company
Ceded Reinsurance
This session will explore the reinsurance buying process from the cedant's point of view.
Moderator:
Brian Z. Brown, FCAS, Consulting Actuary, Milliman USA
Panelists:
Scott C. Belden, ACAS, Managing Director-Risk and Reinsurance, Travelers Insurance
Diane Herkness, Vice President-Reinsurance, ACE USA
Don Nibouar, Senior Vice President, OneBeacon Insurance Group