Casualty Actuarial Society


CAS E-Forum

CAS E-Forum, Fall 2013

2013 Fall including Report 6 of the RBC Dependencies and Calibration Working Party, the Tail Factors Working Party Report, and the Non-Technical Reserve Call Papers

The E-Forum replaces the traditional printed Forum as the means to disseminate non-refereed research papers to the actuarial community. The CAS will no longer distribute the Forum in hard copy format. The CAS is not responsible for statements or opinions expressed in the papers in the E-Forum. These papers have not been peer reviewed by any CAS Committee.


These files are in Portable Document Format (PDF), you will need to download the Acrobat Reader to view the articles.


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CAS Working Parties Reports

Report 6: Risk-Based Capital (RBC) Premium Risk Charges—Improvements to Current Calibration Method
RBC Dependencies and Calibration Working Party

The Estimation of Loss Development Tail Factors: A Summary Report
Tail Factors Working Party
     Excel Spreadsheet

Non-Technical Reserve Call Papers

Chain Ladder Reserving Methods for Liabilities with Per Occurrence Limits
Karen H. S. Adams, ACAS, MAAA

Structured Tools to Help Organize One’s Thinking When Performing or Reviewing a Reserve Analysis
Jennifer Cheslawski Balester, FCAS, MAAA, and Gerald S. Kirschner, FCAS, MAAA

A Methodology for Avoiding the Pitfalls of Excess Loss Development
Lynne Bloom, FCAS, MAAA, and Lela Patrik, FCAS, MAAA
     Excel Spreadsheet

Justification for, and Implications of, Regulators Suggesting Particular Reserving Techniques
William J. Collins, ACAS

Testing the Assumptions of Assumptions Testing
Keith Curley, FCAS, MAAA

Runoff Collateral Requirements
James Ely, FCAS

Seeing the Forest with the Stems-and-Leaves
Kirk G. Fleming, FCAS, MAAA

Peaks and Troughs: Reserving Through the Market Cycle
Susan J. Forray, FCAS, MAAA, and Zachary A. Ballweg, FCAS, MAAA

Aggregate Loss Reserve Analysis by Accounting Date
Bertram A. Horowitz, FCAS, MAAA

A Mortality-Based Approach to Reserving for Lifetime Workers’ Compensation Claims
Brian A. Jones, FCAS, MAAA; Craig J. Scukas, FCAS, MAAA; Kathryn S. Frerman; Melissa S. Holt, FCAS, MAAA; Vicki A. Fendley, FCAS, ASA, MAAA

Estimating Unpaid Claim Liabilities for Mortgage Insurance
David Kaye, FCAS, MAAA
     Excel Spreadsheet

An Enhanced On-Level Approach to Calculating Expected Loss Costs
Marc B. Pearl, FCAS, MAAA, and Jeremy Smith, FCAS, MAAA, CERA, CPCU

Using Life Expectancy to Inform the Estimate of Tail Factors for Workers Compensation Liabilities
Michael Shane, FCAS, MAAA, and Dawn Morelli, ACAS, MAAA

Reserving in Two Steps: Total IBNR = Pure IBNR + IBNER
Daniel David Schlemmer, ACAS, MAAA, and Tracey Tarkowski

Applications of Reserve Ranges and Variability in Practice
Christopher Walker, FCAS, MAAA, and Mark Littmann, FCAS, MAAA

Effects of Loss Reserve Margins on Calendar Year Results—Balcarek Expanded
Robert J. Walling III, FCAS, MAAA, and Erich A. Brandt, FCAS, MAAA

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