Limited Attendance Reinsurance Seminar on Catastrophes Handouts

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Statistical limitations of cat modeling: How accurate can cat models be?

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Given the limited Atlantic hurricane sample size, speakers discuss the limitations of predictive modeling from three perspectives:

• a frequentist (broker) approach using bootstrapping techniques
• an Bayesian (modeler) approach incorporating new events into a prior assumption framework
• a practical (insurer) approach reconciling the politics of actual claims experience with model-based expectations.

Moderator:
Timothy P. Aman, Managing Director, Guy Carpenter & Company, Inc.
Panelists:
Richard R. Anderson, Chief Actuary, Risk Management Solutions, Inc.
Mark Cravens, Wellington Underwriting Inc.

Property Cat -The Cedant's Viewpoint

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This session will focus on the process and procedures ceding companies use to manage property catastrophe exposures and the decision criteria used for structuring cat reinsurance. Participants will also discuss how these processes, procedures and decision criteria have changed given recent changes to storm frequency, rating agency models and third-party cat modeling software.

Moderator:
Sean R. Devlin, Head of P&C Treaty Pricing, Swiss Re
Panelists:
Donald F. Mango, Senior Vice President, Guy Carpenter & Company, Inc.
M. Charles Parsons, Actuary, Allstate Insurance Company

Prediction of Hurricane Frequency and Intensity

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The last two Atlantic hurricane seasons have been much more active than average. In addition, a large number of intense hurricanes made landfall in 2004 and 2005, resulting in substantial insured losses.

The first panelist will explore the driving factors for the track, intensity and frequency of the last two years. In addition, he will give insight to their methodology and predictive skill of their forecasts, as well as how the insurance industry can incorporate this in the modeling of expected losses.

The second panelist will explain the long term changing of the climate, such as global warming. He will also explain how these changes impact hurricane activity.

Moderator:
Sean R. Devlin, Head of P&C Treaty Pricing, Swiss Re
Panelists:
Dail Rowe, Ph.D., Senior Research Scientist and Scientific Operations Manager, Accurate Environmental Forecasting, Inc.

Alternatives to Traditional Property CAT Excess of Loss Programs

Due to the recent CATs, Traditional property - CAT excess of loss programs have become more expensive. Therefore, many primary companies are exploring alternative structures (e.g., CAT Bonds) to manage their exposure. This session will discuss alternative products.

Moderator:
Brian Z. Brown, Consulting Actuary, Milliman, Inc.
Panelists:
Jay Green, Assistant Vice President, Swiss Re Capital Markets
Sandra Giuffre, Principal, Giuffre Associates

Rating Agency: Analysis of CAT Exposure

This session will discuss factors that A.M. Best and S&P consider in the rating process related to CAT exposures. Over the past two years, CAT's have had a dramatic effect on several reinsurance companies' bottom line and surplus. Therefore, the rating agencies have responded by revising their models and analysis.

Moderator:
Brian Z. Brown, Consulting Actuary, Milliman, Inc.
Panelists:
John Andre, Vice President, A.M. Best
Damien Magarelli, Director, S&P Insurance Ratings