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STAY TUNED! If you are anticipating additional search filters by attribute and level to align with the CAS Capability Model, it is coming later this Summer. As the CAS begins to code recorded sessions by specific attributes and levels (starting with the 2023 Annual Meeting), these will be tagged in the CAS database of presentations going forward and should be searchable.
But you may use the Capability Model now to help you identify topics. For example, if you want to move up one level under the content area “Functional Expertise,” you may search topics in the particular functional area to expand your knowledge.
Recorded content is searchable by Capability Model attribute and level in the CAS Online Library.
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STAY TUNED! If you are anticipating additional search filters by attribute and level to align with the CAS Capability Model, it is coming later this Summer. As the CAS begins to code recorded sessions by specific attributes and levels (starting with the 2023 Annual Meeting), these will be tagged in the CAS database of presentations going forward and should be searchable.
But you may use the Capability Model now to help you identify topics. For example, if you want to move up one level under the content area “Functional Expertise,” you may search topics in the particular functional area to expand your knowledge.
Recorded content is searchable by Capability Model attribute and level in the CAS Online Library.
Basic Track I-Considerations in Evaluating Reserves
Basic understanding begins with the CAS Statement of Principles Regarding Loss and Loss Adjustment Expense Reserves, including the definitions and considerations that guide the actuary. Following the discussion of the Statement of Principles, participants will walk through, step-by-step, the most basic of reserving techniques-the Loss Development Method. The presentation will include examples of data organization, link ratios, key assumptions, and potential problems.
Source:
2004 Casualty Loss Reserve Seminar (CLRS)
Type:
concurrent
Keywords:
CAS Statement of Principles Regarding Loss and Loss Adjustment Expense Reserves, Loss Development Method
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.
Source:
2004 Seminar on Reinsurance
Type:
concurrent
Moderators:
Karen Pachyn
Panelists:
Michael Mavaddat, William Samuelson
Keywords:
decisions
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.
Source:
2004 Seminar on Reinsurance
Type:
concurrent
Moderators:
Mark Shapland
Panelists:
Bill Babcock, Mary Saslow
Keywords:
insurance risk interpretations, Accounting Standards Executive Pane, FASB, bifurcation and insurance risk
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.
Source:
2004 Seminar on Reinsurance
Type:
concurrent
Moderators:
Vincent Senia
Panelists:
Gerard Palisi, Lee Taylor, James Nealon
Keywords:
underwriting, ceding company pricing, rate monitoring and emerging issues
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.
Source:
2004 Seminar on Reinsurance
Type:
concurrent
Moderators:
Vincent Senia
Panelists:
James Hurley, Betsy Wellington
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.
Source:
2004 Seminar on Reinsurance
Type:
concurrent
Moderators:
Robert Morand
Panelists:
Susan Patschak, Robin Murray, Dom Tobey
Keywords:
London Market, subscription market, Lloyd's
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.
Source:
2004 Seminar on Reinsurance
Type:
concurrent
Moderators:
Robert Morand
Panelists:
Ivan Dolowich, Shelia January
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.
Source:
2004 Seminar on Reinsurance
Type:
Paper
Keywords:
Reinsurance
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.
Source:
2004 Seminar on Reinsurance
Type:
concurrent
Moderators:
Robert Morand
Panelists:
Steven White, Charles Kampen
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.
Source:
2004 Seminar on Reinsurance
Type:
concurrent
Moderators:
Robert Morand
Panelists:
Robert Muir-Wood, Jayanta Guin
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
Source:
2004 Seminar on Reinsurance
Type:
concurrent
Moderators:
Max Rudolph
Panelists:
Kari Mrazek
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
Source:
2004 Seminar on Reinsurance
Type:
concurrent
Moderators:
Max Rudolph
Panelists:
Alice Underwood, John Buchanan
Dysfunctional Family
Following the disastrous soft market of the early 1980's, the reinsurance industry recognized the need for actuaries' perspectives on risk, exposure, and price. Actuaries now have essential roles in gathering clients' underwriting data; in pricing, underwriting and reserving; and in the general management of reinsurers, cedents, and brokers. But after the most recent market downturn of 1998-2001, many reinsurers are already publishing ultimate combined ratios over 150%, even excluding the 2001 terror attacks. How did the actuarial profession contribute to that? Are we doomed or is there hope?
Can this actuarial family be saved?
Source:
2004 Seminar on Reinsurance
Type:
general
Moderators:
Steven Craighead
Panelists:
Paul Kneuer, Richard Lino, Issac Mashitz
Keywords:
Historical Perspective on Industry Results (or Industry Results), Cycle, Reinsurance, Fronts, Medical Malpractice, Key Drivers of Results
New Capital; Same Strategies?
In the past three years there has been a dramatic change in the global reinsurance company line-up. While "household name" reinsurers have closed their doors or been placed into run-off, a significant number of new reinsurance companies have been formed and subsequently taken public. While the companies and their capital are new, their management teams are made up of seasoned reinsurance executives. How are these companies different from the reinsurers of the 1990's? While there is speculation that the market will soften in the near future, how will these companies avoid making the same mistakes of the last soft market?
Source:
2004 Seminar on Reinsurance
Type:
general
Moderators:
Richard Gorvett
Panelists:
David Cash, Brian Moon, Chris Winans
Keywords:
Reinsurance, Start Ups, Underwriting Strategy
Proceedings Papers David Ruhm's "Distribution-Based Pricing Formulas are Not Arbitrage-Free"
David Ruhm is entirely correct that risk load formulas based on transforming probability distributions of contract outcomes cannot guarantee arbitrage-free prices. This is what he illustrates by a clever and entertaining example. But the title of the paper seems to assert that no method of transforming distributions is arbitrage-free. This is not the case, as transforms of the probabilities of the underlying events that generate the outcomes are well known to produce arbitrage-free prices. In fact, Ruhm illustrates this by showing that the Black-Scholes formula arises from such a transform. He also shows that this formula builds in risk adjustments to prices, thus addressing the misapprehension that since the options prices come from a risk-neutral valuation they do not incorporate risk adjustments. To illustrate the application of probability transforms to fundamental events in insurance, this discussion provides an example of using a newly reported transform of underlying frequency and severity distributions to price loss layers.
Source:
2004 Spring Meeting
Type:
Paper
Moderators:
Richard Gorvett
Keywords:
risk
Proceedings Papers Stephen P. D'Arcy and Michael A. Dyer's "Ratemaking: A Financial Economic Approach"
In their 1997 Proceedings paper D'Arcy and Dyer survey the property-casualty ratemaking landscape from a financial economics perspective. This discussion is devoted entirely to Section 8 of their paper, which deals with a method drawing upon Option Pricing Theory (OPT). The purpose of this discussion is to correct, clarify and extend the work of D'Arcy and Dyer. The author will point out and correct what he sees as the paper's shortcomings, rework and extend the examples, and expand the exposition to allow for a more complete treatment of taxes and claims that vary stochastically.
Source:
2004 Spring Meeting
Type:
Paper
Moderators:
Richard Gorvett
Keywords:
property-casualty, ratemaking
Discussion Papers on Generalized Linear Models - Session 3 Loss Reserving with GLMs: A Case Study
This paper provides a case study in the application of generalised linear models ("GLMs") to loss reserving. The study is motivated by approaching the exercise from the viewpoint of an actuary with a predisposition to the application of the chain ladder ("CL").
The data set under study is seen to violate the conditions for application of the CL in a number of ways. The difficulties of adjusting the CL to allow for these features of the data are noted (Section 3).
Regression, and particularly GLM regression, is introduced as a structural and rigorous form of data analysis. This enables the investigation and modeling of a number of complex features of the data responsible for the violation of the CL conditions. These include superimposed inflation and changes in the rules governing the payment of claims (Sections 4 to 7).
The development of the analysis is traced in some detail, as is the production of a range of diagnostics and tests used to compare candidate models and validate the final one. The benefits of this approach are discussed in Section 8.
Source:
2004 Spring Meeting
Type:
Paper
Panelists:
Greg Taylor, Grainne McGuire
Keywords:
generalised linear models ("GLMs"), loss reserving
Discussion Papers on Generalized Linear Models - Session 3 A Practitioner's Approach to Marine Liability Pricing Using Generalised Linear Models
Marine Liability underwriters - notably those at the Protection and Indemnity (P&I) Clubs - have traditionally used empirical approaches based on individual risk experiences to arrive at their pricing. But P&I is a direct class of insurance and the underwriters have at their disposal significant data volumes. This means that it is more than possible to apply the kind of modeling techniques to P&I (and, for that matter, to other classes in the marine sector) that have become commonplace elsewhere in the General Insurance (Property & Casualty) world. In this paper we note the traditional methods, the data available and indicate how the Generalised Linear Modeling technique can be used to derive rating models that apply to Marine Liability business.
Source:
2004 Spring Meeting
Type:
Paper
Panelists:
David Sanders, Brian Gedalla, Denise Jackson
Keywords:
underwriters, Liability
Discussion Papers on Generalized Linear Models - Session 1 A Primer on the Exponential Family of Distributions
Generalized Linear Model (GLM) theory represents a significant advance beyond linear regression theory, specifically in expanding the choice of probability distributions from the Normal to the Natural Exponential Family. This Primer is intended for GLM users seeking a handy reference on the model's distributional assumptions. The Exponential Family of Distributions is introduced, with an emphasis on variance structures that may be suitable for aggregate loss models in property/casualty insurance.
Source:
2004 Spring Meeting
Type:
Paper
Panelists:
David Clark, Charles Thayer
Keywords:
Generalized Linear Model (GLM) theory
Discussion Papers on Generalized Linear Models - Session 1 Severity Distributions for GLMs: Gamma or Lognormal? Evidence from Monte Carlo Simulations
Insurance claim costs have been found in numerous studies to be positive and usually positively skewed with variances often proportional to the mean squared. In practice, the gamma and lognormal distributions are the ones with those desired properties most widely used. Most actuarial research in GLMs also report results from normal distributions as a comparison. In this study, we apply Monte Carlo simulation techniques to examine the unbiasedness and stability of the GLM classification relativities assuming gamma, lognormal, and normal distributions. We find that the gamma distribution provides better predictive accuracy and efficiency.
Source:
2004 Spring Meeting
Type:
Paper
Panelists:
Luyang Fu, Richard Moncher
Keywords:
Generalized Linear Models, GLMs, Severity Distributions
Research Update-The Risk Premium Project
The Risk Premium Project (RPP) is a team of researchers organized in response to a Request for Proposal distributed by the Committee on the Theory of Risk to support research on valuing property-liability risks. In this session, researchers from the Risk Premium Project will present the results of their research, which focused on a specific approach used to value property-liability exposures (CAPM). Several important advancements to the traditional CAPM. were incorporated into the methodology used by the team. Among these are
the use of sumbeta instead of a single beta model, and
use of the three factor Fama-French model instead of a single factor model.
The authors also applied the "full information" method to compute Betas by line of business. The results of the research were used to compute the cost of capital for property and casualty insurance and for lines of business within property and casualty insurance.
Source:
2004 Spring Meeting
Type:
concurrent
Moderators:
Michael Ong
Panelists:
Richard Derrig, Richard Phillips, J. Cummins
The Price is Right (a.k.a. Optimal Pricing)
In the United States, pricing actuaries have developed sophisticated methods for identifying the loss costs associated with a particular risk group. Companies try to balance the indicated loss costs against competitive data and current rates to determine an appropriate rate action.
In other markets in the world, pricing actuaries are now successfully integrating loss cost and retention/conversion analysis to systematically determine optimized pricing decisions. The panel will address the fundamentals of integrated optimized pricing, hurdles for implementation, and the relative benefits of the approach. Finally, the panel will discuss how the concepts can be applied in the United States given the various state regulations.
Source:
2004 Spring Meeting
Type:
concurrent
Moderators:
Michael Ong
Panelists:
Chester Szczepanski, Peter Orlay
Presenting Dynamic Financial Analysis Results to Decision Makers
This session will summarize the work to date of the CAS Research Working Party on Executive Level Decision Making Using DFA. The panel of working party members will begin by reviewing their survey of past DFA presentations and will highlight slides or presentation techniques that work well when presenting DFA studies. A PowerPoint template for DFA presentations will be introduced followed by sample presentations that illustrate how the template can be applied. The panel will share their insights gained from their survey of DFA presentations and their own experiences.
Source:
2004 Spring Meeting
Type:
concurrent
Moderators:
David Sandberg
Panelists:
Aleksey Popelyukhin, Patrick Crowe, Raju Bohra, Michael Larsen
Personal Auto Insurance-Surprised the Car Makes a Difference?
As the mix in personal vehicle types on the road has become more diverse in size and the distribution more equal in numbers, personal auto insurers have re-examined the rating for personal auto insurance. The actual vehicle driven, long a staple in the rating of physical damage insurance, has become an examined element in the rating of first party medical coverages (PIP and medical payments) and third party bodily injury and property damage liability. However, not all insurers have reacted in the same way. What are some of the differences in the rating structures and what are the facts and issues that may have lead different insurers to draw differing conclusions?
Source:
2004 Spring Meeting
Type:
concurrent
Moderators:
David Sandberg
Panelists:
Daniel Charbonneau, Thomas Rau
Keywords:
Vehicle Rating Liability
The NAIC Risk Based Capital Formula Revisited
The NAIC Risk-Based Capital (RBC) formula implemented in the early 1990s has been deemed an improvement over prior minimum capital standards. The RBC formula provides a ranking process for property casualty insurers with regards to regulatory intervention. But in recent years, the formula has been criticized because the process does not detect troubled companies early enough, despite the fact that the formula was not intended to be used as an "end-all" solution to capital adequacy standards.
Several committees of both the American Academy of Actuaries and the National Association of Insurance Commissioners have been working jointly to test the feasibility of a "trend test" solution, similar to that used for life insurers. The goal is to spot troubled insurers sooner. In essence, this effort is an attempt to evaluate and possibly improve upon the early warning responsiveness of the current RBC formula with regards to company impairment. The panel will discuss the specific research initiative to review actual failed insurers in the interest of gleaning aspects of risk perhaps not captured early enough in the current formula.
Source:
2004 Spring Meeting
Type:
concurrent
Moderators:
Valentina Isakina
Panelists:
G. Nyce
