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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.
IAA Progress on RBC
The NAIC instituted risk-based capital about fifteen years ago. This was a substantial enhancement in solvency regulation as for the first time, capital requirements reflected varying levels of risk by insurer. The International Actuarial Association (IAA), in response to a request from the International Association of Insurance Supervisors (IAIS), is developing a global framework for risk based capital. Members of the IAA Working Party on Risk Based Capital will discuss progress thus far and anticipated future developments.
Source:
2003 Enterprise Risk Management Symposium
Type:
concurrent
Panelists:
Glenn Meyers, Les Rehbeli
DFA and DFCA as ALM, ERM Tools
DFA and dynamic financial condition analysis (DFCA) are conceptual tools developed by the CAS and SOA, respectively, to address the issue of a company risk management from a holistic, comprehensive perspective. The panel discussion will present an overview of each method and offer insights about how these existing tools might best fit into an ERM framework. The session will address current issues associated with implementation of DFA/DFCA in a company setting, and will offer CAS and SOA perspectives on potential for further improvement of these methods to make them more efficient and applicable as ERM tools.
Source:
2003 Enterprise Risk Management Symposium
Type:
concurrent
Panelists:
Shawn Cowls, Bret Price
Reinsurance Counterparty Risk
Risk management often involves transfering risks to another financial institution through reinsurance or derivative transactions. Those who entered into energy derivative contracts with Enron found out that they had substituted "counterparty" risk for the energy price risk that they had sought to transfer away. Companies have various procedures to monitor and react to changes in levels of counterparty risk. At this session attendees will hear about the procedures and experiences of several companies.
Source:
2003 Enterprise Risk Management Symposium
Type:
concurrent
Panelists:
Douglas Knowling, John Shaw
Market and Credit Risk Integration
Integration of various risk modeling and management techniques has been receiving increasing attention at an enterprise level within many companies. Market and credit risks appear to be excellent candidates for such an integration. This panel will provide an overview to the possible approaches of integrated modeling of market and credit risks. The session will address stochastic modeling of interest rates and quality spreads, modeling correlations in credit and market risks, and managing counter-party risk in portfolios. The discussion will also include extension of integrated modeling beyond one year horizon, as appropriate for long-term risks, and related challenges.
Source:
2003 Enterprise Risk Management Symposium
Type:
concurrent
Panelists:
Bill Pauling, Dan Rosen
Credit Risk Modeling and Management
During the last several years, credit risk has received increased attention as a growing source of risk within an enterprise. The panel will address the latest developments in measuring and analyzing credit risk as well as various methods of credit risk modeling (use of migration matrices and various other models of default probabilities and costs). A comparison of the different models of default risk, their advantages and disadvantages, will be presented and discussed. The presentations will also offer examples of effective techniques for measuring tail risk and address ways to extend credit risk modeling beyond a one-year horizon, as appropriate for long-term risks, as well as the related challenges.
Source:
2003 Enterprise Risk Management Symposium
Type:
concurrent
Panelists:
Bob Lewis, Dennis Bushe, Scott Christensen
Sarbanes-Oxley
The Sarbanes-Oxley Act specifies broad reforms in corporate governance and disclosure rules for public companies, which, in turn, has a significant impact on the ways companies do business. This session will cover the basic provisions of the Act as they affect financial services organizations and discuss the implications for corporations and practicing risk managers.
Source:
2003 Enterprise Risk Management Symposium
Type:
concurrent
Panelists:
Jack Gibson, Darryl Wagner
ERM Case Studies
Several insurance companies have developed ERM programs. Speakers will discuss their experiences where ERM has proven to be an effective risk management tool, quantified certain risk exposures, or created added stakeholder value to the organization.
Source:
2003 Enterprise Risk Management Symposium
Type:
concurrent
Panelists:
Vinaya Sharma, Ronald Harasym, James Rozsypal
Outside Perspective of ERM From Regulators, Rating Agencies, and Analysts
Regulators, rating agencies, and Wall Street analysts evaluate enterprise risk for a variety of purposes. In addition to the published financial reports, these organizations are increasingly coming to depend on the comprehensiveness and quality of the company's ERM process.
Speakers at this session will present their assessment of enterprise risks for the insurance industry and the extent to which establishing a clear internal ERM structure aids their evaluation of a company. In addition, the panel will give their opinions on the recent growth in the number of chief risk officer positions and the importance of this role in the ERM process.
Source:
2003 Enterprise Risk Management Symposium
Type:
concurrent
Panelists:
Allan Brender, David DelBiondo, Eric Berg
How ERM is Consistent With Embedded Value Reporting
Recent events have posed serious challenges for insurers and heightened their appreciation for risk. Further, because of the spotlight on corporate governance, insurers are emphasizing transparency and disclosure. Best practice companies are improving financial transparency by developing financial systems that give them a better understanding of their business (embedded value) and linking it to an overall framework for ERM.
This session will provide an overview of how embedded value addresses external and internal questions on performance measurement and how embedded value is consistent with ERM.
Source:
2003 Enterprise Risk Management Symposium
Type:
concurrent
Panelists:
Hubert Mueller, S. McLaughlin
Value of ERM
Have you been asked to justify the worthiness of an ERM program? Attendees will get the opportunity to hear how ERM is making a difference in their organization. Find out reasons to start an ERM program, listen to others on how they started ERM programs, and what benefits have been achieved so far.
Source:
2003 Enterprise Risk Management Symposium
Type:
concurrent
Panelists:
William Panning, Ruth Sayasith
ERM in Banking
Bank risk management has seen tremendous development over the past ten years. Speakers will talk about the efforts and progress that banks are making to develop full ERM systems and some of the reasons that ERM has not developed faster. They will share what they see as the most effective parts of their ERM programs and discuss the areas where the cost/benefit relationship may not support full development.
Source:
2003 Enterprise Risk Management Symposium
Type:
concurrent
Moderators:
Barry Zurbuchen
Panelists:
Jeffrey Mohrenwiser, James Lam
ERM and DFA using Active Knowledge Structures
The requirement for integration of historical and hypothetical risk is part of a trend to increase the dynamic response of analytic systems within an organization subject to change. The paper presents a general formalism whose textual representation is immediately familiar, but which uses elements in a structure rather than a stream of instructions in its operation. The structure is uncommitted – it allows information to flow in any direction – and is closer to the use of knowledge than other techniques. There are many benefits – it is easy to combine structures, the structures can be self-modifying, and elements within the structure can learn from its activation, eliminating the need for tens of thousands of simulations which do not accurately mirror the response of the organization to its environment.
Source:
2003 Risk and Capital Management Seminar
Type:
concurrent
Panelists:
James Brander
Advanced Modeling for the New Risk Landscape
The paper addresses what the authors believe is an enormous opportunity for the actuarial community. For decades, scientists have been developing mathematical and technological tools for the purpose of modeling and interpreting some of the most complex phenomena of the sensory world. From relativity theory and quantum mechanics to string theory, complexity and chaos theory, tools have emerged which can complement traditional actuarial approaches.
Extreme events, cascading risks, multiple correlations, globalism, connectivity and derivative products have all contributed to a need for mathematical structures which reach beyond those which were developed for different times. Actuarial events, like those occuring in the subatomic world arise under a cloud of uncertainty. By incorporating developments which have arisen to model the multidimensional, fuzzy, holistic, dynamic, emergent, probabilistic, virtual behavior of the fundamental constituents of physical reality, actuaries can propel themselves into the twenty first century on a wave of unprecedented energy.
Source:
2003 Risk and Capital Management Seminar
Type:
Paper
Panelists:
Lee Smith
Keywords:
Advanced Modeling
Research Working Party Kickoff
Be prepared for an informative and interactive session introducing research working parties. Working parties are like "collective call paper task forces." A group of interested volunteers, with guidance and oversight from members of research committees, will select a topic to research jointly over the coming year, with the goal of producing a single document for presentation at next year's seminar. In this session, we will field your questions and comments, brainstorm, select our first topic (or topics), and even draft any interested members! These pilot working parties will present their work at the 2004 RCM Seminar. Your participation is essential, so come join us.
Source:
2003 Risk and Capital Management Seminar
Type:
concurrent
Moderators:
Peter Wildman
Panelists:
Mark Shapland
Risk-Based Regulation in Insurance
The International Actuarial Association Solvency Capital Working Party has completed its draft report describing a global framework for developing solvency regulation. The report is written assuming an audience of insurance regulators and supervisors. This session is intended to describe the proposed framework and outstanding issues, and allow the audience to provide feedback and commentary. The audience will have the opportunity to review a copy of this draft report prior to the seminar.
Source:
2003 Risk and Capital Management Seminar
Type:
concurrent
Panelists:
Glenn Meyers, Les Rehbeli
Communicating With Wall Street
Property/casualty insurance companies face considerable challenges in securing the confidence of investors and Wall Street analysts. Granted, the business's complexity complicates dialogue, but Wall Street's insistence on more reliable information represents a crucial need to better serve investors. In this regard, some accuse the industry of financial reporting that is either misleading or incomplete, particularly in the area of loss reserves. To some, the industry manipulates reserves and uses "gimmicks" such as finite reinsurance to manage results and mislead investors. Skepticism is affecting the image of the actuarial profession itself, with some suggesting the only reliable measurement of performance has become cash flow. Disclosure challenges abound including pricing for terrorism coverage, and how companies describe motivations for reserve strengthening. The panel will focus on how communications must improve as companies fall under increasing scrutiny after Sarbanes-Oxley.
Source:
2003 Risk and Capital Management Seminar
Type:
concurrent
Panelists:
Alice Schroeder, Maria Olivo
Capital Allocation
Capital allocation has been, and continues to be, a hotly debated topic. From Chuck McClenahan's statement, "Every dollar of capital stands behind each and every risk," one can argue that capital is unallocable. Can it and should it be done at all?
From Glenn Meyers' statement, "Since capital is a scarce resource, one can make an `economics 101' argument to its allocation," it seems that one should allocate capital as economic theory dictates the best way to allocate any scarce resource.
In this session, we will explore the financial underpinnings of why capital allocation is important to firms and discuss several approaches to accomplishing this seemingly controversial task.
Source:
2003 Risk and Capital Management Seminar
Type:
concurrent
Moderators:
Peter Wildman
Panelists:
Russell Bingham
An Overview of Capital Management for Property/Casualty Insurers
A considerable amount of financial theory surrounds the topic of capital management. This session will provide a primer for those interested in understanding the underpinnings of capital management. What determines the optimal capital structure for a firm? How much capital is needed to run the business? What special issues do property/casualty insurers face? This session is for those seeking to deepen their knowledge in this fundamental area of management.
Source:
2003 Risk and Capital Management Seminar
Type:
concurrent
Panelists:
Richard Gorvett
Managing Investments-The Role of the Asset Manager and the Actuary
Through the exam process, many casualty actuaries are familiar with fundamental asset management concepts, yet relatively few have the opportunity to become actively involved in the process. In the first part of this session, a member of an asset management firm will give an overview of some of the basic tools and approaches that are commonly used to manage the investments of insurance companies. Topics will include:
Allocating among asset classes;
Balancing investments with the underwriting operation; and
Developing fixed income strategies.
The second part of the session will focus on the specific role that actuaries currently play inside an asset management operation, and how that role may evolve in the future.
Source:
2003 Risk and Capital Management Seminar
Type:
concurrent
Panelists:
Stephen Philbrick
Utilizing a Marginal Cost of Capital Approach to Product Pricing
Panelists will discuss their recent paper, which addresses an apparent discrepancy between modern financial theory and the practical use of allocated capital in pricing products. While much attention has been paid to allocating the cost of capital to products, financial theory tells us that it is the marginal cost of capital that matters, not the average cost of capital. The authors will discuss a new approach to determining the cost of capital that can be applied to the pricing of a property/casualty insurance product.
Source:
2003 Risk and Capital Management Seminar
Type:
concurrent
Panelists:
Daniel Isaac, Nathan Babcock
An Application of DFA in an Economic Value-Added Framework
This session combines a DFA approach to capital requirements with a return on capital pricing model and an economic value-added (EVA) performance measurement system. The panelists will review concepts that are widely used in other industries and apply them to the specific setting of property/casualty insurance pricing.
Source:
2003 Risk and Capital Management Seminar
Type:
concurrent
Moderators:
Jeanne Ying
Panelists:
Neeza Thandi
Implementation of DFA Models
Current DFA users will discuss implementing models in their companies. Included in the discussion will be:
What area of the company controls the model?
Who supplies input to the model?
Who runs the model?
Who has access to the model?
How are changes made to the model?
What are the uses of the model?
How is output of the model shared?
What has been the company's acceptance of the model?
Source:
2003 Risk and Capital Management Seminar
Type:
concurrent
Moderators:
Jeanne Ying
Panelists:
Jennifer Ehrenfeld, Emily Gilde, Michael Bond
International Perspectives on DFA
The actuarial profession in the United States has been actively discussing and developing DFA models for a number of years now. But what is the status of DFA outside the U.S.? How is it viewed? Are regulators encouraging its use? Do companies view it as an important management tool? In this session, representatives from Canada, Europe, and Asia will discuss how DFA models are being discussed and used in their respective parts of the world.
Source:
2003 Risk and Capital Management Seminar
Type:
concurrent
Moderators:
Jeanne Ying
Panelists:
ChangSoo Lee, Jean-Pierre Berliet
Reinsurance and DFA
Reinsurance can affect many facets of an insurance company's operations: cash flows, income, and capital requirements. In addition, products are now being sold with even more complicated features such as embedded equity market participation and contingent capital protection. As a result, it is becoming increasingly difficult for companies to analyze the difference between alternative structures using traditional approaches.
Session presenters will show how DFA models can be used to help simplify this process and will discuss potential pitfalls that need to be avoided. The session will also address how reinsurance purchasers can use reinsurance DFA analysis to tie their reinsurance program design into their larger strategic objectives, whether it be increased earning, surplus stability, capital management, or the like.
Source:
2003 Risk and Capital Management Seminar
Type:
concurrent
Panelists:
Daniel Isaac, Raju Bohra
Asset/Liability Management
The CAS Valuation, Finance, and Investments Committee (VFIC) has continued its research into asset/liability management and duration (mis)matching. Results published last year focused on analysis using a DFA model with risk and return metrics defined in terms of statutory and GAAP accounting results. The committee's current work extends this analysis in two ways. First, results on a mark-to-market, or "economic" accounting basis are being studied. Also, new metrics are being tested that combine risk and return so that diverse strategies can be ranked on a risk-adjusted basis. These extensions have provided new insights into the question of whether asset/liability management makes sense, and if so, whether a targeted duration (mis)match adds economic value.
Source:
2003 Risk and Capital Management Seminar
Type:
concurrent
Panelists:
Christopher Suchar
