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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.
Using DFA To Optimize the Value of Reinsurance
The first speaker will explore the effects caused by a shift from proportional to nonproportional reinsurance. To determine which reinsurance program is better suited for an insurance portfolio, one must study and model not only the liabilities but also the assets and the business strategies. This will be illustrated by applying a DFA model to an example company. The second speaker will present a practical approach that uses DFA to evaluate alternative reinsurance programs, by assessing the trade-offs between risk, capital, and value. DFA modeling is used to measure the ability of each component of the reinsurance program to reduce the volatility of financial results and to protect capital. With the specification of a suitable objective function and constraints, the optimum reinsurance program can be found. Alternative objective functions for the optimization, including one based on maximizing economic value, will be considered.
Source:
2001 Dynamic Financial Analysis Seminar
Type:
concurrent
Panelists:
Nathan Schwartz, Markus Stricker
Assessing Balance Sheet Protection Using DFA
Three speakers will discuss how DFA can be utilized to assess the risk on a company's balance sheet. One panelist will address process modeling as the key to better linking asset and liability risk factors. Discussions beginning with examples of process modeling in the economic scenario generator will expand to liability process modeling: loss ratios, diversifiable and systematic factors, linkages with economic variables, and responsiveness of pricing. Another panelist will present a case study that illustrates how DFA is used to evaluate the effectiveness of alternative risk management vehicles. A third panelist will discuss how DFA is utilized to analyze the balance sheet impact of a multiyear reinsurance transaction, which protects against both underwriting and capital markets exposures.
Source:
2001 Dynamic Financial Analysis Seminar
Type:
concurrent
Panelists:
Donald Mango, Daniel Isaac, Joan Lamm-Tennant
DFA Implementation Issues
Management does not wake up one morning and say, "We will implement DFA." The decision to implement DFA usually involves input from every corner of the company, after careful consideration of the intended purpose and the many issues that must be addressed. In this session, the panelists will discuss some unique and unforeseen obstacles that their companies faced in the implementation process, and whether these obstacles were successfully addressed. The panelists will also discuss alternative courses of action and decisions that would have enhanced the success of the DFA implementation project.
Source:
2001 Dynamic Financial Analysis Seminar
Type:
concurrent
Panelists:
Gerald Kirschner, Mary Wills, Elizabeth Wiesner
The Value Proposition of DFA
This session will provide various perspectives on ways in which performing DFA analysis has provided
value within an organization. Senior executives from insurance companies and consulting firms will
share their experiences in using DFA-type analyses to address a variety of real-world problems. The
discussion will highlight the ways in which DFA helped identify solutions that weren't otherwise obvious
This session will provide various perspectives on ways in which performing DFA analysis has provided value within an organization. Senior executives from insurance companies and consulting firms will share their experiences in using DFA-type analyses to address a variety of real-world problems. The discussion will highlight the ways in which DFA helped identify solutions that weren't otherwise obvious and how suboptimal decisions may have been made if DFA had not been performed.
Source:
2001 Dynamic Financial Analysis Seminar
Type:
concurrent
Panelists:
Manuel Almagro, Susan Witcraft
Value-at-Risk (VaR) Applications in the Insurance Industry
The panel will discuss value-at-risk (VaR) applications of measuring financial strength and performance in the insurance industry. Effective risk measurement and capital management is critical in today's crowded and converging environment. However, the ability to identify risk properly has become increasingly complex. The first part of this session will focus on enhancements to A.M. Best's rating process designed to assess emerging risks, operating performance, and capital adequacy in the rapidly changing environment of the insurance industry. This session will introduce and demonstrate a new enterprise risk management tool that has been developed. The second part of the session will then deal with how VaR works as well as the use of VaR to measure financial performance, allocate capital, assess risk adjusted returns (RAROC) and make restructuring and strategic decisions. The panel will also discuss several cases that were assessed using VaR technology.
Source:
2001 Spring SIS- Enterprise Risk Management
Type:
concurrent
Moderators:
John Kulik
Panelists:
Michael Albanese, Tim Freestone
Keywords:
enterprise risk management, identify risk properly, capital management
Through the Risk Manager's Eyes
Risk managers' roles have expanded beyond that of a simple insurance buyer. Today, a risk manager of a large corporation is expected to optimize and consolidate the risk strategy under one integrated program. This involves addressing such "noninsurable" threats as financial and political risks, and others. Find out how the new generation of risk managers approach their tasks and what they expect from the insurance industry.
Source:
2001 Spring SIS- Enterprise Risk Management
Type:
concurrent
Moderators:
John Kulik
Panelists:
Ken Zignorski, Laurie Champion, Ken Krenicky
Keywords:
financial and political risks, risk managers
Property/Casualty RAROC: Practical risk measurement for ERM
One of the cornerstones of an ERM program is an effective means of measuring all risks across an enterprise and linking those risk measures to strategic decisions. Over the past ten years, banks have developed an approach for measuring risk in terms of economic (required) capital and for measuring profitability in terms of risk-adjusted return on capital, or RAROC. This session presents property/casualty RAROC, an adaptation of the banking approach to the property/casualty insurance industry. The speakers will explain how the banking approach was adapted for the property/casualty industry, and how this approach takes advantage of the "bruised knuckle" experience of the banks. The panel will also discuss a case study using the property/casualty RAROC framework, in conjunction with an insurance company's own data and "best of breed" actuarial analytics, to arrive at an effective and practical capital allocation tool for the enterprise.
Source:
2001 Spring SIS- Enterprise Risk Management
Type:
concurrent
Moderators:
John Kulik
Panelists:
Paul Brehm, Peter Nakada
Keywords:
ERM, measuring profitability in terms of risk-adjusted return on capital, measuring risk in terms of economic capital
Operational Risk Management
ERM will not be complete until operational risks are measured and managed to the same degree as financial risks. Our panelists will discuss two fundamentally different approaches to quantifying/modeling operational risks: the "database" approach, which involves collecting historical data on operational risk events and fitting distributions, and the "system dynamics" approach, which involves simulating the behavior of the systems subject to operational risk and is based largely on expert opinion. The pluses and minuses of each approach will be debated, and ideas on combining them will be explored.
Source:
2001 Spring SIS- Enterprise Risk Management
Type:
concurrent
Moderators:
Daniel Issac
Panelists:
Samir Shah, Douglas Hoffman
Keywords:
ERM, operational risks, financial risks, quantifying/modeling operational risks
A Random Walk Model for Paid Loss Development
Traditional loss development techniques focus on estimating the expected ultimate loss but do not generally indicate the magnitude of possible deviation from this estimate. In a variety of circumstances, however, point reserve estimates are not sufficient. In particular, loss portfolio transfers, commutations, novations, and reserve margin securitization all typically require an estimate of the range of possible loss outcomes.
By adjusting a paid loss model described in Foundations of Casualty Actuarial Science to incorporate a random fluctuation component, a stochastic differential equation model is obtained. This model is analogous to the stock price model used to develop the Black-Scholes option pricing formula. Furthermore, this differential equation has an explicit solution that yields lognormal distributed development factors similar to the lognormal link-ratio model published by Roger Hayne.
A slight modification to the model for undiscounted reserves provides a differential equation that accounts for variation in both the amount and timing of loss payments. This equation does not have an explicit solution but can be solved numerically to yield the distribution of the present value reserve.
Source:
2001 Casualty Loss Reserve Seminar (CLRS)
Type:
concurrent
Moderators:
Cara Blank
Keywords:
Model for Paid Loss Development
The Impact of Catastrophic Cases on Workers Compensation Medical Loss Reserves
Catastrophic claims (defined as burn injuries, acquired head injuries, spinal cord injuries and multiple trauma injuries) account for less than 1 percent of all workers compensation claims, but as much as 20 percent of total workers compensation losses. The ultimate value of a catastrophic claim can be very difficult to predict, because of significant increases in case reserves many years after the injury occurred. These claims introduce a high amount of variability to the ultimate medical loss reserve projections when using standard loss development triangle techniques.
This paper focuses on the distorting impact catastrophic claims can have on workers compensation ultimate medical reserve projections and introduces techniques for eliminating this distortion. The impact of catastrophic claims on ultimate medical loss reserve projections is one that has received relatively little attention explicitly in the actuarial literature, but is one that is important to accurate reserve estimation by accident year.
Source:
2001 Casualty Loss Reserve Seminar (CLRS)
Type:
concurrent
Moderators:
Cara Blank
Keywords:
Catastrophic Cases, Workers Compensation Medical Loss Reserves
Evaluating Reserves in a Changing Claims Environment
Recent insurance industry emphasis on claims "best-practices" requires the reserving actuary to identify and measure the emerging effects of claims department initiatives. Several of these initiatives will be reviewed from both an actuarial and claims personnel perspective. Adjustments to generally accepted actuarial methodologies as well as potential metrics to measure the impact of these initiatives will be presented.
Source:
2001 Casualty Loss Reserve Seminar (CLRS)
Type:
concurrent
Moderators:
Gregory Wilson
Panelists:
Aaron Halpert, Scott Weinstein
Keywords:
Reserves, Changing Claims Environment
Reserving for Construction Defects
Construction defects: property and casualty insurers and actuaries cringe at the very mention of those two words. Insurers are troubled by the high frequency of construction defect claims while actuaries have encountered countless struggles with finding an appropriate and reasonable method for projecting the emergence of construction defect losses. As actuaries, it is our job to help our clients understand the issues at hand and to provide them with estimates with which they can feel comfortable given the great deal of uncertainty embedded in the market.
This paper gives an overview of the issues surrounding an actuarial analysis of construction defects. It provides background information, including relevant legal decisions and defining characteristics of construction defects. The authors discuss items that should be considered when performing an actuarial analysis of construction defect data and present a few of the tailored methodologies that have been employed in recent years. Finally, current and future trends are explored.
Source:
2001 Casualty Loss Reserve Seminar (CLRS)
Type:
concurrent
Moderators:
Allen Neis
Keywords:
Construction Defects, defect claims
Loss Reserving Without Loss Development Patterns- Beyond Berquist-Sherman
This paper describes loss reserving techniques that may be used in situations where changes have occurred that render past years' loss development patterns inappropriate for use in estimating loss reserves for more recent years. The loss reserving issues addressed by this paper are generally the same as those covered by James R. Berquist and Richard E. Sherman in their paper "Loss Reserve Adequacy Testing: A Comprehensive, Systematic Approach" (PCAS LXIV, 123). The essential difference in techniques is that while Berquist-Sherman restates prior years' development patterns to be applicable to the current evaluation basis, this paper restates the current diagonal to the level implied by the older years' estimates. This restatement is done on an implied ultimate basis, thereby eliminating the need to apply loss development patterns to the less mature years.
Source:
2001 Casualty Loss Reserve Seminar (CLRS)
Type:
Paper
Moderators:
Theresa Bourdon
Markovian Annuities and Insurances
Traditionally, property and casualty products have been thought of as "short duration contracts," while life insurance products have been thought of as "long duration contracts." Many modern property and casualty products have risk profiles and cash flow characteristics that are more akin to life insurance than to traditional property and casualty lines. This paper, using bond insurance as a primary example, shows how such products can be priced and reserved using techniques from the capital markets and from life insurance.
The "life reserves" held by life companies are essentially premium deficiency reserves in that they are required not to pay losses that have occurred, but rather to make up the shortfall in future premium collections. Since bond insurance is so similar to life insurance, it is no surprise that the appropriate reserves for bond insurers are also premium deficiency reserves.
Source:
2001 Casualty Loss Reserve Seminar (CLRS)
Type:
concurrent
Moderators:
Scott Anderson
Keywords:
Markovian Annuities and Insurances
Insurance on the Internet
The Internet is transforming the way business is transacted in many areas, including insurance. While some feel that the insurance industry has not moved rapidly enough to take advantage of the new technology, much progress has been made. This session will provide an overview on how the property and casualty insurance industry is using the Internet, with a focus on how the changing environment will affect claim costs and reserves. The speakers will present the current state of the property and casualty industry on the Internet, identify the major players involved, and provide their perspectives on future use. They will also discuss which strategies have been successful and why. Finally they will address the role of the reserving actuary and how the reserving process is likely to be affected by online insurance.
Source:
2001 Casualty Loss Reserve Seminar (CLRS)
Type:
concurrent
Panelists:
Edward Wagner, Paul Daoust, Rich Heneberry
Keywords:
Insurance, internet
Closing the Books- Approaches to Determine Carried Reserves
Much of actuarial work centers on determining the required loss reserves, which is then compared to booked reserves to assess adequacy. Booked reserves are established through the financial closing process which is generally done within a short time frame at the end of the accounting period (usually month-end). Because of the limited time available to close the books, various formulas and ad hoc procedures are used to determine booked reserves. This session will present some of the methods used to close the books.
Source:
2001 Casualty Loss Reserve Seminar (CLRS)
Type:
concurrent
Moderators:
Alan Kaliski
Panelists:
Joseph Marker, Thomas Moylan
Keywords:
Reserves, loss reserves
Modeling Soft Assets
Traditionally, senior managers have focused their efforts on controlling items that show up on income statements and balance sheets. Recently, though, a movement to broaden the focus to include "soft" assets, such as brand names and patents has emerged. Unfortunately, it is often much more difficult to evaluate these types of assets. For example, how much are the "Microsoft" and "Intel" names worth? The panelists will explore several different approaches for evaluating these types of assets and discuss new ways, including insurance products, that companies are employing to protect themselves.
Source:
2001 Spring SIS- Enterprise Risk Management
Type:
concurrent
Moderators:
Daniel Issac
Panelists:
Robert Butsic, Jeff Eder
Keywords:
insurance products
Sources of Industry Data
This session will focus on important sources of industry data useful in reserve analysis such as loss development factors, loss ratios, and increased limits factors. A wealth of information is available from various statistical agencies, rating agencies, and trade associations. In addition, the reserving actuary can now use the Internet to capture additional information through free and fee-based Web sites.
Source:
2001 Casualty Loss Reserve Seminar (CLRS)
Type:
concurrent
Panelists:
Sanders Cathcart, Alexander Hammett, F. Cobb
Keywords:
Industry Data
Issues and Trends With Asbestos
Insurers and reinsurers have been dealing with asbestos and environmental liabilities for some time now, with expectations that the reporting would begin to slow down. Surprisingly, environmental liabilities have shown some signs of stabilizing, while the asbestos liabilities have continued to show significant upward development as evidenced by recent studies showing U.S. insurance industry estimates as high as $65 billion, as well as the recent bankruptcy filings by major corporations. This panel will focus on the background of asbestos litigation, its current status, and the issues facing insurers (and their reinsurers) of asbestos defendants, complications to the modeling processes for reserving these exposures, and issues with finite reinsurers of these liabilities.
Source:
2001 Casualty Loss Reserve Seminar (CLRS)
Type:
concurrent
Moderators:
Alan Kaliski
Panelists:
Kevin Madigan, Doug Oliver
Keywords:
Asbestos, environmental liabilities
Reserving: How and When Should You Slice the Cake?
Segregating data into credible, homogenous components is one of the most important decisions an actuary has to make. This session explores various alternatives for auto and workers compensation including:
Physical Damage vs. Bodily Injury Liability vs. First Party Benefits
State
Tort Election
Medical Benefits vs. Indemnity Benefits
Injury Type
Losses vs. Loss Adjustment Expenses
Industry, Region or Class
Source:
2001 Casualty Loss Reserve Seminar (CLRS)
Type:
concurrent
Moderators:
Alan Kaliski
Panelists:
Eugene Connell, Timothy Wisecarver
Keywords:
Reserving
NAIC Redefinitions of Loss Adjustment Expense
In today's highly competitive marketplace, insurers are increasingly facing the demand for improved underwriting performance. In response to this situation, companies have implemented various expense-saving initiatives with the goal of reducing overall loss adjustment expense (LAE) costs.
In this session, the panelists will focus on many of the approaches companies have taken in order to contain LAE expenditures. The application and benefits of alternative legal fee arrangements and several other cost containment techniques will be discussed. The legal industry's response to these changes will also be explored. Potential metrics for measuring the success of these programs will be presented and alternative reserving approaches for LAE expenditures will be introduced.
Source:
2001 Casualty Loss Reserve Seminar (CLRS)
Type:
concurrent
Moderators:
Alan Kaliski
Panelists:
John Stenmark, Richard Carris, W. Odell
Keywords:
Loss Adjustment Expense
New Perspectives on Asbestos
Our moderator and distinguished group of panelists will address the following issues:
What is happening in the asbestos world and what can be expected in the future?
What is the expected ultimate loss to be borne by the US and non-US insurance industries?
What actions are the rating agencies expected to take in the future?
Is there a lesson to be learned from the actions that Equitas has taken with respect to controlling frequency and severity of claims?
How do insured bankruptcies impact the magnitude and pay out of insurance claims?
Source:
2001 Casualty Loss Reserve Seminar (CLRS)
Type:
concurrent
Moderators:
Alan Kaliski
Panelists:
Paul Jardine, Glen Brace, Gerard Altonji
Keywords:
Asbestos
The Evolving Role in Enterprise Risk Management
The emergence of newer and larger risks (e.g., e-commerce, market-book ratios), the continued convergence of the insurance/financial markets, and the increased management accountability of risk have all contributed to the trend towards a comprehensive enterprise risk management (ERM) approach. The quantification of risk has been the cornerstone of the actuarial profession for over 100 years. it is only natural that the actuarial profession adapts in response to the demands of society.
This sessions discusses the ERM philosophy and the evolution of the corresponding actuarial function from our well-defined roles (ratemaking and loss reserving) to evolving roles that encompass the quantification of not only hazard risk, but also strategic, operational, and financial risks.
Two case studies will be presented. one an insurance carrier and the other a noninsurance Fortune 500 company.
Source:
2001 Casualty Loss Reserve Seminar (CLRS)
Type:
concurrent
Moderators:
Alan Kaliski
Panelists:
Barry Franklin
Keywords:
Enterprise Risk Management, insurance/financial markets, ERM
International Reserving Issues
With the insurance industry becoming more global in nature, the importance of international reserving issues has significantly increased. This will introduce the considerations and concerns involved in reserving in countries other than the U.S. and Canada.
Specific topics include local accounting rules and their effect on the reserving process, data availability, industry benchmarks, and the Lloyd's market. Primary emphasis will be on reserving in the United Kingdom, Japan, and Mexico. No advance preparation is required.
Source:
2001 Casualty Loss Reserve Seminar (CLRS)
Type:
concurrent
Panelists:
Paul Gates, Peter Royek, Eduardo Fischer
Keywords:
Reserving, International Reserving
Patient Rights Liability Issues
Various emerging liability issues within the health care system have defined new legal responsibilities for medical professionals, health care providers, and managed care organizations. In this session we will discuss the implications from current and pending patient rights legislation on the managed care industry. Additionally, panelists will review the history of patient rights laws affecting the liability of long-term care providers, along with the corresponding impact this has had on the frequency and severity of liability claims for this unique provider group.
Source:
2001 Casualty Loss Reserve Seminar (CLRS)
Type:
concurrent
Moderators:
Alan Kaliski
Panelists:
Ashley Williams
Keywords:
emerging liability, Patient Rights Liability Issues
