Friday, October 22, 2010
Presentations on the Loss Simulation Model given at the 2010 Casualty Loss Reserve Seminar are also on the CAS web site, as well as help files for the model that include program instructions and instructions on how to customize this open source model.
A CAS Call Paper program was launched on October 20 entitled “Testing Loss Reserving Methods, Models, and Data Using the Loss Simulation Model.” Details are available at http://www.casact.org/research/. Participants will need to work with the Loss Simulation Model to develop enhancements to the model, perform additional testing, and apply the model to test alternative loss reserving methods and models.
Thursday, September 16, 2010
Saturday, August 14, 2010
Persons who should consider joining this group include in-house claims professionals; in-house and outside counsel; claims consultants and experts; actuaries; reinsurance arbitrators and mediators; brokers with claims responsibilities; and anyone genuinely interested in learning more about the subject. The purpose of the group is information sharing and professional networking, not recruiting, advertising, or self-promotion.
Additional information may be found at the following post on the Loree Reinsurance and Arbitration Law Forum:
Wednesday, August 4, 2010
The Dynamic Financial Analysis Working Party is developing a 2011 call paper program for the Public-Access DFA Model (DYNAMO)that will seek significant enhancements and applications of this open source model.
The Economic Capital Model Working Party is charged with developing a stochastic, principles-based economic capital model that meets Solvency II objectives and can be used by insurers, rating agencies, and regulators for solvency monitoring. Working party members are currently working on what is expected to become an important report to appropriate American Academy and NAIC committees.
The DRM Handbook Working Party is working on updating and completing what is expected to become an excellent reference source for those new to dynamic risk modeling work.
Monday, June 14, 2010
www.casact.org/research/index.cfm?fa=researchresources, is a rich source of search databases, papers, seminars, spreadsheets and links to related sites that can facilitate dynamic risk modeling and other actuarial R&D work. This may be a helpful reminder for many CAS members and a useful discovery for many non-CAS members.
Monday, May 10, 2010
Monday, April 26, 2010
The complex form of dynamic risk modeling for an entire insurance operation is commonly referred to as Dynamic Financial Analysis (DFA). Enterprise Risk Management (ERM) focuses on the wider aspect of market, credit, and operational risk of an organization. In the application of ERM to an insurance operation, DFA focuses on the modeling of insurance risks. While many excellent papers have been written on both ERM and DRM, the goal of the Working Party is to distill the essential technical aspects of creating a model into a cohesive document for the practicing actuary as well as the student of risk modeling. The DRM Handbook WP will write Chapters 6 and 7 on Price Modeling and Reserve Modeling and update the remaining chapters.
Thursday, April 15, 2010
Wednesday, April 14, 2010
Last year the Casualty Actuarial Society's Loss Simulation Model Working Party (LSMWP) , via the Dynamic Risk Modeling Committee, engaged a consulting firm to develop an open source simulation model of the processes of loss emergence and settlement, commonly known as loss development, that underlie the loss "triangles" and other statistics used to estimate unpaid claims. It has created a tool which is programmed in R and VB.NET that researchers could use to test loss reserving methods and models. The LSMWP will present the new model and the draft of its working party paper at the September Casualty Loss Reserve Seminar. The new open source model and paper will be uploaded to the CAS web site after this seminar.