Outlook Negative For Commercial Lines, Says A.M. Best | PropertyCasualty360

Outlook Negative For Commercial Lines, Says A.M. Best | PropertyCasualty360

New Model Now Available to Actuaries for Testing Loss Reserving Methods and Models

The Casualty Actuarial Society's Loss Simulation Model Working Party has just completed its charge. Their open source Loss Simulation Model (both run-time versions and source code) and a paper summarizing the working party's accomplishments, “Modeling Loss Emergence and Settlement Processes” was recently completed and posted on the CAS web site at http://www.casact.org/research/lsmwp/. The paper fully documents the model and tests completed to date, provides instructions for working with both the run-time and source code versions of the model, provides a bibliography for the benefit of those who will use the model to test loss reserving methods and models, and discusses future development and testing of the model.

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.

Extreme Value Theory

Given the extreme natural catastrophe and extraordinary financial events of recent years, there has been renewed interest in a branch of statistics known as Extreme Value Theory. An introduction and additional references may be found on Wikipedia at http://en.wikipedia.org/wiki/Extreme_value_theory. I will be presenting a seminar on this subject at next week's 2010 Casualty Reserve Seminar. The slides my be downloaded at the Sites of Interest page on my website at http://www.rabsolutions.net/id5.html. Extreme value theory is useful for assessing the risk of low probability events that can have catastrophic consequences but for which we don't have credible data.

Reinsurance Claims Group on Linked In

Keeping abreast of the claims environment is necessary in order that appropriate judgments are made in the model building process. The Reinsurance Claims Group on Linked In is a forum for the open discussion of issues and sharing of information concerning ceded and assumed reinsurance claims in the U.S. and overseas markets. Topics of discussion may include, but are not limited to the presentation, adjustment, processing, settlement and payment of ceded and assumed reinsurance claims; claims dispute resolution, including litigation, arbitration, mediation and other forms of ADR; commutation; handling claims for a company in run-off; handling claims for an active writer; collections, including collections from companies in run off; comparative claims practices and procedures (e.g., London versus U.S. market); claims issues pertinent to insurance insolvencies; and coordination between the claims department and other departments of the company. Members from both the U.S. and international community are welcome.

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:
http://loreelawfirm.com/blog/meet-the-reinsurance-claims-group-co-managers

Update on CAS Dynamic Risk Modeling Committee

The Loss Simulation Model Working Party is nearing completion of its paper that documents its new open source model which will enable actuaries to test alternative reserving methods and models.

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.

Casualty Actuarial Society Web Page of Research Resources

The Casualty Actuarial Society web page of Research Resources,
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.

2010 CAS Reinsurance Seminar

The May 6-7 Casualty Actuarial Society Seminar on Reinsurance included several excellent presentations related to Enterprise Risk Management. They may be downloaded at http://www.casact.org/education/reinsure/2010/handouts/.