Thank you

CAS provides closed captioning generated by software applications for the convenience of viewers. CAS does not review for accuracy of the information that appears in a closed caption, and such information (including any foreign language translation and transcription displayed in a closed caption) may not be relied upon as an accurate or complete record of CAS programming. CAS makes no representations or warranties, and expressly disclaim any responsibility or liability with respect to, any errors or omissions in, or the accuracy, reliability, timeliness or completeness of, any information that appears in a closed caption.

Description

PLEASE NOTE: REGISTRATION WILL CLOSE 10 AM ET THE DAY OF THE WEBINAR. DUE TO HIGH VOLUME OF DEMAND, WE ARE ONLY ABLE TO GUARANTEE A SEAT TO THOSE WHO REGISTER 48 HOURS AHEAD OF THE WEBINAR TIME.

This webinar will present two papers from the CAS Reserve Call Paper program.
Both deal with ways to include correlation in estimating reserve ranges.

“Making Reserve Ranges More Realistic” by Clark, Ding and Zhou shows how correlation can be included in bootstrapping via a copula.

Backtesting suggests that bootstrapping approaches lead to reserve ranges that may be too narrow. To improve the current methods, we relax England and Verrall’s assumption that each cell in the incremental development triangle is independent by introducing a correlation structure in the resampling of the bootstrap. Backtesting with
Schedule P data suggests that this approach yields reserve ranges that are more reasonable.

Learning Objectives:

1. Understand the current Bootstrapping methods and the results produced by these methods, including back-testing of the results.
2. Describe a new variation to the current method that involves relaxation of the independence amongst resampling data.
3. Learn the application of the new technique

“Quantifying Reserve Risk Based on Volatility in Triangles of Estimated Ultimate Losses” by Feng and Robbin examines correlations in age-to-age factors, and makes use of past estimates of ultimate loss.

This presentation explores the idea of quantifying reserve risk by looking at triangles of age-to-age factors of estimated ultimate losses. Such triangles implicitly reflect not only volatility of the paid and reported development factors used in deriving the estimates of ultimate, but also the accuracy of the process used in deriving the estimates of ultimate from the data. The general idea is to derive a formula for reserve variance based on the variance covariance matrix of the logs of the LDF. The presentation shows how the authors implemented their version of this approach. Their version fixes a major technical problem that can give rise to theoretically impossible correlation values. The authors show this problem stems from the triangle structure of the data. The presentation outlines the authors' formulas for one-year and ultimate reserve variance and compares these to formulas in the literature.

Learning Objectives:

1. Introduce and explore the concept of measuring variability using ultimate loss
2. Understand why other methods can lead to theoretically impossible variance-covariance values.
3. Explain the various Feng-Robbin options for fixing the triangle structure problem.

Registration Information and Fees

PLEASE NOTE: REGISTRATION WILL CLOSE 10 AM ET THE DAY OF THE WEBINAR

Registration Fees (in U.S. Dollars)	Received on/by November 14, 2023	Received after November 14, 2023
Individual	$50	$75
Multiple Connections** (Unlimited internet connections for individuals working for the same company. Please note that audio for this presentation will be streamed via the web)	$600	$650

*Multiple Connection Registrations should contact Mallory Peebles directly at mpeebles@casact.org. The registering party for the Multiple Connection Registration will be responsible for distributing all event details to attending individuals within their company.

No Broadcast Policy
Your registration entitles you to access CAS’ webinar programs for which you have registered. By registering to attend the webinars, you agree not to sell, transfer, or otherwise share your webinar access link and/or code unless such sharing is authorized by CAS. You further agree not to record or broadcast CAS’ webinar programs without advance written authorization by CAS.

Cancellations/Refunds
Registrations fees will be refunded for cancellations received in writing through email, refund@casact.org, by November 21, 2023 less a $25 processing fee.

CAS Continuing Education Policy
The CAS Continuing Education Policy applies to all ACAS and FCAS members who provide Actuarial Services. Actuarial Services are defined in the CAS Code of Professional Conduct as “professional services provided to a Principal by an individual acting in the capacity of an actuary. Such services include the rendering of advice, recommendations, findings or opinions based upon actuarial considerations.” Members who are or could be subject to the continuing education requirements of a national actuarial organization can meet the requirements of the CAS Continuing Education Policy by satisfying the continuing education requirements established by a national actuarial organization recognized by the Policy. For further information regarding the CAS Continuing Education Policy please visit the CAS web site.

CAS Webinars may qualify for up to 1.8* CE Credits for CAS members. Participants should claim credit commensurate with the extent of their participation in the activity. CAS members earn 1 CE Credit per 50 minutes of educational session time, not to include breaks and/or lunch. *The amount of CE credit that can be earned for participating in this activity must be assessed by the individual attendee. It also may be different for individuals who are subject to the requirements of organizations other than the Casualty Actuarial Society.