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Casualty Pricing

Casualty Pricing. Lessons from America. Order of Play. Moderator’s Opening Remarks James Orr, Tillinghast Culture Clash Doug LaCoss, Converium Solving the Actuarial Puzzle John Buchanan, Platinum Re Questions & Answers Luncheon 12:30 to 13:30. Let’s remind ourselves….

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Casualty Pricing

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  1. Casualty Pricing Lessons from America James Orr

  2. Order of Play • Moderator’s Opening Remarks • James Orr, Tillinghast • Culture Clash • Doug LaCoss, Converium • Solving the Actuarial Puzzle • John Buchanan, Platinum Re • Questions & Answers • Luncheon • 12:30 to 13:30

  3. Let’s remind ourselves… • Why this is so difficult • no direct measure of exposure • long lead times and slow development • inflationary effects • economic • judicial • Why this matters • APH • “laddering”, Enron, WorldCom

  4. The value of benchmarking • Insurance cover is • unique/bespoke • rarely traded in a secondary market • So • no common currency • not hedgeable

  5. Examples of benchmarking • GLD – Global Loss Distributions • floated in late 90s • not presently live, but much needed • CLIPS – Commercial Lines Insurance Pricing Survey • US since 2003 • UK variant launching in 2006

  6. Global Loss Distributions • Data-sharing benchmarking • Motor and General Liability • Computing various size of loss distributions • 4 scenarios for each country • Assess impact of assumptions by scenario • Benchmarking Process Adjust data for loss development and claim inflation Filter claims, fit curve & calculate excess factors All-industry application of results

  7. Comparison of Actual and Fitted Data Global Loss Distribution – Example Exhibit

  8. Comparison of Expected Excess Loss Cost Global Loss Distribution – Example Exhibit

  9. Incurred Loss DevelopmentUnited Kingdom Global Loss Distribution – Example Exhibit Development Years

  10. Our speakers • Doug LaCoss, FCAS • Head of Actuarial Pricing – UK/Ireland • Converium • John Buchanan, FCAS • Senior Vice President • Platinum Underwriters Reinsurance Inc

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