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“Solving Problems Using a Dynamic Risk Modeling Process” Call for Papers Announced

02/01/2011 —

Dynamic Risk Modeling Committee Announces 2012 Call for Papers

The Casualty Actuarial Society (CAS) is pleased to extend a call for papers on the topic of "Solving Problems Using a Dynamic Risk Modeling Process.” In this call paper program, participants will use the Public Access DFA Dynamo 4.1 Model to illustrate how the Dynamic Risk Modeling process can be applied to solve real world P&C Insurance problems. The model and manual are available on the CAS Public-Access DFA Model working party website. Papers should describe the problem to be solved, the author’s approach to using the DFA Model within the DRM process, and any suggested improvements. Participants are encouraged to develop any needed enhancements, such as add-on programs/macros to Dynamo 4.1.

This call for papers is intended to foster the use of Dynamo 4.1 and to generate publicly available improvements to the model. Authors of accepted papers may be invited to present their work at the 2012 CAS Spring Meeting. In addition, the papers will be published in the CAS E-Forum and will be available on the CAS Web Site prior to the Meeting. A $5,000 prize fund is available to offer prizes for the best submission(s). Both CAS members and non-members are invited to submit proposals for papers.

Call Paper Scope

This call will be unique in that there are specific areas which the Dynamic Risk Modeling Committee (DRMC) is looking to have addressed in Dynamo. The specific areas are listed below in descending order of importance:

  1. Economic capital.
  2. TVAR for 1 year horizon.
  3. Solvency II statistics.
  4. RBC statistics.
  5. Expand reinsurance buying options – excess of loss, surplus share and quota share, aggregate loss ratio by line, property and/or auto physical damage catastrophe covers
  6. Reinsurance loss modeling should be expanded to cover contracts listed above.
  7. Expand lines of business to include auto liability (split between personal and commercial), auto physical damage (split between personal and commercial), other liability, homeowners multi-peril including farmowners, assumed reinsurance, special property, and commercial liability.
  8. Enhancements to hard/soft market scenarios.
  9. Extreme case scenarios.
  10. Enhancements to interest rate generator.
  11. Other Enhancements of model to improve decision making.

Each participant will be expected to use the same DFA model and describe the process by which they solved a specified problem. The process used to solve the stated problem will be left to the participant, but the rationale for the selected approach needs to be fully explained. It is expected that each paper will address the following:

  • Description of measures of risk and reward used in evaluation;
  • Description of strategies considered;
  • Description of the inputs needed;
  • Description of analytical process; and
  • Interpretation of model results/evaluation of strategies.

Add-on programs or macros suggested to improve the Public Access Model in order to support the process described in the paper must be fully compatible with the Public Access Model. In order for a paper with an add-on program or macro to be considered by the Dynamic Risk Modeling Committee, the author must authorize the inclusion of the add-on into the Public Access Model. Test results and documentation for these model enhancements should be included within the paper.

Participants should be prepared to make formal presentations supporting their approach and conclusions.

Call Paper Timetable

Timely submission of papers is critical to the success of the call. The procedures and timetable enumerated below will apply.

  1. Deadline for Proposals
    By March 14, 2011, authors should submit a one to two page proposal for their papers including the title, a short description of the problem(s) to be addressed, and the approach that will be taken. Proposals should be submitted electronically via e-mail to Karen Sonnet at the Casualty Actuarial Society at ksonnet@casact.org. Please put "2012 DRM Call Paper Proposal" in the subject line of the e-mail message.
  2. Acceptance of Proposals
    By April 8, 2011, the Committee will make a decision on all proposals. The number of accepted proposals may be limited. The Committee will contact authors regarding their proposals.
  3. Monitoring Progress
    A Committee member will be assigned to work with each author to monitor the paper’s progress and provide general guidance in completing the paper. By mutual agreement, the author and the assigned Committee member will establish a schedule for the production of interim drafts.
    • By July 1, 2011, a completed draft of the paper will be submitted to the Chair of the assigned Sub-Committee for review.
    • By September 1, 2011, the Sub-Committee will forward review comments on the draft to the author(s).
  4. Completion Date
    • By January 6, 2012, the committee must receive the completed paper and a 200-word abstract for its review. Each paper will be screened by the Committee to assure its quality of exposition and relevance to the call.
    • By January 6, 2012, the Committee must also receive any proposed model enhancements, including test results and program documentation.
  5. Approving the Completed Paper
    By February 6, 2012, all authors will have been notified as to the results of this screening process, and final approvals will have been provided. Accepted papers will be published in the CAS E-Forum and will be available on the CAS Web Site prior to the 2012 CAS Spring Meeting. Prize Competition All papers submitted and accepted in response to the call and meeting the minimum standards established by the Committee will be included in the prize competition. A prize fund of $5,000 is available for the best paper(s), including Model add-on, submitted in response to this call. If awarded, prizes will be announced and presented to the authors at the 2012 CAS Spring Meeting. Papers will be evaluated by an independent review committee that will judge the papers anonymously. The criteria for evaluation will include:
    • Originality of ideas;
    • Clarity of presentation;
    • Contribution to the literature on Dynamic Risk Modeling; and
    • Thoroughness of analysis.
  6. Submission Guidelines Papers
    must be no more than 10,000 words and should be prepared in accordance with the Research Paper Template, and the procedures in the Guide for Submission to CAS E-Forum. Key words in the abstract should be based on the CAS Research Taxonomy.

    Authors will be required to provide an electronic copy of the paper and will be asked to sign a "Permission to Publish" form allowing the CAS to publish the paper. Authors are encouraged to submit working templates in spreadsheet form for models or methods discussed or developed in their papers and/or PowerPoint presentations incorporating the details of the paper's calculations. The spreadsheets and presentations will be posted on the CAS Web Site along with the paper.

    It is hoped that the authors will also submit their papers for publication in Variance in accordance with the Submission Guidelines. However, acceptance of a discussion paper for this call does not guarantee its acceptance for publication in Variance.

    The Dynamic Risk Modeling Committee looks forward to receiving proposals in response to this call, and is happy to respond to inquiries from interested parties. Questions may be submitted to the DRMC via e-mail to ksonnet@casact.org.

  7. Liability Disclaimer
    The CAS Public-Access DFA Model (the "model") has been developed by the Casualty Actuarial Society (the “CAS”) using committee volunteers, volunteer authors responding to call paper programs and non-committee reviewers (collectively the “Developers”) for the sole purpose of assisting CAS members and subscribers (the "Users") with an educational and research tool. The model should ONLY be used for this purpose. The CAS and the Developers disclaim any responsibility regarding use of the results of this model and any decisions made based upon those results. A detailed statement disclaiming all liability for the Developers is included within the model.

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