Casualty Actuarial Society

Membership

2011 Call for Ratemaking Papers - Proposals due Friday June 26

06/25/2009 —

The Casualty Actuarial Society is again pleased to extend a call for papers on ratemaking topics. This call is under our new two-year cycle and demonstrates our efforts to improve the process for submitting and reviewing papers, giving authors sufficient time to explore topics, and submit high-quality research.

Ratemaking is a major area of expertise for casualty actuaries; it is important that we foster and publish timely, relevant, and high-quality research. The Ratemaking Call Paper Program is offered to further these goals and to provide additional material for basic and continuing education purposes. Papers will be reviewed for acceptance based on:

  1. Originality of ideas
  2. Understandability of concepts
  3. Contribution to the ratemaking literature
  4. Thoroughness of ideas expressed
  5. Timeliness and relevance of research

Both CAS members and non-members are invited to submit proposals for papers. The CAS Committee on Ratemaking will determine which papers are published in the CAS Forum. The Committee reserves the right to not publish a submission. Authors of some of the published papers may be asked to present at the 2011 CAS Ratemaking and Product Management Seminar. The Committee may also consider awarding a prize if one or more of the papers are considered by the Committee to be outstanding. A prize fund of $2,500 is available for those papers nominated by the Committee.

All papers on ratemaking topics are welcome and authors are asked to look to the considerations listed in the CAS Statement of Principles Regarding Property and Casualty Ratemaking. Suggested topics based on current events and topics that deserve new or continued research are listed below.

  1. Price Optimization:
    • Going beyond loss costs
    • Lifetime value of the customer
    • Customer elasticity modeling
    • Regulatory considerations
  2. Catastrophe Ratemaking
    • Evaluating Catastrophe models and their output
    • Profit Margins in Catastrophe Ratemaking
    • Catastrophe Loadings by Class/Territory
  3. Predictive Modeling
    • GLMs and other distribution-based methods
    • Non-distribution-based structured methods (quantile regression and general iteration models)
    • Dealing with Credibility concerns
    • Non-structured methods (neural networks, trees, machine learning)
    • Handling high dimensional variables
  4. General Ratemaking Topics
    • Usage-based rating theory for Auto Insurance
    • Competitive analysis / rate monitoring
    • Fitting distributions
    • Using data mining and modeling methods for loss trends
    • Revisiting exposure bases for Med Mal Insurance
    • External data sources
    • Estimating Trend
  5. Enterprise Risk Management
    • How much is a rating worth?
    • Impacts on Ratemaking due to capital impairment
    • Using economic capital models to derive profit targets and investment yields
    • Concentration issues
  6. Specialty Products
    • Federal and State Insurance Programs – FDIC, Flood, Earthquake
    • Impact of coverage changes on pricing
    • Director’s & Officer’s, Fiduciary Liability, Errors and Omissions
    • Reinsurance Pricing
    • Impact of Change in International Accounting Standards on Ratemaking

Call Paper Timetable

Timely submission of the discussion papers is critical. The procedures and timetable enumerated below apply.

  • Deadline for Proposals
    By June 26, 2009, authors must submit proposals for their papers including the suggested title, a short description of the topic(s) to be addressed, the approach that will be taken, and a survey of existing actuarial literature on the subject (title and abstract of a maximum of the five most relevant papers). Authors should review the criteria for acceptance shown above, and the format of papers shown below. Proposals should be submitted electronically, including contact information, via e-mail to Casualty Actuarial Society at jfulton@casact.org. Please put “2011 Ratemaking Call Paper Proposal" in the subject line of the e-mail message

     

  • Acceptance of Proposals
    By July 31, 2009, the Committee on Ratemaking will decide which proposals are accepted. A representative from the Ratemaking Committee will contact the authors regarding the decision and provide a detailed overview of the Call Paper process. Acceptance of a proposal does not imply the final paper will be accepted.

     

  • Monitoring Progress
    A Call Paper Sub-Committee will be assigned to work with each author to monitor the paper's progress and to provide general guidance in completing the paper within the timeframes. The sub-committee Chairperson will monitor progress. Authors are encouraged to share drafts with the sub-committee as work progresses, and are required to submit interim drafts according to the following schedule:
    • By December 4, 2009, a completed draft of the paper will be submitted to the Chair of the assigned Sub-Committee for review.
    • By March 26, 2010, the Sub-Committee will forward review comments on the draft to the author(s).
    • By June 18, 2010, a second draft of the paper will be submitted to the Chair of the assigned Sub-Committee for review.
    • By August 27, 2010, the Sub-Committee will forward review comments on the second draft to the author(s).

     

  • Completion Date
    By October 1, 2010, the Committee on Ratemaking must receive the completed paper including a 200-word abstract. Each paper will be reviewed by the Committee to assure its quality of exposition, relevance to the call and to ratemaking research, and adherence to format requirements described below. The Committee reserves the right to not publish a submission.

     

  • Approving the Completed Paper
    By December 8, 2010, authors will be notified of the decision of the Committee to publish their completed paper. Accepted papers will be published in the CAS Forum and will be available on the CAS Web Site prior to the 2011 Ratemaking and Product Management Seminar.

     

  • Presenting the Paper
    Authors may also be invited to present their papers at the March 2011 CAS Ratemaking and Product Management Seminar. These authors will be contacted in advance of the meeting regarding their presentations.

     

  • Prize Competition
    The Committee may consider accepted Call papers for a prize, for which a prize fund of $2,500 is available. An independent review committee will judge the papers anonymously and select the best paper(s). If one or more papers are awarded a prize, the prize fund will be shared among those papers equally. If no paper is considered eligible, the award shall not be made. If the Committee awards a prize, it will be presented to the author(s) at the Ratemaking and Product Management Seminar.

Format of Papers

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 Forum on the CAS Web Site. Key words in the abstract should be based on the CAS Research Taxonomy. Additional guidance for the preparation of technical papers for publication is provided in the Guides for the Submission of Papers in the 2008 CAS Yearbook (beginning page 104) and on the CAS Web Site.

In addition to a hard copy of the paper, 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.

The Committee on Ratemaking looks forward to receiving proposals in response to the call, and is happy to respond to inquiries from interested parties. Questions may be addressed to the Committee on Ratemaking at the CAS Office via e-mail to office@casact.org.

Your participation in this effort will contribute to the written body of knowledge for the CAS and to the success of the 2011 Ratemaking Research Call Paper Program.

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