2010 Reserves Call Paper Program - Proposals due August 14th
07/27/2009 — The deadline for proposals is August 14, 2009.
The Casualty Actuarial Society (CAS) and the CAS Committee on Reserves (CASCOR) are pleased to extend a call for discussion papers on reserving topics. The reserving call paper program is undertaken on a biannual basis by CASCOR to foster the development of relevant and high-quality research on the important topic of reserving, to facilitate the publication of this research, and to provide additional material for basic and continuing education purposes. Papers will be reviewed for acceptance based on:
- Originality of ideas
- Understandability of concepts
- Contribution to current reserving literature
- Thoroughness of ideas expressed
- Timeliness and relevance of research
Authors of accepted papers may be invited to present their work at the 2010 Casualty Loss Reserve Seminar (CLRS). In addition, the papers will be electronically published in the CAS eForum, will be available on the CAS Web Site prior to the Seminar and authors are encouraged to include a “practical tool” (e.g., free software) to add to the educational value of the paper. Both CAS members and non-members are invited to submit proposals for papers.
While proposals related to any reserving-related matters are welcome, suggested topics include the following:
- Opinion Issues: Issues related to the requirements for property and casualty reserving that impact the preparation of Statements of Actuarial Opinion including:
- SAO requirements (e.g., data reconciliation, Actuarial Opinion Summary, etc.);
- ASOP No. 43 matters, including use of “actuarial central estimate” as opposed to “best estimate”, the process for selecting or rejecting various actuarial methods or models, the use of multiple methods as opposed to a single method, and the presentation of results as a point estimate, a range, or a distribution.
- Management's best estimate vs. an actuary's selected point estimate;
- Reserve to capital leverage and its impact on materiality and disclosures.
- Best Estimates, Variability, and Ranges: Evaluation of the variability of future loss payments and the resulting ranges of loss and loss adjustment expense liabilities including:
- Derivation and measures of distributions and the "reasonable" range;
- Interaction of distributions, risk-margins, materiality criteria and discounting;
- Considerations when developing estimated distributions. For example:
- Use of individual claim data
- Impact of operational changes
- External (economic, judicial, or legislative) influences
- Correlation between (or combining of) multiple lines of business
- Interaction of point estimates, ranges, and distributions with accounting standards, i.e. Statutory Accounting Principles, Generally Accepted Accounting Principles, international accounting standards, and Solvency II;
- SEC Disclosure Requirements.
- Changes in the Reserving Landscape: Potential, new, or upcoming changes affecting the scope or nature of the reserving actuary’s work including:
- Estimating premium deficiency reserves;
- Revisions to ASOP No. 36;
- Risk-focused regulatory examinations.
- Methodologies: In the last two decades, a prolific CAS membership has produced numerous articles and papers presenting a wide array of new methods for various reserving circumstances. So, a new survey paper that compares and contrasts several such methods, new and old, would be welcome. Also sought are papers presenting new or improved reserving techniques that consider:
- Incorporating external information into the reserving process (e.g., the state of the economy);
- Reserving as part of Enterprise Risk Management (ERM);
- Economic or social inflation (especially changing inflation);
- Company operational changes;
- Reserving for loss adjustment expenses;
- Simulation techniques;
- Unique or Changing Exposures: Examples include reserving for:
- Natural catastrophes;
- Asbestos and other mass torts;
- Environmental liability;
- Construction defect claims;
- Large deductible workers compensation;
- Medical professional liability extended reporting contracts;
- Recent legislation or court decisions;
- New products or new markets.
- Other Matters Affecting Reserving
- Rehabilitations (short-term and long-term) liquidations, and/or companies in run-off;
- Retroactive reinsurance and financial reinsurance;
- Finite insurance and reinsurance and risk transfer;
- Commutations, novations, policy buybacks, and their impact on reserves (ceded or assumed);
- Reinsurer collectibility issues and coverage disputes;
- Data issues (related to reserving techniques and/or reconciliation);
- Written or oral communication of actuarial findings (i.e., actuarial report underlying the SAO or reporting to the board of directors).
- Loss emergence and what it communicates regarding the quality of the actuarial loss reserving work performed prior to the emergence.
- Contending with varying regulatory reserving/opinion requirements affecting multi-national insurers
Call Paper Timetable
Timely submission of papers is critical to the success of the call. The procedures and timetable enumerated below will apply.
- Deadline for Proposals
By August 14, 2009, authors should submit a one to two page proposal for their papers including the 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 via e-mail to Cheri Widowski at the Casualty Actuarial Society at CWidowski@casact.org. Please put "2010 Reserves Call Paper Proposal" in the subject line of the e-mail message.
- Acceptance of Proposals
The Committee will make a decision on all proposals. The number of accepted proposals may be limited. The Committee will contact authors by September 18, 2009 regarding their proposals.
- 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 within the specified timelines. By mutual agreement, the author and the assigned Committee member will establish a schedule for the production of interim drafts.
By December 14, 2009, a first draft of the completed paper (including an abstract of no more than 200 words) should be submitted to the assigned Committee member for review.
By April 12, 2010, comments on the first draft will be forwarded to the author.
- Completion Date
By June 7, 2010, the Committee on Reserves must receive the completed paper for its review. Each paper will be screened by the Committee to assure its quality of exposition, relevance to the call and to reserving research, and adherence to format requirements described below. The Committee may require further rewriting of the paper to bring it to an acceptable standard.
- Approving the Completed Paper
By July 12, 2010, all authors will be notified as to the results of this screening process. Accepted papers will be published electronically in the CAS eForum and will be available on the CAS Web Site prior to the 2010 Casualty Loss Reserve Seminar.
- Presenting the Paper
Authors may be invited to present their papers at the CLRS scheduled for September 20-21, 2010 in Lake Buena Vista, FL. Each invited author should make every effort to attend the CLRS and present his/her paper.
- 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 Ronald Bornhuetter Loss Reserves Prize competition. A total fund of $5,000 is available for the best papers submitted in response to the call, with $1,500 awarded to the winner of the Ronald Bornhuetter Loss Reserve Prize and up to $1,000 for the best “practical tool” submitted with a paper. The Prize(s) will be announced and presented to the author(s) at the CLRS. Papers will be evaluated by an independent review committee that will judge the papers and tools anonymously. If no paper or tool is considered eligible, the award shall not be made. There is also no guarantee that the total monetary fund, set at a level to recognize more than one paper or practical tool, shall be exhausted.
- 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 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 to Variance in the CAS “2009 Yearbook and 2008 Proceedings” (pages 108-111). We would also request that, for consistency, authors use the terminology and notation established in the Reserve Variability Working Party report when possible.
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 “practical tools” that should be freely available to the membership in spreadsheet (or other) 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 procedures in the Yearbook. However, acceptance of a discussion paper for this call does not guarantee its acceptance for publication in Variance.
The Committee on Reserves 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 Jon Michelson or Mark Shapland at their CAS online directory addresses or via e-mail to CWidowski@casact.org. Your participation in this effort will contribute to the written body of knowledge of the CAS and to the success of the 2010 Reserving Call Paper Program.