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CAS Research Enhances the Profession
By Cheri Widowski, CAS Research Manager, and David Core, CAS Director of Professional Education and Research 

One of the purposes of the Casualty Actuarial Society is “to advance the body of knowledge of actuarial science applied to property, casualty and similar risk exposures.” An integral component of this purpose is research and development in actuarial science. The CAS is undertaking four Research Call Paper programs and even more funded research projects. Nine Working Parties are also working diligently to complete their work.

Following is a snapshot of what research is now being done:

  • The Climate Change Committee is funding development of an index to raise awareness of the potential risks associated with climate change and the risk management implications within North America and the rest of the world.   
  • The Committee on Ratemaking is in the midst of its 2012-2013 Call Paper Program. Ten papers are in the works and will be divided into one-year and two-year cycles; one-year papers will be published in spring 2012 and presented at the 2012 RPM Seminar.   
  • The Committee on Reserves just recently launched its 2012 Reserves Call for Papers and introduced a reserving topics e-mail list called RESNET (see story, page 28).   
  • The Committee on the Theory of Risk has a funded project on “Liquidity & Credit Risk in the Valuation of Assets & Liabilities in a Going Concern” and another to maintain and update the Risk Premium Project 2.   
  • The Dynamic Risk Modeling Committee recently completed its 2011 Call Paper program for the Loss Simulation Model and awarded the Emerging Issues Prize to Kailan Shang for his paper, “Loss Simulation Model Testing and Enhancement” (see story, page 6).   
  • The Committee on Health Care Issues will be presenting a session at the upcoming Annual Meeting on “The Painful Truth about Workers Compensation Medical Severity Trends” and is developing a wiki.   
  • The Valuation, Finance, and Investments Committee is involved in several funded research projects, including one on risk margins, another on contingent capital, and two on credit risk.   
  • The Committee on Reinsurance Research wrapped up its 2011 Reinsurance Call for Papers, with five papers published in the Spring E-Forum. The Reinsurance Prize awarded to authors David Homer and Richard Rosengarten for “A Method for Efficient Simulation of the Collective Risk Model.”   
  • The Committee on Management Data & Information is working with authors of eight papers as part of its 2012 Call Paper program. Papers will be published in early 2012 and presented at the 2012 RPM Seminar.

The following Working Parties are completing their projects:

  • The R Working Party is charged with making advanced R-based reserving, ratemaking, and predictive modeling procedures available, accessible, and of practical value to a wider audience.   
  • The Bornhuetter Ferguson Initial Expected Losses Working Party’s goal is to produce a paper regarding the initial expected loss assumption in the Bornhuetter-Ferguson reserving method.   
  • The Dynamic Risk Modeling Handbook Working Party is in the final stages of completing this important handbook.   
  • The Economic Capital Working Party’s goal is to find recommended changes to risk-based capital and create a model that is more user-friendly.   
  • The Working Party on Public Access DFA has three papers in the works for its Dynamo Call Paper Program; papers will be published in early 2012 and some may be presented at the 2012 Spring Meeting.   
  • The Tail Factors Working Party has just finished their report on the methods currently used by actuaries to estimate loss development “tail” or “completion” factors, including analysis of those methods.   
  • The Health Economics Working Party is just getting started and plans to research the impact of health care costs on casualty insurance coverages.   
  • The RBC Dependency and Calibration Working Party is preparing an interim report assessing the extent to which the current RBC formula is risk-responsive.   
  • The RBC Underwriting Risk Working Party is preparing a report on the short-term project that addresses whether the Working Party can suggest improvements to the NAIC’s calibration methodology for the RBC reserve and premium risk factors—all while staying within the confines of RBC’s current data sources and formula structure.

For more information, read the CAS Research and Development News, August issue.

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