Casualty Actuarial Society

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Deadline Extended to January 18 for the 2010 Committee on Valuation, Finance and Investments Call for Papers: Parameters of a Financial Crisis

01/05/2010 —

Deadline extended for proposals until January 18, 2010.

The Casualty Actuarial Society (CAS) and the CAS Committee on Valuations, Finance, and Investments (VFIC) are pleased to extend a call for discussion papers on valuation topics related to the 2008 financial crisis and its implications for the Property-Casualty industry. The purpose of this Call Paper Program is to extend the theory and actuarial tools currently available to monitor and control the risks associated with unusually severe and correlated market movements.

Papers will be reviewed for acceptance based on:

  • Originality of ideas
  • Understandability of concepts
  • Contribution to current literature
  • Thoroughness of ideas expressed
  • Timeliness and relevance of research

Authors of accepted papers may be invited to present their work at the 2010 CAS Annual Meeting. In addition, the papers may be electronically published in the CAS E-Forum and made available on the CAS website prior to the Annual Meeting.

Authors are encouraged to include a “practical tool” (e.g., free software) to add to the educational value of the paper. The software may be an Excel-based model.

Both CAS members and non-members are invited to submit proposals for papers.

Suggested topics include but are not limited to theoretical considerations or practical computing tools for the identification, quantification, evaluation, and impact of:

  • Credit risk and the connection to traditional actuarial estimates and insurance markets.
  • Do we have bubbles in insurance? The roles of liquidity, leverage, underwriting market cycles, asset-liability mismatch, mark-to-market, inflation, cash flows, counter-party risk, correlation, tail-risk, moral hazard, and contagion.
  • What went wrong at the ERM (enterprise risk management) and insurer’s executive or macroeconomic decision making level?
  • Lessons learned and implications for the future.
  • Insurance and re-insurance balance sheet issues, portfolios, scenario and stress testing.
  • International accounting standards for illiquid assets and insurance liabilities.

 

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 January 4, 2010, 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 Jane Fulton at the Casualty Actuarial Society at jfulton@casact.org. Please put "2010 VFIC Call Paper Proposal" in the subject line of the e-mail message.

  2. 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 January 22, 2010 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 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 April 23, 2010, 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 July 23, 2010, comments on the first draft will be forwarded to the author.

  4. Completion Date

    By September 24, 2010, VFIC 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.

  5. Approving the Completed Paper

    By October 22, 2010, all authors will be notified as to the results of this screening process. Accepted papers will be published electronically in the CAS E-Forum and will be available on the CAS Web Site.

  6. 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 $4,000 is available for papers submitted in response to the call. 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. An independent review committee will judge the papers anonymously and make recommendations for prizes. If awarded, prizes will be presented to the author(s) at the 2010 CAS Annual Meeting.

  7. 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. Additional guidance for the preparation of technical papers for publication is provided in the Guides for the Submission of Papers on the CAS Web Site. Authors will be required to execute a "Permission to Publish" form, which formally grants the CAS permission 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 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 Valuations, Finance, and Investments 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 VFIC via e-mail at jfulton@casact.org. Your participation in this effort to produce new papers will contribute to the written body of knowledge for the CAS and to the success of the 2010 Valuations Call Paper Program.

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