Reminder: CAS Issues Call for Monographs on Aggregating Loss Distributions in P&C Ratemaking, Pricing, Reserving & ERM Applications - Deadline July 1
Deadline for Proposals: July 1
The Casualty Actuarial Society, in conjunction with the CAS Monograph Committee, is pleased to extend a call for monographs on the topic of Aggregating Loss Distributions for P&C Insurance Ratemaking, Pricing, Reserving, and Enterprise Risk Management applications. The purpose of this call is to develop a source of literature with emphasis on the educational and professional needs of actuaries to foster better understanding of aggregating loss distributions in P&C actuarial practice and to generate publicly available models and methods.
This topic covers both modern pricing and reserving methods and the aggregation of those various methods across various lines of business. Aggregating actuarial central estimates from different actuarial models across different methods and lines of business has long been practiced in actuarial science. This call is intended to further the literature on combining multiple distributions of losses for the purpose of managing the aggregate risk. Monographs in this series can range from compendia of distribution aggregation techniques in P&C insurance to detailed notes on one or more of the methods for aggregating loss distributions. The authors may discuss one or a small number of methods in great detail or provide a survey of the various methods of aggregating loss distributions, elucidating the pros and cons of each method and connections between them.
Some examples of specific questions these monographs may address include:
- Multiple Loss Distributions for a Single Line of Business: For a particular line of business, various reserving or pricing method may yield different distributions of possible outcomes. How can these distributions be combined?
- Multiple Lines of Business for a Single Distribution: Applying the same method to multiple lines of business can generate a structurally similar distribution for each line. How can one combine these into a single useful distribution?
- Multiple Loss Distributions for Multiple Lines of Business: While individual aggregated distributions as produced in (1) and (2) are useful in themselves, how does one aggregate both these sets of distributions into a single enterprise-wide distribution?
All monographs are expected to either be accompanied by tools or code that allows the techniques discussed to be implemented, or include links to open source software and code for this purpose.
Topics noted within this Call for Monographs are not only of interest to many practicing actuaries but may also be of interest to the CAS Syllabus Committee. The Monograph Editorial Board especially welcomes proposals that enrich material currently used to train P&C actuaries. This means that monographs that are highly readable and are structurally amenable to having questions set from them are preferred. Authors are encouraged, but not required, to include examples and exercises that help teach the concepts being explained.
Authors must submit their work in accordance with the Guidelines for Submission of Monographs published on the CAS Web Site. The Monographs will be subject to peer review prior to final acceptance. Authors of monographs that are accepted within the timeline outlined below may be invited to present their work at a related CAS Seminar or Meeting.
The monograph series seeks to present a balanced perspective with respect to alternative approaches to solution of a given class of problems and to foster critical thinking. Although original research is encouraged, these monographs are primarily educational. An individual monograph may focus on a single method or be a survey of various methods available and should include real-world examples, models, and spreadsheets. Approaches providing balanced and critical evaluation of alternative methodologies are particularly welcome. Conditions of optimal application and the advantages/disadvantages of use should be explored, making it easier for a practitioner to choose suitable methods.
Monographs should be prepared in accordance with the Research Paper Template, and the procedures in the Guide for Submission of Monographs on the CAS Web Site. Key words in the abstract should be based on the CAS Research Taxonomy, also on the CAS Web Site. Authors will be required to execute a copyright agreement form, which formally grants the CAS permission to publish the paper. Authors are encouraged to submit working templates in spreadsheets or other open source formats for models or methods discussed or developed in their papers. These spreadsheets and/or programs will be posted on the CAS Web Site along with the monographs.
Timely submission according to the timetable outlined below would ensure that a paper will be ready for presentation at an upcoming, related CAS Seminar or Meeting.
1. Deadline for Proposals: By July 1, 2017, authors should submit proposals, including the title, a short description of the topic(s) to be addressed, and the approach that will be taken. Each proposal should be accompanied by the resumes of the author(s), indicating how their background, education, and experience bear on their qualifications to undertake the project. A list of the authors’ publications, along with authors’ contact information, should be included with the proposal, submitted via e-mail to the Casualty Actuarial Society, email@example.com.
2. Acceptance of Proposals: By August 15, 2017, the Committee will make a decision on all proposals and will contact authors accordingly.
3. Monitoring Progress: A committee member will be assigned to work with each author to monitor the paper's progress and to provide general guidance for completion of the paper. Interim drafts, based on a schedule proposed by the author, may be requested.
4. First Draft: By December 15, 2017, a first draft of the completed paper will be submitted to the assigned committee member for review and comments.
5. Results of Initial Review: By January 15, 2018, preliminary comments on the first draft will have been forwarded to the author.
6. Final Draft: By March 15, 2018, the completed paper and a 200-word abstract must be received. Each paper will be screened to assure its quality of exposition and relevance to the call. Submitted papers are subject to rigorous peer review and copyediting.
7. Results of Peer Review to Authors: By June 15, 2018, all authors will have been notified as to the results of this screening and peer review process.
8. Final Submission: By August 15, 2018, accepted monographs will be due to the CAS, to be published and be available on the CAS Web Site. Some authors will be invited to present their papers at an upcoming CAS Seminar or Meeting.
Any questions on this Call may be addressed to Donna Royston at firstname.lastname@example.org.