2018 Reserves Call Paper Program
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 regularly 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
- Practical application of paper
Authors of accepted papers may be invited to present their work at the 2018 Casualty Loss Reserve Seminar (CLRS). In addition, the papers will be electronically published in the CAS E-Forum and will be available on the CAS Web Site prior to the Seminar. 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.
Please also note that while we receive non-technical reserving papers in a separate call, such papers are also welcome in this more general call.
While proposals related to any reserving-related matters are welcome, suggested topics include the following:
- Methodologies: Papers are sought that present 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 (DCC, AO, and ULAE);
- Simulation techniques;
- Incorporating Mortality Models in Workers Compensations methodologies;
- Measuring the long term accuracy of various methodologies.
- Unique or Changing Exposures: Examples include reserving for:
- Cyber security
- Political uncertainty
- Opioid crisis
- Sharing economy
- Global warming / climate change
- Recent legislation or court decisions;
- New products or new markets;
- Natural catastrophes;
- Asbestos, environmental and other mass torts;
- Management Liability and Financial Institution Liability;
- Construction defect claims;
- Large deductible workers compensation;
- Medical professional liability extended reporting contracts;
- Renewable Energies
- Death, Disability and Retirement Reserves;
- Possible impact of the Patient Protection and Affordable Care Act
- Changes in the Reserving Landscape: Potential, new, or upcoming changes affecting the scope or nature of the reserving actuary’s work including:
- Changes to reserves under Solvency II
- Estimating premium deficiency reserves;
- Changes in the claims environment;
- Risk-focused regulatory examinations.
- 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, 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, Solvency II and IFRS;
- SEC Disclosure Requirements.
- Other Matters Affecting Reserving
- Predictive modeling
- Impact of changing interest rate environment on reserves
- 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 collectability 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 December 29, 2017, 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 Jody Allen at the Casualty Actuarial Society at JAllen@casact.org. Please put "2018 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 January 31, 2018, 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 April 2, 2018, 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 23, 2018, comments on the first draft will be forwarded to the author.
- Completion Date
By May 14, 2018, the Committee on Reserves must receive the completed paper. 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 May 28, 2018, 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 prior to the 2018 CLRS.
- Presenting the Paper
Authors may be invited to present their papers at the 2018 CLRS scheduled for September 5-7, 2018 in Anaheim, CA. Each invited author should make every effort to attend the CLRS and present his/her paper. These authors will be contacted in advance of the meeting.
- 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, including funds for 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 2018 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. 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 the "Permission to Publish" and/or “Author Acknowledgement” forms, which formally grants the CAS permission 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 after the Call Paper Program concludes, the authors will also submit their papers for publication in Variance in accordance with its submission procedures. However, acceptance of a 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 JAllen@casact.org. Your participation in this effort will contribute to the written body of knowledge of the CAS and to the success of the 2018 Reserves Call Paper Program.