Casualty Actuarial Society

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2009 Dynamic Risk Modeling Call Paper Program - Proposal Deadline Extended to December 1

11/19/2008 —

2009 Dynamic Risk Modeling Award

The Casualty Actuarial Society (CAS) is pleased to extend a call for papers on the topic of "Solving Problems Using a Dynamic Risk Modeling Process.” In this call paper program, participants will use the Public Access DFA Dynamo 4 Model to be released September 1, 2008 to illustrate how the Dynamic Risk Modeling process can be applied to solve real world P&C Insurance problems. The model and manual are available on the CAS Public-Access DFA Model working party website. Papers should describe the problem to be solved, the author’s approach to using the DFA Model within the DRM process, and any suggested improvements. Participants are encouraged to make any additional enhancements. This is being done to foster the use of Dynamo 4 and to generate publicly available improvements to the model. Participants may submit either or both written papers and improvements via add-on programs/macros to Dynamo 4.

Authors of accepted papers may be invited to present their work at the 2010 Enterprise Risk Management Symposium scheduled for April 12-14, 2010, in Chicago, IL. In addition, the papers will be published in the CAS E-Forum and will be available on the CAS Web Site prior to the Symposium. A $5,000 prize fund is available to offer prizes for the best submission(s). Both CAS members and non-members are invited to submit proposals for papers.

Unlike previous DFA/ERM calls, this call will focus on the use of the Dynamic Risk Modeling PROCESS. Each participant will be expected to use the same DFA model and describe the process by which they solved a specified problem. The problem could relate to pricing, catastrophes, interest rates, reserving, underwriting cycles, capital allocation, or the like. The process used to solve the stated problem will be left to the participant, but should be defended as to the appropriateness of its use. It is expected that each paper will address the following:

  • Description of measures of risk and reward used in evaluation;
  • Description of strategies considered;
  • Description of the inputs needed;
  • Description of analytical process; and
  • Interpretation of model results/evaluation of strategies.

Add-on programs or macros suggested to improve the Public Access Model in order to support the process described in the paper must be fully compatible with the Public Access Model. In order to receive a prize for the Add-on, the author must authorize the inclusion of the add-on into the Public Access Model.

Participants should be prepared to make formal presentations supporting their approach and conclusions.

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 – Extended
    By December 1, 2008, authors should submit a one to two page proposal for their papers including the title, a short description of the problem(s) to be addressed, and the approach that will be taken. Proposals should be submitted electronically via e-mail to Jane Fulton at the Casualty Actuarial Society at jfulton@casact.org. Please put "2009 DRM Call Paper Proposal" in the subject line of the e-mail message.
  2. Acceptance of Proposals - Extended
    By December 10, 2008, the Committee will make a decision on all proposals. The number of accepted proposals may be limited. The Committee will contact authors 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. By mutual agreement, the author and the assigned Committee member will establish a schedule for the production of interim drafts.
    • By April 1, 2009, a completed draft of the paper will be submitted to the Chair of the assigned Sub-Committee for review.
    • By June 1, 2009, the Sub-Committee will forward review comments on the draft to the author(s).
  4. Completion Date
    By August 1, 2009, the Committee must receive the completed paper and a 200-word abstract for its review. Each paper will be screened by the Committee to assure its quality of exposition and relevance to the call. The Committee may require further rewriting of the paper to bring it to an acceptable standard.
  5. Approving the Completed Paper
    By September 1, 2009, all authors will have been notified as to the results of this screening process, and final approvals will have been provided. Accepted papers will be published in the CAS E-Forum and will be available on the CAS Web Site prior to the 2010 ERM Symposium.
  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 $5,000 is available for the best paper(s) submitted in response to this call and/or the best add-on improvement to the Public Access DFA Model. If awarded, prizes will be announced and presented to the authors at the 2009 CAS Annual Meeting. Papers will be evaluated by an independent review committee that will judge the papers anonymously.

    The criteria for evaluation will include:

    • Originality of ideas;
    • Clarity of presentation;
    • Contribution to the literature on Dynamic Risk Modeling; and
    • Thoroughness of analysis.
  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. 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 in the 2007 CAS Yearbook (pages 121-126).

In addition to a hard copy of the paper, authors will be required to provide an electronic copy of the paper on CD or by e-mail and will be asked to sign a "Permission to Publish" form allowing the CAS 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 Dynamic Risk Modeling Committee looks forward to receiving proposals in response to this call, and is happy to respond to inquiries from interested parties. Questions may be submitted to the DRMC via e-mail to jfulton@casact.org.

Updated version of the Public Access DFA Model (Dynamo)

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