Review of CAS Research Activities
by Donald F. Mango, CAS Vice President-Research and Development
Among the feedback from the most recent membership survey was a recommendation that "the CAS better publicize the availability and organization of its research." This recommendation was made because the members said that they are not aware of all the research activities sponsored by the CAS. This article represents a first step towards raising awareness of our research activities.
First, I call your attention to the "Latest Research" column of the AR. Each quarter this column presents an update on current CAS research. This is an easy way to keep up to date on research activities.
In the remainder of this article, we will be discussing:
- Research Committees
- CAS Working Parties
- Call Paper Programs
- Sponsored Research
- Seminar Sessions
- International Research
- Research Accessibility
- Research Initiatives Coordinator
Many members are unaware of our research committees. Under the members section of the CAS Web Site, you can find the list of research committees: Dynamic Risk Modeling, Health and Managed Care Issues, Management Data and Information, Principles, Ratemaking, Reinsurance Research, Reserves, Theory of Risk, Valuation, Finance and Investments, Enterprise Risk Management, and International Research. The committees are the engines driving and coordinating most of our research activity.
CAS Working Parties
The CAS introduced a new research approach in 2003: Research Working Parties (WPs). These are task forces, under the leadership of members from CAS Research Committees, with the specific charge to produce a single research product over the course of a year. WPs have proven to be effective mechanisms for the General Insurance Research Organization (GIRO), the general insurance arm of the Faculty and Institute of Actuaries (U.K.). A list of all of the WPs with completed projects or work in progress is online.
The first WP to complete its charge is Executive Level Decision Making using Dynamic Risk Modeling (DRM), co-chaired by Michael Larsen and Nathan Babcock. This WP was formed to give practicing actuaries help in developing effective DRM presentations for senior management. The WP did an outstanding job producing PowerPoint templates that CAS members can use in their own work. It is a great example of the value of the WP, and of our renewed focus on practical research with tangible impact.
Another WP is the Quantifying Variability in Reserve Estimates WP, co-chaired by Roger Hayne and James Leise. This WP received enormous interest, and is charged with preparing a survey paper discussing methods currently used to quantify variability in loss reserves with unified notation and terminology. An update on their progress was presented at the CLRS in Las Vegas. We also have active WPs on Correlations and Dependencies Among All Risk Sources (co-chaired by Glenn Meyers and Kevin Dickson) and Elicitation and Elucidation of Risk Preferences (co-chaired by me and David Ruhm).
The Dynamic Risk Modeling Committee's two new WPs on the Dynamic Risk Modeling Handbook and the Public-Access DFA Model are in the early stages of work. Also, the Committee on Reserves has recently called for volunteers for two new WPs on Tail Factors and Bornhuetter-Ferguson Initial Expected Losses. Stay tuned for more opportunities to participate in and benefit from WPs.
Call Paper Programs
Research committees continue to sponsor research call paper programs. We currently have a 2005 Call for Reinsurance Papers and a 2005 Discussion Paper program. The 2005 Ratemaking Call and 2005 Management Data and Information Call are well underway. Research from these two papers calls will be presented at the Ratemaking Seminar in March 2005. Papers from the 2004 Reserves Call were presented at the most recent CLRS, and are available in the latest issue of the Forum.
CAS research funding has sponsored or is sponsoring a number of valuable research products over the last twelve months, including:
Risk Premium Project; Modeling of Economic Series Coordinated with Interest Rate Scenarios; Valuation of P&C Insurance Companies, General Survey; Study of the Implications of Fair Value on P&C Insurers; Workers Compensation Ratemaking: A Textbook for the Practicing Actuary; Comparison of Rating Agency Capital Models.
Many of these ideas came to us through the Actuarial Foundation, the combined research entity co-sponsored by the CAS, SOA, CIA, ASPA, AAA, and CCA.
Check the programs for CAS seminars and you will find presentations on various research activities, including presentation of call papers, prize-winning papers from nonmembers, and updates on WPs. As an example, the 2004 CAS Spring Meeting had sessions on
- the funded research on the implications of Fair Value on P&C Insurers
- the ARIA Prize paper
- an update from the WP on Correlations and Dependencies
- the final report of the WP on Presenting DFA Results to Decision Makers
- the final report on Valuation of P&C Insurance Companies
- General Survey
- a summary of the Risk Premium Project
- a Discussion Paper Program on Generalized Linear Models, and
- two Proceedings papers!
In support of the CAS Centennial Goal, we have expanded international research efforts in several ways. First, we formed the International Research Committee (IRC), chaired by Gary Venter. This committee monitors international research that may be of interest to CAS members; produces summaries for CAS publications; arranges for presentations at CAS sponsored meetings, including facilitating presentations by original authors; finds avenues for exposing CAS research internationally; and increases North American CAS members' awareness of and visibility at international meetings. The IRC will be publishing regular updates in the AR.
The CAS also earmarks funds as part of the international budget for travel and presentation at key international actuarial conferences. As reported in the August AR, we had a large CAS presence at the 2004 ASTIN meeting in Bergen, Norway. We will similarly have greater CAS representation at the 2004 GIRO Conference in Killarney, Ireland. We also have encouraged CAS members to submit papers to the ASTIN Bulletin.
A number of interrelated initiatives are centered on improving the accessibility of our research papers, making the CAS Web Site an international resource for risk and actuarial science professionals worldwide.
Abstracts Database Overhaul
Erin Clougherty, CAS Information Specialist, led the creation of an all-inclusive online research tool for casualty actuarial science literature, replacing the Online Database of Actuarial Abstracts. The database will allow for browsing of the articles by taxonomy category (see below), as well as enhanced searching capabilities. The database will be constantly updated with relevant articles to casualty actuaries from a wide variety of publications. An additional enhancement is the linking of paper discussions to the original papers.
CAS Research Taxonomy
The CAS Research Taxonomy is a categorization scheme for casualty actuarial science literature. The taxonomy will dramatically improve the ability to identify research articles by standardizing the terminology. A draft version of the taxonomy was presented for member feedback during Q1 2004, and Version 1 (reflecting member input) will be the basis of the paper categorization efforts.
In an effort to maximize the value of the CAS Web Site's Online Database of Actuarial Abstracts and the taxonomy, we have drafted (via the Participation Survey) a group of Research Paper Classifiers. The initial focus of these volunteers involves classifying the 4,000 citations currently in the database. This process is expected to take less than three months. Once that is complete, there will be an ongoing effort to classify new citations as they are added to the database. We can always use more volunteers to help with this classification project, so if you are interested, please contact the CAS Office.
Research Paper Template
A research paper template has been developed to allow for a consistent appearance and structure for papers published in the CAS Forum. It too was presented for member feedback during Q1 2004, and the latest version reflects member feedback. Going forward, all CAS WPs and call paper authors will be required to use the research paper template when submitting their papers.
Research Initiatives Coordinator
All these initiatives were overtaxing the VP of R&D (me!), who in desperation reached out to Stewart Gleason. Stewart made the "fatal error" of expressing strong, informed opinions regarding some of our new research ideas. His reward: a new position as research initiatives coordinator! He is a resource for the CAS Research and Development Committees regarding the implementation of WPs, the research paper template, stricter call paper editorial standards, the taxonomy, and the paper categorization. Stewart's creativity and energy have been invaluable as we move down these new roads.
Whom to Contact
Comments, questions and ideas can be sent to me, Stewart, the chairs of any of the research committees, or Mike Boa and Erin Clougherty, the CAS staff supporting research.