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CAS E-Forum

CAS E-Forum, Summer 2012

2012 Summer Volume including Dynamic Risk Modeling Call Papers on “Solving Problems Using a Dynamic Risk Modeling Process,” the 2012 Reserves Call Papers, and four Additional Papers

The E-Forum replaces the traditional printed Forum as the means to disseminate non-refereed research papers to the actuarial community. The CAS will no longer distribute the Forum in hard copy format. The CAS is not responsible for statements or opinions expressed in the papers in the E-Forum. These papers have not been peer reviewed by any CAS Committee.

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Table of Contents

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2012 Dynamic Risk Modeling Call Papers

Stochastic GMB Methods for Modeling Market Prices
James P. McNichols, ACAS, MAAA, and Joseph L. Rizzo, ACAS, MAAA

Effects of Simulation Volume on Risk Metrics for Dynamo DFA Model
William C. Scheel and Gerald Kirschner

2012 Reserves Call Papers

A GLM-Based Approach to Adjusting for Changes in Case Reserve Adequacy
Larry Decker, FCAS, MAAA

Looking Back to See Ahead: A Hindsight Analysis of Actuarial Reserving Methods
Susan J. Forray, FCAS, MAAA

Back-Testing the ODP Bootstrap of the Paid Chain-Ladder Model with Actual Historical Claims Data
Jessica (Weng Kah) Leong, Shaun Wang, and Han Chen

The Leveled Chain Ladder Model for Stochastic Loss Reserving
Glenn Meyers, FCAS, MAAA, CERA, Ph.D

A Practical Way to Estimate One-Year Reserve Risk
Ira Robbin, Ph.D.

A Total Credibility Approach to Pool Reserving
Frank Schmid

Two Symmetric Families of Loss Reserving Methods
Andy Staudt, FCAS, MAAA


Closed-Form Distribution of Prediction Uncertainty in Chain Ladder Reserving by Bayesian Approach
Ji Yao, Ph.D., FIA, CERA

Additional Papers

Sustainability of Earnings: A Framework for Quantitative Modeling of Strategy, Risk, and Value
Neil M. Bodoff, FCAS, MAAA

A Common Subtle Error: Using Maximum Likelihood Tests to Choose between Different Distributions
Gyasi Dapaa

Loyalty Rewards and Gift Card Programs: Basic Actuarial Estimation Techniques
Tim A. Gault, ACAS, MAAA, Len Llaguno, FCAS, MAAA, and Martin Ménard, FCAS, MAAA

A Note on Parameter Risk
Gary Venter, FCAS, MAAA, and Rajesh Sahasrabuddhe, FCAS, MAAA

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