Casualty Actuarial Society

Research

Committee on Dynamic Financial Analysis Announces 2001 Call for Papers

Dynamic Financial Analysis, A Case Study

The Casualty Actuarial Society (CAS) is pleased to extend a call for papers on the topic of "Dynamic Financial Analysis, A Case Study." In this call paper program, participants are presented with a specific actuarial situation, including a company description and financial statements, and are asked to write a paper describing their approach and solution to the situation. By giving all participants a common starting point, we hope to (1) encourage creative problem solving by participants using Dynamic Financial Analysis (DFA), (2) demonstrate the range of DFA approaches and models to the CAS membership, and (3) illustrate how appropriate capital levels can be determined using DFA.

Authors of accepted papers may be invited to present their work at the 2001 Dynamic Financial Analysis Seminar scheduled for June 7-8, 2001, in Boston, Massachusetts. In addition, the papers will be published in the CAS Forum and will be available on the CAS Web Site prior to the Seminar. A prize fund, which will offer up to $5,000 per paper, will be available for the best paper(s) submitted in response to this call. Both CAS members and non-members are invited to submit proposals for papers.

Prior calls on the subject of DFA dealt with the application of a DFA model (1996), financial and insurance variables appropriate for DFA models (1997), applications and uses (1998), parameterizing models (1999) and evaluation of strategic alternatives and presentation of conclusions (2000).

By contrast, this call will focus on the application of DFA approaches to a given situation in order to illustrate how appropriate capital levels can be determined using DFA. Each participant will be expected to determine appropriate capital levels for the given insurance company based on standards used by ratings agencies, regulators, or financial markets. The capital standard which is adopted for this study is left to the participant, but should be defended as to the appropriateness of its use. It is expected that each paper will include the following:

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

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

The specific situation, company description, and financial statements are available on the CAS Web Site at www.casact.org/research/dfa/index.cfm?fa=dfainsco. Participants will be responsible for selecting appropriate risk and reward measures to either optimize or control. The "Performance and Risk Measures" chapter of the DFA Research Handbook (also available on the CAS Web Site) may be helpful in this regard.

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
  2. By October 23, 2000, authors should submit proposals for their papers including the title and a short description of the approach that will be taken. Proposals should be submitted to:

    Casualty Actuarial Society
    1100 North Glebe Road, Suite 600
    Arlington, VA 22201
    Attn: Committee on DFA
    Fax: 703-276-3108; E-mail: office@casact.org.

  3. Requests for Additional Information
  4. Written requests for additional information must be received by October 2, 2000. Written responses will be provided by October 30, 2000 to those who submitted proposals.

  5. Acceptance of Proposals
  6. By November 6, 2000, 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.

  7. Monitoring Progress
  8. 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.

  9. Completion Date
  10. By March 5, 2001, the Committee must receive the completed paper and a 200-word abstract for their 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.

  11. Approving the Completed Paper
  12. By March 26, 2001, 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 Forum and will be available on the CAS Web Site prior to the 2001 DFA Seminar.

    Authors may be invited to present their papers at the DFA Seminar, scheduled for June 7-8, 2001, in Boston, Massachusetts.

  13. Prize Competition
  14. 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, which will offer up to $5,000 per paper, will be available for the best paper(s) submitted in response to this call. If awarded, prizes will be announced and presented to the authors at the 2001 DFA Seminar. 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 DFA; and,
    • Thoroughness of analysis.

  15. Submission Guidelines
  16. Papers must be no more than 10,000 words and should be prepared in accordance with the procedures outlined in the "Guide for Submission to CAS Forum" on the CAS Web Site at www.casact.org/about/index.cfm?fa=forum. Additional guidance for the preparation of technical papers for publication is provided in the "Guides for the Submission of Papers" in the 2000 CAS Yearbook (pages 321-329) and on the CAS Web Site at www.casact.org/about/index.cfm?fa=guides. In addition to a hard copy of the paper, authors will be required to provide an electronic copy of the paper on diskette or by e-mail, and will be asked to sign a "Release and License" form allowing the CAS to publish the paper.

    It is hoped that authors will also submit their papers for publication in the Proceedings in accordance with the procedures in the Yearbook. However, acceptance of a paper for this call does not guarantee its acceptance for publication in the Proceedings.

    The Committee on DFA 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 the Committee on DFA at the CAS office address or via e-mail to office@casact.org.