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CASACT - 2001 Reinsurance Call for Papers - Using Dynamic Financial Analysis to Optimize Ceded Reinsurance Programs and Retained Portfolios

2001 Reinsurance Call for Papers

The Casualty Actuaries in Reinsurance (CARe) and the Casualty Actuarial Society (CAS) are pleased to extend a call for papers on the topic of “Using Dynamic Financial Analysis to Optimize Ceded Reinsurance Programs and Retained Portfolios

2001 Reinsurance Call for Papers – Using Dynamic Financial Analysis to Optimize Ceded Reinsurance Programs and Retained Portfolios

The Casualty Actuaries in Reinsurance (CARe) and the Casualty Actuarial Society (CAS) are pleased to extend a call for papers on the topic of “Using Dynamic Financial Analysis to Optimize Ceded Reinsurance Programs and Retained Portfolios.”  In this call paper program, the Committee on Reinsurance Research hopes to (1) demonstrate the breadth of DFA approaches to the question of ceded reinsurance program structure, (2) illustrate how DFA models may be adapted to reflect different corporate risk appetites, (3) discuss the effect of various reinsurance structures on capital and contrast with alternative forms of capital, and (4) establish procedures for optimizing retention levels and mix of retained portfolios.

Authors of accepted papers may be invited to present their work at the 2001 Casualty Actuaries in Reinsurance Seminar scheduled for July 11-12, 2001 in Washington, D.C. This seminar is scheduled to run in conjunction with the International ASTIN Colloquium scheduled for July 8-11, 2001.Accepted papers will be published in the CAS Forum and will be available on the CAS Web Site prior to the Seminar.Both CAS members and non-members are invited to submit proposals for papers.

DFA has been successfully used to model and provide management guidance in addressing a wide range of corporate issues.Previous call paper programs on the subject of DFA dealt with the application of a DFA model, financial and insurance variables appropriate for DFA models, applications and uses, parameterizing models, evaluation of strategic alternatives and presentation of conclusions, and applying DFA to a specific set of data.

This call paper program will focus on the application of DFA approaches to the optimization of the structure of an insurance company’s ceded reinsurance program.Areas that might be addressed include balancing competing corporate strategy for income stabilization and cost efficiency.The effect on appropriate capital levels might also be addressed, given not only standards used by ratings agencies, regulators, or financial markets, but also other standards developed in reference to a particular company’s risk appetite. In this context, contrasting reinsurance versus other forms of capital might be discussed.

It is not expected that each paper will address all areas, but each paper should present some new and useful concept.It is expected that all papers will include a description of the models and assumptions used as well as how readers might apply the approach presented to other situations.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.

Deadline for Proposals:

  1. By December 15, 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
      Attn:Committee on Reinsurance Research
      Fax: 703-276-3108;
      E-mail: office@casact.org.
  2. 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 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.It is expected that a first draft will be completed by February 7, 2001.

  4. Completion Date

    By March 20, 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.

  5. Approving the Completed Paper
    By April 20, 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 Casualty Actuaries in Reinsurance Seminar.

    Authors may be invited to present their papers at the Seminar, which will be held in conjunction with the International ASTIN Colloquium.  The Casualty Actuaries in Reinsurance Seminar is scheduled for July 11-12, 2001 in Washington, D.C.

    A prize fund of $2,500 is available for the best papers submitted in response to the call, and if awarded, prizes will be announced and presented to the authors at the Reinsurance 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;
    • Applicability to other situations; and
    • Contribution to the literature on Reinsurance and DFA.

    Submission Guidelines

    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 http://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 http://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 Reinsurance Research 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 Reinsurance Research at the CAS office address or via e-mail to office@casact.org