Casualty Actuarial Society

Research

Committee on Reserves – 2001 Call Paper Program
Reserving in a Changing Environment

Note: The Committee on Reserves has extended the deadline for proposals for the 2001 Reserves Call Paper Program. The new deadline is October 2, 2000. The Committee is especially interested in receiving proposals for papers on the first two topics below: 1) Issues relating to the evaluation of insurance liabilities on a fair value basis, and 2) The concepts of materiality and risk of adverse deviation with respect to the new standard of practice regarding statements of actuarial opinion.

The landscape for valuing insurance liabilities continues to change rapidly. The enactment of financial services reform, the NAIC codification of statutory accounting, and current research on fair value accounting are only a few of the events influencing this change. This call for papers is intended to explore the issues that actuaries face within this redefined environment.

Reserving papers relating to (though not limited to) the following list of topics are being sought:

  • Issues relating to the evaluation of insurance liabilities on a fair value basis. This would include estimation methods for reserve discounting and risk loads, principles underlying the selection of the fair value reserve, estimating the reserve for unexpired risks, measuring the impact of credit risk on recoverables, the role of the credit standing of the insurance company in estimating the fair value of its liabilities, presentation issues in income statements and balance sheets, and implementation issues. For additional background on this topic, authors may refer to the white paper "Valuing Property/Casualty Insurance Liabilities" prepared by the CAS Task Force on Fair Value Liabilities. The white paper is to be issued soon, and numerous draft sections can now be found in the research area of the CAS Web Site at www.casact.org.
  • Implementation issues related to the recently approved standard of practice on "Statements of Actuarial Opinion Regarding Property/Casualty Loss Reserves." This would include topics such as materiality, risk of adverse deviation, and others.
  • Loss adjustment expense reserve evaluation under the new NAIC prescribed categories for Defense and Cost Containment and for Adjusting and Other.
  • Loss reserve estimation with changes in the claim environment. Examples would be changes in the rate of closure due to claim department procedures, revised case reserving procedures, new claim system, or other changes that cause a disruption in data patterns.
  • Effective in 2001, statutory accounting rules will change as a result of the NAIC’s statutory accounting codification project. One of these changes requires the estimation of a premium deficiency reserve for all property/casualty companies. Many practical issues remain open on the estimation of these reserves including the treatment of risk margin, the time value of money, actual versus expected costs, line of business groupings and offsets, and reinsurance.
  • The NAIC codification project also requires more thorough estimation of the potential range of insurance loss and loss adjustment liabilities. New simulation techniques and models that respond to this obligation may be needed.
  • Financial services reform, ushered in by the Gramm-Leach-Bliley Act, now permits greater integration of financial service firms and insurance companies. Property/casualty insurers traditionally focus on the liability side of the balance sheet, while financial service organizations and life insurers traditionally focus on the asset side of the balance sheet. Greater understanding of the assumptions and perspectives of these newly "partnered" organizations is needed to further support the actuary’s role in valuing both liabilities and assets in this changing financial environment.

Call Paper Timetable

Timely submission of the discussion papers is critical to the success of the call. The procedures and timetable enumerated below will apply.

  1. Deadline for Proposals
  2. By October 2, 2000, authors should submit proposals for their papers including the title, a short description of the topic(s) to be addressed, and 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 Reserves
    Fax: 703-276-3108; E-mail: office@casact.org.

  3. Acceptance of Proposals
  4. 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.

  5. Monitoring Progress
  6. 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 December 15, 2000, a first draft of the completed paper will be submitted to the assigned Committee member for review.

    By April 16, 2001, all comments on the first draft will have been forwarded to the author.

  7. Completion Date
  8. By June 1, 2001, the Committee on Reserves must receive the completed paper and a 200-word abstract for their review. Authors will receive further instructions from the Committee for the name and address of the Committee member to receive the completed paper. 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.

  9. Approving the Completed Paper
  10. By July 16, 2001, all authors will have been notified as to the results of this screening process. Accepted papers will be published in the CAS Forum and will be available on the CAS Web Site prior to the 2001 Casualty Loss Reserve Seminar.

    Authors may be invited to present their papers at the CLRS, scheduled for September 10-11, 2001, in New Orleans, Louisiana.

  11. Prize Competition
  12. 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 CLRS. 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 reserving; and,
    • Thoroughness of analysis.

  13. Submission Guidelines
  14. 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 discussion paper for this call does not guarantee its acceptance for publication in the Proceedings.

    The Committee on Reserves 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 Jon Michelson or Deborah Rosenberg at their CAS Yearbook addresses or via e-mail to office@casact.org.


Research section