Casualty Actuarial Society


CASACT - 1998 Call for Discussion Papers

Call for Discussion Papers - May 26, 1998
Topic: Securitization of Risk

The lines between the insurance and banking worlds are becoming blurred as ways to securitize the insurance risk evolve. Introduction of the concept of securitization presents challenges to both the insurance industry and the banking community. In the insurance industry, we may see changes in both products and pricing. Portfolio management of the insurance exposure will take on a new dimension as methods for portfolio optimization are enhanced or expanded. Understanding the inter-relationship between the insurance results and investment portfolio performance will be a requirement for making use of securitized solutions.

There has been increasing attention directed to this subject. In very recent years, a handful of transactions, or "deals," have been attempted. This Call Paper Program addresses subjects related to both the theory and practice of securitization of risk. Some relevant topics include:

  • The general background of securitization of risk. How has it come about in other industries (e.g., Mortgage-backed securities)?
  • How securitization might impact management of catastrophe risk (Chicago Board of Trade, indexes, hedging, etc.).
  • How actual transactions have been attempted and consummated.
  • The global capital markets.
  • How the actuarial profession can play a greater role in this arena.
  • How the actuarial profession has (or has not) played a role in this arena.

Accepted papers will be published in the Spring, 1999 Discussion Paper Program Book, and authors will have the opportunity to present their papers at workshops scheduled during the CAS Spring Meeting in Orlando, Florida on May 16-19, 1999. In addition, the Michelbacher Prize, in the amount of $1,500, will be awarded to the author of the best paper and presented at the 1999 Spring Meeting.

The CAS hopes that you can participate in the Discussion Paper Program, and thanks you for considering being a part of it. The results will contribute to the written body of knowledge of the CAS and to the success of the 1999 Discussion Paper Program.

Very truly yours,

Susan T. Szkoda
Vice-President, Continuing Education

Schedule for the Program

To participate in this Discussion Paper Program, you need to prepare a proposal which includes a title and a short description of your paper. The description should outline the key issues of your paper and the conclusions you intend to reach. It would also be helpful if you could describe the methods you might use if the paper is to be technical in nature. This would give the committee the best possible opportunity to guide you in reaching the widest possible audience.

When a proposal is submitted, the name of the author is not known to the Continuing Education Committee members as they decide to accept or reject the proposals. This is done to make sure the process is as fair as possible. You can help by omitting any references to companies or to people in your proposal.

Deadline for Proposals

The proposals must be received by July 31, 1998. They should be addressed to:

Ms. Wendy Johnson
Discussion Paper Chairperson
Pacific Actuarial Consultants
101 First Street, Suite 597
Los Altos, CA 94022
FAX: 415-949-5962

If you wish to discuss an idea for a paper with Wendy, she would welcome your call at 415-949-5859.

Acceptance or Rejection of Proposals

By early September, the Committee on Continuing Education will have reviewed each proposal and made a decision to accept or reject it. The Chairperson will contact each author regarding the Committee's decision.

Monitoring the Progress

Timely completion of the papers will be necessary so that all of the papers can be combined into a book which can be distributed to the CAS members well before the Spring 1999 meeting. The Chairperson will be in regular contact with each author and will provide general guidance in completing the paper. Please note that the papers should be prepared in accordance with the "Guides for Submission of Papers". It is hoped that the authors will also submit their papers for publication in the Proceedings; however, papers must be submitted separately to the Proceedings for independent consideration.

Completion Date

The completed paper and a 200-word abstract must be received by the Discussion Paper Chairperson by November 13, 1998.

Approving the Completed Paper

Each paper will be reviewed and screened by the Committee on Continuing Education. Occasionally, an initially accepted proposal may result in an paper which does not meet the minimum standards established by the Committee either due to relevance of material or quality of exposition. When that happens, some re-writing may be required, or the paper may not be included in the program.

Presentation at the 1999 CAS Spring Meeting

Discussion of Papers

All authors will be invited and expected to discuss their papers at workshops scheduled during the 1999 CAS Spring Meeting in Orlando, Florida. Authors will be contacted in advance of this meeting regarding the nature of the presentation and coordination with the program.

Preparation of Bound Papers

All accepted papers meeting the deadlines will be printed, bound and distributed in advance of the 1999 CAS Spring Meeting.

Michelbacher Prize Committee

The Michelbacher Prize Committee will review submissions anonymously and decide upon a winner in accordance with the criteria sent to the authors. These criteria will be sent to the authors after their proposals have been accepted. The Michelbacher Prize, in the amount of $1,500, will be awarded to the author of the best paper and presented at the 1999 CAS Spring Meeting.

Research section