Casualty Actuarial Society


CASACT - Call for Discussion Papers-May 28, 1998

Call for Discussion Papers-May 28, 1998
Topic: Dynamic Financial Analysis - Parameterizing Models

The Casualty Actuarial Society is pleased to extend a call for papers on the topic of estimating parameters for dynamic financial models. The purpose of this Call Paper Program is to encourage communication of work being done with dynamic financial models.

Prior calls on the subject dealt with the Application of a Dynamic Financial Analysis Model (1996), Financial and Insurance Variables Appropriate for DFA Models (1997) and Dynamic Financial Analysis - Applications and Uses (1998). By comparison, this Call will focus on the estimation of the parameters that describe the relationships among variables. It is expected that each paper will include a) discussion of the theoretical considerations used to identify the modeled relationships, b) specific examples of the techniques used to derive the parameter estimates, c) the calculations performed to derive the parameter estimates and d) discussion and illustration of tests used to confirm the statistical significance of the estimated parameters. Each paper should address one or more of the following variables or relationships or other important variables or relationships. This list of variables and relationships is illustrative only, and any other variables or relationships relevant to the application of DFA models will be considered.

  • Premiums.
    • Relationship between rate level and exposure.
    • Relationship to economic variables.
    • Residual variations.
  • Losses or ratios.
    • Relationships with economic variables.
    • Relationship with premium volume changes.
    • Relationship with prior years' loss ratios.
    • Relationship with loss ratios for other lines.
    • Relationship to industry average loss ratios.
    • Residual variations.
  • Payment patterns.
    • Relationship to economic variables.
    • Relationship to loss ratio.
    • Residual variations.

Call papers will be distributed to registrants for the CAS Dynamic Financial Analysis Seminar (Chicago, July 19-20, 1999) and may be presented by the authors. All papers submitted in response to the call and meeting minimum standards will be included in the prize competition. Prizes of up to $5,000 are available for the best papers submitted. CAS members and non-members are invited to participate.

Call Paper Program Schedule

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

By September 1, 1998, proposals must be received in the CAS Office. Submit proposals to:

Casualty Actuarial Society
1100 North Glebe Road, Suite 600
Arlington, Virginia 22201
Attn: VFAC/DFATFOV - 1999 Call Papers

2. Acceptance or Rejection of Proposals

Proposals should include a brief description of the topic(s) to be addressed. On or before October 1, 1998, a joint subcommittee of the Valuation and Financial Analysis Committee and DFA Task Force on Variables (the Committee) will have reviewed each proposal and made a decision to accept or reject. A Committee representative will contact the authors and notify them of the acceptance or rejection.

3. Monitoring Progress

Timely progress will be needed so that all the papers can be combined into an issue of the CAS Forum. The Forum issue containing the papers will be distributed to seminar registrants prior to the meeting. A committee representative will be in regular contact with the author and will provide general guidance in completing the paper. Please note that papers should be prepared in accordance with the procedures outlined in the front of the Winter 1998 CAS Forum. Additional guidance for the preparation of technical papers for publication is provided in the CAS "Guides for Submissions of Papers".

4. Completion Date

By March 1, 1999, a completed paper and an abstract not exceeding 200 words must be received by the Committee.

5. Approving the Completed Paper

Each paper will be reviewed and screened by the Committee. Occasionally an accepted proposal may result in a paper which does not meet the minimum standards established by the Committee. When that happens, some rewriting may be required or the paper may not be included in the call. Final approvals will be provided by May 1, 1999. Accepted papers will be printed in the CAS Forum.

6. Prize Competition

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. Prizes of up to $5,000 are available for the best papers submitted and will be awarded at the 1999 DFA Seminar.

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