CASACT - 1999 Reserving Call Paper Program
Committee on Reserves Announces 1999 Call for Papers
Evaluation of Non-Loss Reserves
The Casualty Actuarial Society is pleased to extend a call for papers on the topic of "Evaluation of Non-Loss Reserves." Authors of accepted papers may be invited to present their work at the 1999 Casualty Loss Reserve Seminar. In addition, the papers will be published in conjunction with the Seminar, and a $1,000 prize will be awarded to the best paper submitted. Both CAS members and non-members are invited to submit proposals for papers.
Actuaries are increasingly called on to examine components of the balance sheet other than loss reserves. This increased emphasis has been the result of a variety of events, such as development of less traditional insurance products, enhanced technology, changing regulatory requirements for actuarial opinions, and increasing emphasis on dynamic financial analysis. However, limited literature exists on reserving for other than losses. This call for papers is intended to examine balance sheet items subject to actuarial evaluation and develop methodologies for projecting these items. The following is a list of potential topics authors may wish to explore:
- The current exposure draft from the Actuarial Standards Board on "Statements of Actuarial Opinion Regarding Property/Casualty Loss and Loss Adjustment Expense Reserves" suggests that a statement of opinion should include all items that can be affected by loss reserves:
- Effective January 1, 1998, the NAIC implemented revised definitions of loss adjustment expenses. What impact does the change in definition have on the techniques used to project loss adjustment expenses? Should historic data be adjusted? What impact does this have on loss adjustment expenses ceded or assumed?
- Statutory Statements of Actuarial Opinion must include unearned premium reserves for long duration contracts. This brings into the scope of the actuarial opinion the unearned premium for automobile warranty policies, coverage for certain long duration construction projects, and other items. What methods are employed today to evaluate unearned premium for long duration contracts? Are they appropriate? What alternatives exist?
- Dynamic Financial Analysis involves analysis of the entire balance sheet. How should this analysis be performed for non-loss reserves?
- Available literature on estimating balance sheet assets and liabilities for other than guaranteed cost insurance products (e.g., retrospective premium and deductible recoverable assets) is limited. Are the current methods sufficient? Are there products not covered by current literature?
In addition to loss and loss adjustment expense reserves, certain other assets and liabilities can be contingent upon losses or loss adjustment expenses. Examples of such loss-sensitive items include, but are not limited to, retrospective premiums, reinstatement premiums, policyholder dividends, uncollectible retrospective premiums, agent’s contingent commissions, profit-sharing agreements, unrecoverable ceded reinsurance, contingent commissions or sliding scale commissions on ceded or assumed reinsurance, salvage and subrogation, and discounts for the time value of money. . . . If the amounts are likely to be material, the actuary should propose to the entity for which the statement of actuarial opinion is being issued that such items be included in the scope of the statement of actuarial opinion."
What analysis should be performed to provide an actuarial opinion for loss-sensitive items? What should be considered when completing this analysis?
Timely submission of the discussion papers is critical to the success of the call. The procedures and timetable enumerated below will apply.
1. By September 1, 1998, authors should submit proposals for their papers including the title, a short description of the topic 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
2. By October 15, 1998, 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, and assign a Committee member to work with each author and monitor the paper’s progress. By mutual agreement, the author and the assigned Committee member will establish a schedule for the production of interim drafts.
3. By March 15, 1999, a first draft of the completed paper will be submitted to the assigned Committee member for review.
4. By April 15, 1999, all comments on the first draft will have been forwarded to the author.
5. By June 1, 1999, the completed paper and a 200-word abstract must be received by the Committee on Reserves for their review. Authors will have received 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 that it meets minimum standards established by the Committee (relating to relevance of material and quality of exposition). The Committee may require further rewriting of the paper to bring it to an acceptable standard.
6. By July 15, 1999, all authors will have been notified as to the results of this screening process. Accepted papers will be printed, bound, and distributed for the 1999 Casualty Loss Reserve Seminar.
7. Authors may be invited to present their papers at the CLRS, scheduled for
September 13-14, 1999 in Scottsdale, Arizona.
8. A prize in the amount of $1,000 will be awarded to the best paper submitted in response to the call, and will be presented to the author at the CLRS. The best paper will be selected by a review committee that will judge the papers anonymously. The criteria for evaluation will reflect:
- Originality of ideas
- Clarity of presentation
- Contribution to the literature on reserving
- Thoroughness of analysis
9. Papers must be no more than 10,000 words, and should be prepared in accordance with the Guides for the Submission of Papers in the 1998 CAS Yearbook (pages 287-295) and on the CAS Web Site at http://www.casact.org/about/index.cfm?fa=guides.
It is also hoped that the 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 Teresa Williams or Stuart Suchoff at their CAS Yearbook addresses.