Casualty Actuarial Society

Research

CASACT - Discussion Draft of General Principles

1998 Dynamic Financial Analysis Call for Papers

September 2, 1997

Dynamic Financial Analysis - Applications And Uses

The Casualty Actuarial Society is pleased to extend a call for papers on the topic of applying dynamic financial techniques to insurance problems. 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) and Financial and Insurance Variables Appropriate for DFA Models (1997). Whereas the previous calls focused on the narrow topics of models and data, the focus of this call is the specific Application of DFA Models to insurance. Specifically, each paper should focus on a real life problem(s) to be solved using DFA. The paper should highlight the question(s) being addressed by the analysis and can be in the form of a case study using real or hypothetical data.

We are seeking papers that address an application encompassing one or more of the following insurance issues:

  • reinsurance,
  • assets,
  • liabilities,
  • capital allocation,
  • product line mix,
  • geographic distribution,
  • others, if appropriate.

The conceptual content and actual applications described in the paper should help the DFA actuary in the following areas:

  • The model, itself:
    • Interpretation of results, method of analysis and consolidation of results.
    • Communication of results - presentation to company management, issues in presentation to management.
    • Communication with outside parties (regulators, rating agencies, investment community).
    • Impact on management decision process.
  • Use of a deterministic or stochastic approach for the application.
  • Validation of model output:
    • reasonableness of results.
    • comparison of model projections to actual results.
  • Areas of model or model output currently needing further research and development.

Call papers will be distributed to registrants for the CAS Dynamic Financial Analysis Seminar (Boston, July13-14, 1998) and may be presented by the authors. All papers submitted in response to the call and meeting the minimum standards established by the Committee will be included in the prize competition. A prize of up to $10,000 will be awarded at the seminar to the authors of the top paper(s). 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 November 3, 1997, 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

2. Acceptance or Rejection of Proposals

Proposals should include a brief description of the topic(s) to be addressed. By November 15, 1997, the Valuations 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. In order to maximize time available to authors, the Committee expects to respond to each proposal within 2 weeks of receipt but no later than November 15. 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 "Guides for Submissions of Papers" in the CAS Yearbook and on the CAS Web Site (www.casact.org/about/index.cfm?fa=guides).

4. Completion Date

By April 1, 1998, 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 15. Accepted papers will be printed in the CAS Forum.

6. Prize Competition

All papers submitted in response to the call and meeting the minimum standards established by the Committee will be included in the prize competition. A prize of up to $10,000 will be awarded at the 1998 DFA Seminar to the authors of the top paper(s).


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