Casualty Actuarial Society

Research

CAS - 2002 Call for Dynamic Financial Analysis Papers Committee on Dynamic Financial Analysis
Announces 2002 Call for Papers:
Dynamic Financial Analysis, Integrated Approaches for Financial Institutions

The Casualty Actuarial Society (CAS) is pleased to extend a call for papers on the topic of "Dynamic Financial Analysis, Integrated Approaches for Financial Institutions."

Greater integration of financial services firms and insurance companies is occurring on a global basis, supported by financial services reform (e.g., Gramm-Leach-Bliley Act in the United States). 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 this changing financial environment.

This call for papers asks authors to apply dynamic financial analysis (DFA) to a financial institution including a property/casualty liability component and one or more other financial components. Some combination examples are:

  • A property/casualty insurer with a life subsidiary;
  • A holding company with a property/casualty insurer subsidiary and a life insurer subsidiary;
  • A bank with a property/casualty insurer subsidiary and a life insurer subsidiary.

Papers relating to either of the following topics are being sought:

  • A complete dynamic financial analysis of a financial institution including a property/casualty liability component and one or more other financial components. The paper should include a general description of the component entities; description of the model used, measures of risk and reward evaluated, strategies considered, and analytical process employed; and interpretation of model results/evaluation of strategies.

  • In-depth research on the special considerations which must be given to one aspect of the DFA process when DFA is applied to a financial institution including a property/casualty liability component and one or more other financial components. The paper could analyze modeling considerations for assets or liabilities or their interaction, measures of risk and reward, strategies, project planning and communication of results or any other aspect of the DFA process that needs to be modified for multi-disciplinary organizations.

Authors of accepted papers may be invited to present their work at the 2002 Risk & Capital Management Seminar scheduled for July 8-9, 2002, in Toronto, Canada. In addition, the papers will be published in the CAS Forum and will be available on the CAS Web Site prior to the Seminar. A prize fund, which will offer up to $5,000 per paper, will be available for the best paper(s) submitted in response to this call. Both CAS members and non-members are invited to submit proposals for papers.

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

  1. Deadline for Proposals
    By November 21, 2001, authors should submit proposals for their papers including a short description of 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 DFA
    Fax: 703-276-3108; E-mail: office@casact.org

  2. Acceptance of Proposals
    By November 30, 2001, 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.

  3. Monitoring Progress
    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.

  4. Completion Date
    By March 29, 2002, the Committee must receive the completed paper and a 200-word abstract for their review. 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.

  5. Approving the Completed Paper
    By April 26, 2002, all authors will have been notified as to the results of this screening process, and final approvals will have been provided. Accepted papers will be published in the CAS Forum and will be available on the CAS Web Site prior to the 2002 Risk & Capital Management Seminar.

    Authors may be invited to present their papers at Risk & Capital Management Seminar, scheduled for July 8-9, 2002, in Toronto, Canada.

  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. A prize fund, which will offer up to $5,000 per paper, will be available for the best paper(s) submitted in response to this call. If awarded, prizes will be announced and presented to the authors at the 2002 Risk & Capital Management Seminar. An independent review committee will judge the papers anonymously.

    The criteria for evaluation will include:

    • Originality of ideas;
    • Clarity of presentation;
    • Contribution to the literature on DFA; and,
    • Thoroughness of analysis.

  7. Submission Guidelines
    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 2001 CAS Yearbook (pages 323-330) 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 "Permission to Publish" form allowing the CAS to publish the paper.

    Authors are encouraged to submit working templates in spreadsheet form for models or methods discussed or developed in their papers. The spreadsheets will be posted on the CAS Web Site along with 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 paper for this call does not guarantee its acceptance for publication in the Proceedings.

The Committee on DFA 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 the Committee on DFA at the CAS office address or via e-mail to office@casact.org.