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CAS - 2003 Call for Papers on ERM and DFA Modeling

2003 Call for Papers

ERM & DFA Modeling:
Risk Correlation, Integration, Dependency and Concentration

Recent events have forced companies to consider, model, and manage against contingencies previously thought impossible, if thought of at all. The World Trade Center disaster highlighted the need to consider the reality of extreme events. This loss, the collapse of Enron, and the significant downfall of the capital markets forced companies to consider correlations between different risk factors. As experts in modeling contingent financial events, actuaries and others are called upon to provide insight into these various risk factors, the correlations between them, and their resultant financial implications in gauging and managing enterprise risk.

The Enterprise Risk Management (ERM) and Dynamic Financial Analysis (DFA) Committees are seeking papers related to any of the following topics.

  • Correlation/dependency: Propose data sources and empirical methods for measuring correlations/dependencies between variables within any risk type ( hazard, financial, operational, or strategic) or between risk types.
  • Integration: Given correlation estimates, discuss methodology for integrating or aggregating correlated risk distributions.
  • Dependency/causal models: As an alternative to variance-covariance based models, model risk factors with causal, or dependency, models. This class of models includes, but is not limited to, DFA models.
  • Concentration: Discuss issues related to the concentration of exposures within a risk class or between risk classes. This area could include the identification, measurement, and modeling of exposure concentration and extreme events.

While the 2003 Reinsurance Call Paper program is focused on pricing and managing aggregate and correlated exposures from the reinsurers' (or insurers') perspective, the focus of this call is to look at these issues from a broader modeling perspective to include correlations across classes of risk (e.g., assets and liabilities) and other types of risk (e.g., operational and strategic risk) for any company that needs to understand and manage these types of exposures.

Authors of accepted papers will be invited to present their papers at the 2003 Risk and Capital Management Seminar scheduled for July 28-29, 2003 in Washington, D.C. A prize fund of up to $5,000 is available for the best papers submitted in response to the call, and if awarded, prizes will be announced and presented to the authors at the seminar.

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 December 2, 2002, authors should submit proposals for their papers including the title, a short description of the topic(s) to be addressed, and the approach that will be taken. Proposals should be submitted electronically via e-mail to the Casualty Actuarial Society at office@casact.org.

  2. Acceptance of Proposals
    The Committees will make a decision on all proposals. The number of accepted proposals may be limited. The Committees will contact authors regarding their proposals no later than December 13, 2002.

  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 28, 2003 the Committees must receive the completed paper and a short abstract (no more than 200 words) for its review. Each paper will be screened by the Committees to assure its quality of exposition and relevance to the call. The Committees may require further rewriting of the paper to bring it to an acceptable standard.

  5. Approving the Completed Paper
    By April 25, 2003 all authors will have been notified as to the results of this screening process. Accepted papers will be published in the CAS Forum and will be available on the CAS Web Site prior to the 2003 Risk and Capital Management Seminar. Authors will be invited to present their papers at the seminar, which is scheduled for July 28-29, 2003 in Washington, D.C. Each author should make every effort to attend the Risk and Capital Management Seminar and present his/her paper.

  6. Prize Competition
    A prize fund of up to $5,000 is available for the best papers submitted in response to the call, and if awarded, prizes will be announced and presented to the authors at the 2003 Risk and Capital Management Seminar. An independent review committee will anonymously evaluate papers.

    The criteria for evaluation will include:

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

  7. Submission Guidelines
    Papers must be no more than 10,000 words and should be prepared in accordance with the procedures in the "Guide for Submission to CAS Forum" on the CAS Web Site at http://www.casact.org/about/forum. Additional guidance for the preparation of technical papers for publication is provided in the "Guides for the Submission of Papers.htm" in the 2002 CAS Yearbook (pages 337-345) and on the CAS Web Site at http://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 and/or PowerPoint presentations incorporating the details of the paper's calculations. The spreadsheets and presentations 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 ERM and DFA Committees look forward to receiving proposals in response to the call, and are happy to respond to inquiries from interested parties. Questions may be addressed to Paul Brehm (651-310-4800, paul.brehm@stpaul.com), Yves Saint-Loup (860-727-1110, y_saintloup@summitstrategies.com), or the CAS Office (703-276-3100, office@casact.org).