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CASACT - CAS Dynamic Financial Analysis Task Force on Variables Announces Call For Papers; with Prizes

CAS Dynamic Financial Analysis Task Force on Variables
Announces Call For Papers; with Prizes

In order to advance the actuarial profession's understanding of dynamic financial analysis concepts and applications, the CAS Dynamic Financial Analysis Task Force on Variables (DFATFOV) issues the following call and prize paper competition.

Call papers will be distributed to registrants for the CAS Dynamic Financial Analysis Seminar (Seattle, July 21-22, 1997), presented by the authors in workshops at that seminar, and published in the CAS Forum. All papers submitted in response to the call that meet the competition requirements will be included in the prize competition. Prizes of up to $10,000 will be awarded at the seminar to the authors of the top papers. CAS members and non-members are invited to participate.

This call's general topic is dynamic financial analysis models, but with a focus on the financial, economic, and insurance variables which are the appropriate components of such models.

Within the recently created CAS Web Site, is a link to the CAS Dynamic Financial Analysis (DFA) Web Site. The DFA Web Site link can be found by clicking on the Research icon on the CAS Home Page. From the CAS Research Home Page, click on Dynamic Financial Analysis Web Site, to access the DFA Web Site. The DFA Web Site contains a series of links to financial, economic and insurance data which the DFATFOV believes will be useful to actuaries building or using dynamic financial models.

The DFATFOV believes that the DFA Web Site, and the items it identifies, provide a substantial resource to professionals developing DFA models. However, the web site remains untested by those active in the construction of DFA models. Thus, it is possible that there are data elements that are required in the construction of a DFA model which are not present in the web site, and information present in the web site that may not prove useful in building DFA models. It is also possible that the usefulness of the information already present may be improved.

Thus this call has the following objectives:

  • To test the usefulness of the current web site in assisting professionals developing DFA models;
  • To identify data elements that should be added or removed from the web site or features that would make the web site more useful to professionals developing DFA models;
  • To increase the awareness of the web site among professionals developing DFA models;
  • To explore the technical problems involved in designing, implementing and parameterizing DFA models;
  • To share among CAS members the most recent descriptions and applications of DFA models.

Some of the call paper topics which could be addressed include:

  • Identification of, and rationale for the inclusion of, the financial, economic and insurance variables which should be considered in a DFA model;
  • An assessment of the relative importance of the financial, economic and insurance variables considered in a DFA model;
  • Specific issues relative to the specification of DFA model components and parameters from financial, economic and insurance data. Identification of the sources, treatment and analysis, and limitations of the data available for use in the specification of DFA models.

This list is illustrative only, and other topics relevant to the design, specification and application of DFA models will be considered.

One aspect of the evaluation of the papers will be the degree to which the conceptual content and actual applications described in the paper help the DFATFOV to evaluate and improve the present DFA Web Site as a resource in designing, building and applying DFA models.

In order to be considered for the prize competition, a paper must include a summary evaluation of the variables which should be included in a DFA model in a format equivalent to the following:

  • Identification of variable (90 day treasury bill rate, for example);
  • Brief rationale for inclusion in a DFA model (short term interest rates covary with returns on other investments and general economic and insurance claim inflation);
  • Source(s) of data on the variable (specifically identifying whether the variable is available from the DFA Web Site database);
  • Brief description of the appropriate method(s) of analysis applied to the data for this variable (multiple regression with other asset return or inflation or claim cost and claim frequency series).

To participate in this Call for Papers, you should prepare a proposal which includes a title and a short description of your paper. The description should outline the key issues of your paper and the questions you intend to address. This description will give the Task Force the best opportunity to guide you in reaching the widest possible audience. Authors may be invited to discuss their papers at the Seminar on Dynamic Financial Analysis, to be held July 21-22, 1997, in Seattle. Authors who are invited to present will be contacted by the Task Force in advance of the meeting regarding the nature of their presentation.

The proposals will be evaluated by the Task Force without identification of the author to ensure as fair a process of proposal evaluation as possible. You can assist in this aspect of the process by omitting references in your proposal to a company, or specific individuals.

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

Deadline for Proposals
By January 2, 1997, proposals must be received in the CAS Office. Submit proposals to: Casualty Actuarial Society
Attn: Dynamic Financial Analysis Task Force On Variables
1100 North Glebe Road, Suite 600
Arlington, VA 22201

Acceptance or Rejection of Proposals
By January 15, 1997, the DFATFOV will have reviewed each proposal and made a decision to accept or reject. The Chairman or his representative will contact the authors and notify them of the acceptance or rejection.

Monitoring Progress
Timely progress will be needed so that all the papers can be combined into an issue of the CAS Forum. While the Forum issue containing the papers will not be published prior to the seminar, the papers will be distributed to seminar registrants prior to the meeting. The Chairman or his 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 Submission of Papers" in the CAS Yearbook and in the CAS Web Site.

Completion Date
By June 2, 1997, the completed paper and an abstract not exceeding 200 words must be received by the Chairman.

Approving the Completed Paper
Each paper will be reviewed and screened by the Task Force. Occasionally an accepted proposal may result in a paper which does not meet the minimum standards established by the Task Force. When that happens, some rewriting may be required or the paper may not be included in the Call.

By June 20, 1997, final approvals will be completed.

Prize Competition
All papers submitted in response to the call that meet the competition requirements will be included in the prize competition. Prizes of up to $10,000 will be awarded at the 1997 DFA seminar to the authors of the top papers. The prize paper competition will be decided based primarily upon the quality of the overall content of the paper as an advancement to the published literature on dynamic financial modeling, but also on the relevance of the concepts and applications described in the paper to an evaluation of the DFA Web Site in the design, construction and application of DFA models.


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