Casualty Actuarial Society

Research

2002 Call for Ratemaking Discussion Papers

From: Ratemaking Discussion Paper Chairperson

The Casualty Actuarial Society is again pleased to extend a call for discussion papers on ratemaking topics.  As ratemaking is one of the casualty actuary's major areas of expertise, it is important that we foster research and keep our literature current.  The Ratemaking Discussion Paper Program is offered to accomplish these goals and to provide additional material for basic and continuing education purposes.  This program does not replace the annual CAS Call Paper Program.

Authors of accepted papers may be invited to present their work at the 2002 Ratemaking Seminar, scheduled for March 7-8, 2002 in Tampa, Florida.  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 of $2,500 is available for the best papers submitted in response to the call.  Both CAS members and non-members are invited to submit proposals for papers.

We welcome all papers on ratemaking topics, but prefer papers that focus on the considerations listed in the CAS Statements of Principles Regarding Property and Casualty Insurance Ratemaking. In addition, we have listed below topics which are of interest as current events issues or subjects in which various committees of the CAS have expressed a desire to expand the body of available literature.

A.      New Technologies and Their Impact on Ratemaking and Classification of Risk

·         Incorporating stochastic simulations

·         Data mining techniques that can expand multivariate analyses

·         Data warehousing and the implications for actuarial pricing

·         Correlation considerations between various lines of business and accident years

B.      Competitive Information

·         Quantification of publicly available information and incorporation in pricing analyses

·         Practical approaches to quantifying demand elasticity based on public information

·         Regulatory issues associated with using competitor information in the ratemaking process

C.      International Issues

·         How should actuaries augment their skill sets and body of knowledge to add value to firms expanding globally

·         Ratemaking for foreign exposures

D.      Reinsurance and Alternative Risk-transfer Instruments

·         Pricing traditional reinsurance products in a stochastic environment

·         Modeling integrated risk products with multiple triggers

·         Method to include financial markets in the pricing of risk-transfer products beyond traditional reinsurance products

·         Pricing of risk securitization

Call Paper Timetable

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

1.       Deadline for Proposals
By March 2, 2001 authors should submit proposals for their papers including the suggested title, a short description of the topic(s) 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, Virginia 22201
Attn:  Committee on Ratemaking
Fax: 703-276-3108; E-mail: office@casact.org

2.       Acceptance of Proposals
By March 30, 2001, the Committee on Ratemaking will have made a decision on all proposals.  Preference will be given to papers that specifically address the topics listed above.  The Ratemaking Discussion Paper Chairperson will contact the authors regarding the acceptance of their proposals.

3.       Monitoring Progress
A Committee member will be assigned to work with each author to monitor the paper’s progress and to provide general guidance in completing the paper within the timeframes.  The author will be required to submit an interim draft.

By June 15, 2001, a completed draft of the author’s paper will be submitted to the assigned Committee member for review.

By August 1, 2001, the Committee member will forward review comments on the draft to the author.

4.       Completion Date
By September 7, 2001 the Committee on Ratemaking must receive the completed paper including a 200-word abstract.  Each paper will be screened by the Committee to assure its quality of exposition and relevance to the call.  The Committee reserves the right to not publish a submission that does not meet an acceptable standard.

5.       Approving the Completed Paper
By November 30, 2001, authors will have been notified as to the results of the screening process.  Accepted papers will be published in the CAS Forum and will be available on the CAS Web Site prior to the 2002 Ratemaking Seminar.

Authors may be invited to present their papers at the CAS Ratemaking Seminar, scheduled for March 7-8, 2002 in Tampa, Florida.  These authors will be contacted in advance of the seminar regarding their presentations.

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 of $2,500 is available for the best papers submitted in response to the call.  The prize(s) will be presented to the author(s) at the 2002 Ratemaking Seminar.  An independent review committee that will judge the papers anonymously will select the best paper(s).  If no paper is considered eligible, an award will not be made.

The criteria for evaluation will reflect:

·         Originality of ideas;

·         Understandability of complex concepts;

·         Contribution to the ratemaking literature;

·         Thoroughness of ideas expressed; and,

·         Timeliness and relevance of research.

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 http://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 2000 CAS Yearbook (pages 321-329) 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, the authors will be required to provide an electronic copy of the paper on diskette or by e-mail, and sign a “Release and License” form allowing the CAS to publish the paper.

It is 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 Ratemaking 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 Ratemaking at the CAS Office address.

Your participation in this effort to produce new papers will contribute to the written body of knowledge for the CAS and to the success of the 2002 Ratemaking Discussion Paper Program.


Research section