Casualty Actuarial Society

Research

1997 Reinsurance Call for Discussion Papers

FROM: CAS Committee on Reinsurance Research
RE: 1997 Reinsurance Call for Discussion Papers

The Casualty Actuarial Society is extending a call for discussion papers on Reinsurance topics. A $1,000 prize will be awarded for the best submission in each of the 3 areas below, assuming at least one paper in each category meets the criteria established for awarding a prize.

Authors of all accepted papers will be asked to present their papers at workshops scheduled during the June 2-3, 1997 CARe Seminar in Bermuda at the Marriott Castle Harbor Hotel. CAS members and non-members are invited to submit proposals.

Reinsurance is a critical area for most insurers and remains one of the areas in need of additional research. We are seeking papers in three areas as follows:

Clash Pricing

Following are general guidelines meant to highlight the exposures that have produced claims to non-limits exposed casualty treaties. The principal paper topics could be:

  • A bibliography of the existing papers and presentations on multiple employee workers' compensation accidents and extra contractual obligations. These exposures have been well covered.
  • Modeling "true clash" i.e., one accident/multiple insured or one insured/multiple coverage, exposures. This paper could look at one or more of: multi-vehicle automobile claims; multiple coverages in contracting relationships, etc.
  • Professional liability, especially medical. A whole realm of issues here: doctor vs. hospital, doctor vs. doctor, doctor vs. other professional. Group policies as opposed to individual policies for a group. Not all issues are medical. But doctors do highlight the relationships that other professionals may experience as well.
  • Personal auto issues in North America. UM/UIM stacking. Unlimited medical. Status on recent law changes, especially in Ontario.
  • Exposure issues outside of North America. Employers liability and automobile insurance in other countries. Are there other exposures that can be statutorily unlimited?
  • Effect of contract terms: reinstatement, exclusions, occurrence vs. claims-made, sunrise/sunset, aggregate attachment, commutation clause differences, structured settlements, various definitions of "events."
  • Risk, profit or capacity charges.
  • Combining several perils under a single limit reduces both the pure premium and the risk to the reinsurer. Analysis of premium credit for combined single limits.
  • Marketing considerations. With a limited number of possible clients, similarly limited capacity, what do sellers think about? Any insight into minimum rate-on-line, risk charges, layering, retention-setting, etc.
  • Managing aggregation risk (correlation among contracts).

Dynamic Financial Analysis (DFA)

With increased emphasis in day-to-day actuarial work, DFA topics present an area of explosive potential for research. Among topics we hope to encourage are:

  • DFA modeling past, present, future with emphasis on reinsurance issues and aspects.
  • Examples of actual DFA models in use, in particular, the manner in which loss sensitive contracts are handled in the model would be of great interest.
  • Papers addressing the many co-variance issues faced in DFA with emphasis on reinsurance issues and aspects.
  • Capacity of loss sensitive reinsurance contracts to absorb adverse loss development. It would be helpful if the answer shed light on the appropriateness of current RBC credit.
  • Use of actuarial models to develop adverse scenarios for DFA testing, by type of loss sensitive contract protecting a primary company. Show how these scenarios impact surplus over time.
  • Analysis of an assumed book of loss-sensitive reinsurance contracts.
  • Estimating the impact of reinsurance collectibility in DFA.
  • Estimating a company's susceptibility to single events in DFA work. Both casualty and property events are of interest, as is the ability to quantify the impact on assets in the company's portfolio caused by a single event. For example, a regional company hit by an earthquake may have invested in bonds of local companies which are no longer able to pay their debts.
  • Modeling future reinsurance costs in DFA work.

General Reinsurance Papers

We are also open to papers on any topic relating to reinsurance. This is open to any topic of interest to actuaries working in reinsurance not covered in the other two topics. Of particular interest would be papers covering:

  • Managing a reinsurance book
  • Issues relating to property catastrophe reinsurance
  • Unique problems in modeling faced by reinsurers
  • Data available to reinsurance actuaries
  • Pricing and reserving for reinsurance of specialty lines
  • Developing strategies for reinsurance buying, including strategies for troubled companies
  • Excess Loss Development
  • Trend
  • Allocation of Capital/Risk Load
  • Currency Risk
  • Aggregate Loss Models
  • Option Pricing Applied to Reinsurance
  • Cat Modeling
  • Alternative Markets
  • Reinsuring Captives
  • International Accounting Standards
  • Pricing Multi-Year/Multi-Coverage Contracts
  • Expense Loadings
  • Appropriate Rates of Return

Call Paper Administration

Timely submission of the discussion papers is critical and the following procedures will apply:

  1. By October 1, 1996, authors should submit proposals that include a title and short description to:
    Casualty Actuarial Society
    Attn: Committee on Reinsurance Research
    Glebe Road, Suite 600
    Arlington, VA 22201
  2. By November 1, 1996, the Committee on Reinsurance Research will make a decision on the proposals. A limited number of proposals will be accepted with preference given to papers that specifically address items listed above. The Discussion Paper Chairperson will contact the authors regarding their proposals.
  3. A Committee member will be assigned to work with each author and will monitor the author's progress. Interim drafts, based on a schedule proposed by the author, may be requested.
  4. By Monday, February 3, 1997, a first draft will be required for committee member review and comments. These comments will be sent to the authors by Friday, February 21, 1997.
  5. By Tuesday, April 1, 1997, the completed paper of no more than 10,000 words and a 200-word abstract must be received by the Committee on Reinsurance Research.
  6. Each paper will be screened by the Committee on Reinsurance Research. Occasionally, an initially accepted proposal may result in a paper that does not meet the minimum standards established by the Committee (either due to relevance of material or quality of exposition). Therefore, some amount of rewriting may be required by the Committee or the paper may not be included.
  7. Accepted papers will be printed, bound, and distributed in advance of the 1997 CARe Seminar. The target date for distribution is May 12, 1997.
  8. Authors will be asked to present their papers at the 1997 CARe Seminar and will be contacted in advance of the seminar regarding the nature of their presentation.
  9. A prize, in the amount of $1,000, will be awarded to the author of the best paper in each of 3 categories, assuming at least one paper in each category meets the criteria established for awarding a prize, and will be presented at the 1997 CARe Seminar. The winners will be selected by a review committee which will review submissions anonymously. The criteria for evaluation will include:
    • Originality of ideas
    • Understanding of complex concepts
    • Contribution to literature
    • Thoroughness of ideas expressed
    • Paper should be readable and understandable

All papers should be prepared in accordance with the "Guides for the Submission of Papers" in the 1996 CAS Yearbook. Non-member authors may obtain a copy from the CAS Office. It is hoped that the authors will also submit their papers for publication in the CAS Proceedings in accordance with procedures shown in the 1996 CAS Yearbook. However, acceptance of a discussion paper for this call does not guarantee its publication in the Proceedings.

Your participation in this effort to produce papers will contribute to the written body of knowledge for the CAS and to the success of the 1997 Reinsurance Discussion Paper Program.


Research section