Casualty Actuarial Society

Research

Committee on Reserves - 2006 Call Paper Program

The complex issues that are challenging the property-casualty insurance industry continue to impact the actuarial profession and the reserving process within our profession. Actuarial expertise is needed to deal with changing and unique exposures as well as to evaluate the adequacy of current methods. As new and complex issues evolve, the need for actuaries to communicate their opinions in an effective manner to various audiences is crucial. The CAS Committee on Reserves is seeking papers related to the reserving process including, but not limited to, those dealing with the following topics:

  • Opinion Issues: Issues related to the requirements for property and casualty reserving that impact the preparation of Statements of Actuarial Opinion including:
    • New 2005 SAO Requirements (e.g., Actuarial Opinion Summary and Disclosures regarding change in actuary);
    • ASOP No. 36 issues, including materiality, materiality standard, adverse deviation, and the expected value estimate;
    • Management's best estimate vs. the actuary's selected point estimate;
    • Reserve to capital leverage and its impact on materiality and disclosures.
  • Best Estimates, Variability, and Ranges: Evaluation of the variability of future loss payments and the resulting ranges of loss and loss adjustment expense liabilities including:
    • Derivation and measures of distributions and the "reasonable" range;
    • Correlating and combining distributions for several lines of business;
    • Interaction of distributions, risk-margins, materiality criteria and discounting;
    • Use of individual claim data for calculating distributions;
    • The impact of external information on estimated distributions;
    • The impact of internal operational changes on estimated distributions;
    • The impact of latent liabilities over an extended period of time;
    • Interaction of point estimates, ranges, and distributions with accounting standards, i.e. Statutory Accounting Principles, Generally Accepted Accounting Principles, international accounting standards, and fair value accounting;
    • SEC Disclosure Requirements.
  • Methodologies: In the last two decades, a prolific CAS membership has produced numerous articles and papers presenting a wide array of new methods for various reserving circumstances. So, a new survey paper that compares and contrasts several such methods, new and old, would be welcome. Also sought are papers presenting new or improved reserving techniques that consider:
    • Economic or social inflation (especially changing inflation);
    • Changing economic conditions (e.g. unemployment impact on workers compensation);
    • Company operational changes;
    • Premium deficiency reserves;
    • Adjusting & Other LAE vs. Unallocated LAE;
    • Defense & Cost Containment LAE vs. Allocated LAE;
    • Dynamic financial analysis;
    • Simulation techniques;
    • Data issues (reserving techniques and/or reconciliation);
    • Excess layers, including modeling the development of individual claims.
  • Unique or Changing Exposures: Examples include reserving for:
    • Terrorism;
    • Natural catastrophes;
    • Asbestos, tobacco, and other mass torts;
    • Environmental liability;
    • Construction defect claims;
    • International insurance exposures;
    • Mold and other new exposures;
    • Cumulative Injury;
    • Large deductible workers compensation;
    • Recent legislation or court decisions;
    • New products or new markets.
  • Other Matters Affecting Reserving
    • Rehabilitations (short-term and long-term) and liquidations and their impact on LAE or losses;
    • Retroactive reinsurance and financial reinsurance;
    • Finite insurance and reinsurance and risk transfer;
    • Commutations, novations, policy buybacks, and their impact on reserves (ceded or assumed);
    • Reinsurer collectibility issues and coverage disputes;
    • Written or Oral Communication of Actuarial Findings (i.e., Actuarial Report underlying the SAO or reporting to the Board of Directors).

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 July 8, 2005, authors should submit a one to two page proposal 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 Mike Boa at the Casualty Actuarial Society at mboa@casact.org. Please put "2006 Reserves Call Paper Proposal" in the subject line of the e-mail message.
  2. Acceptance of Proposals
    The Committee will make a decision on all proposals. The number of accepted proposals may be limited. The Committee will contact authors by August 31, 2005 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.

    By December 16, 2005, a first draft of the completed paper (including an abstract of no more than 200 words) should be submitted to the assigned Committee member for review.

    By April 14, 2006, comments on the first draft will be forwarded to the author.

  4. Completion Date
    By June 2, 2006, the Committee on Reserves must receive the completed paper for its 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 July 14, 2006, all authors will be 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 2006 Casualty Loss Reserve Seminar. Authors may be invited to present their papers at the CLRS scheduled for September 11-12, 2006 in Atlanta, GA. Each author should make every effort to attend the CLRS and present his/her paper.
  6. Prize Competition
    A prize fund of $2,500 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 CLRS. Papers will be evaluated by an independent review committee that will judge the papers anonymously, based on:
    • Originality of ideas;
    • Clarity of presentation;
    • Contribution to the literature on reserving; and,
    • Thoroughness of analysis.
  7. Submission Guidelines
    Papers must be no more than 10,000 words and should be prepared in accordance with the Research Paper Template, and the procedures in the Guide for Submission to CAS Forum on the CAS Web Site. Key words in the abstract should be based on the CAS Research Taxonomy. Additional guidance for the preparation of technical papers for publication is provided in the Guides for the Submission of Papers in the 2005 CAS Yearbook (pages 332-337) and on the CAS Web Site.

    In addition to a hard copy of the paper, authors will be required to provide an electronic copy of the paper 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 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 Reserves 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 Tom Ryan, Gloria Huberman or Warren Johnson at their CAS Yearbook addresses or via e-mail to mboa@casact.org.

    Your participation in this effort will contribute to the written body of knowledge of the CAS and to the success of the 2006 Reserving Call Paper Program.