Casualty Actuarial Society

Research

Working Papers

Disclaimer: Working papers are preliminary works in progress that are posted to stimulate discussion and critical comment. The analysis and conclusions set forth are those of the authors. The CAS does not endorse, approve, certify or warrant this material for any purpose, nor does it exercise editorial control over materials posted in this section of the Web Site. Evaluation of the material is the sole responsibility of the user. The CAS, its employees, and agents assume no responsibility for, and expressly disclaim all liability for, any consequences resulting from the use of the information herein.

Both CAS members and non-members are invited to submit working papers and discussions of existing working papers. Working papers and discussions should be submitted to the E-Forum editor, care of the CAS office. See the Working Paper FAQ for more information on submitting papers and discussions of papers. Comments may also be sent directly to the authors.

The CAS is interested in your feedback on this new initiative. Please send your comments to Elizabeth Smith.

Papers

  1. NEW!Sharpe Ratio Optimization of a Single Two Layer Excess of Loss Reinsurance Treaty” by Sameer Nahal (Posted January 16, 2014)

  2. Third party motor liability ratemaking with R” by Giorgio Alfredo Spedicato, Ph.D. (Posted June 4, 2012)

  3. Sustainability of Earnings: A Framework for Quantitative Modeling of Strategy, Risk, and Value” by Neil M. Bodoff, FCAS, MAAA. (Posted April 28, 2011)
  4. Measurement of Risk-Adjusted Profit and Calculation of Fair Premium” by Yingjie Zhang. (Posted September 2, 2010)
  5. Discarding Risk Avoidance and Embracing Risk Optimization: Managing Reinsurance Credit Risk” by Neil Bodoff, FCAS, MAAA. (Posted June 2, 2010)
  6. How to Create a Market Cycle” by Dave Clark, FCAS. (Posted March 26, 2010)
  7. Not If Affordability Data Adds Value but How to Add Real Value by Leveraging Affordability Data: Enhancing Predictive Capability of Credit Scoring Using Affordability Data by Dhruv Sharma, George Overstreet, and Peter Beling. (Posted October 1, 2009)
  8. Immigration Insurance by Kelly McKeethan, FCAS, MAAA, CPCU (Posted August 18, 2008)
  9. A Conceptual Proposal to Use Appraisal Value as a Supplementary Basis for Financial Valuation by Neil Bodoff, FCAS, MAAA (Posted August 6, 2009)
  10. Principles of the Chain-Ladder “Method” Selecting and Updating Claims Development Factors by Rajesh Sahasrabudde (Posted July 30, 2008, updated August 11, 2008)
    1. Discussion by Dr. Klaus D. Schmidt of “Principles of the Chain-Ladder ‘Method’ Selecting and Updating Claims Development Factors” by Rajesh Sahasrabudde (Posted August 26, 2009).

  11. Principles Underlying Actuarial Science M Allaben, C Diamantoukos, A Dicke, S Gutterman, S Klugman, R Lord, W Luckner, R Miccolis, J Tan (Posted July 30, 2008)