2021-2022 Call for Ratemaking Research Papers
The Casualty Actuarial Society is again pleased to extend a peer-reviewed call for discussion papers on ratemaking topics. This call offers one-year and two-year cycles, demonstrating our efforts to improve the process for submitting and reviewing papers, giving authors enough time to explore topics and submit high-quality research. We designed the one-year cycle for authors whom have written papers that require peer and editorial review.
We designed the two-year cycle to provide structure and guidance to authors as they develop their proposal concept into a research paper in addition to peer review. Published papers will be noted as peer reviewed.
Ratemaking is a major area of expertise for casualty actuaries; therefore, we find developing and fostering timely, relevant, and high-quality research important. The Ratemaking Discussion Paper Program is offered to further these goals and to provide additional material for basic and continuing education purposes. We will review papers for acceptance based upon:
- Originality of ideas;
- Clear presentation of concepts;
- Contribution to the ratemaking literature;
- Thoroughness of ideas expressed; and
- Timeliness, relevance and applicability of research.
We may invite authors of accepted papers to present their work at the 2021 or 2022 Ratemaking and Product Management (RPM) Seminar, depending on expected date of publication. In addition, we will publish the papers in the CAS E-Forum, and we will also make them available on the CAS web site prior to the Seminar. A total prize fund of $10,000 is available for papers submitted in response to the call, with up to $5,000 awarded to the best paper(s) and up to $5,000 awarded to the most practical paper(s). Both CAS members and non-members are invited to submit proposals for papers.
We welcome papers on any ratemaking topic, however papers should focus on the Considerations listed in the CAS Statement of Principles Regarding Property and Casualty Ratemaking. Suggested ratemaking topics based on current events and topics that deserve new or continued research are listed below.
- Going beyond loss costs;
- Lifetime value of the customer;
- Regulatory considerations;
- Deep learning for detecting risk factors in unstructured data (telematics, photos, text, etc).
- Catastrophe Ratemaking
- Deep Learning for Catastrophe Models
- Profit Margins in Catastrophe Ratemaking;
- Underwriting for Catastrophes;
- ASOP 38;
- Alternative Risk Transfer;
- Catastrophe Loadings by Class/Territory;
- Revisions to catastrophe models that significantly change model results, such as expected losses.
- Enterprise Risk Management
- Impacts on Ratemaking;
- Aggregation of Exposure;
- Concentration issues;
- Pandemic response (e.g., lessons learned from Covid-19);
- Operational risk quantification.
- Specialty Products
- Federal and State Insurance Programs – FDIC, Flood, Earthquake, Terrorism, Pandemic;
- Impact of coverage changes on loss development patterns and tail factors;
- Impact of coverage changes on pricing of Director’s & Officer’s, Fiduciary Liability, or Errors and Omissions coverages;
- Emerging products – GAP Insurance, Residual Value.
- Predictive Modeling
- Machine Learning;
- Interpretable ML Methods for Ratemaking;
- How to build Scoring Models;
- Non-structured statistical methods;
- Enhancing a GLM with GAMs or other statistical/machine learning methods;
- Credibility of predictive models;
- Transitioning from non-GLM to GLM-based rating;
- Transitioning from one GLM model to another;
- Handling non-linearly dependent rating variables in GLMs;
- Loss Trends
- Backtesting methods
- Incorporation of covariates in trends models (economic data)
- Applications of neural networks for trend models (LSTM RNN’s, transformers).
Call Paper Timetable
Timely submission of the discussion papers is critical. The procedures and timetable enumerated below apply.
- Deadline for Proposals and Completed Papers is September 14, 2020
Authors must submit proposals for their papers, including the suggested title, a short description of the topic(s) to be addressed, the approach that will be taken, and a survey of existing actuarial literature on the subject (title and abstract of a maximum of the five most relevant papers) by August 14, 2020. Authors should review the criteria for acceptance shown above, and format papers as discussed below. Authors should submit proposals electronically, including contact information, via e-mail to Karen Sonnet at the Casualty Actuarial Society at firstname.lastname@example.org. Please put “2022 Ratemaking Call Paper Program” in the subject line of the email. Proposals will follow the two-year cycle.Alternatively, by September 14, 2020, authors may submit a completed paper that has not been previously published. Authors should submit completed papers electronically, including contact information, via e-mail to Karen Sonnet at the Casualty Actuarial Society at email@example.com. Please put “2021 Ratemaking Call Paper Program” in the subject line of the email. These papers will follow the one-year cycle.
- Acceptance of Proposals and Completed Papers Determined by October 14, 2020
The Committee on Ratemaking will decide which proposals and completed papers are accepted, and will provide feedback to authors by September 14, 2020. We may need to limit the number of accepted proposals. The Ratemaking Discussion Paper Chairperson will contact the authors regarding the decision.
- One-Year Cycle Important Dates
A Call Paper Sub-Committee will be assigned to work with each author of a completed paper to review and provide general guidance within the timeframes. The Sub-Committee Chairperson will monitor progress. Authors are encouraged to share drafts with the Sub-Committee as work progresses, and are required to submit interim drafts according to the following schedule:
- By November 1, 2020, a final version of papers submitted under the completed paper track will be submitted to the Chair of the assigned Sub-Committee for review.
- By December 2, 2020, authors of papers submitted under the completed paper track will be notified if the paper will be accepted in the 2021 Call. We will publish accepted papers in the CAS E-Forum, and will make them available on the CAS Web Site prior to the 2021 RPM Seminar. We may invite authors to present their papers at the 2021Seminar.
- Completed Papers are also eligible for consideration for a Ratemaking Paper Prize to be awarded at the 2021 RPM Seminar.
- Two-Year Cycle Important Dates
A Call Paper Sub-Committee 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 Sub-Committee Chairperson will monitor progress. Authors are encouraged to share drafts with the sub-committee as work progresses, and are required to submit interim drafts according to the following schedule:
- By December 2, 2020, a completed draft of the paper will be submitted to the Chair of the assigned Sub-Committee for review.
- By March 3, 2021, the Sub-Committee will forward review comments on the draft to the author(s).
- By June 2, 2021, a second draft of the paper will be submitted to the Chair of the assigned Sub-Committee for review.
- By August 1, 2021, the Sub-Committee will forward review comments on the second draft to the author(s).
- Two-Year Cycle Completion Date by October 1, 2021
The Committee on Ratemaking must receive the completed paper, including a 200-word abstract, by October 1, 2021. The Committee will screen each paper to assure its quality of exposition, relevance to the call and to ratemaking research, and adherence to format requirements described below. The Committee reserves the right to not publish a submission.
- Approval of the Two-Year Cycle Paper by December 2, 2021
Authors will be notified of the results of the screening process by December 2, 2021. Accepted papers will be published in the CAS E-Forum and will be available on the CAS Web Site prior to the 2022 RPM Seminar.
- Presenting the Two-Year Cycle Papers
Authors may be invited to present their papers at the March 2022 CAS RPM Seminar. We will contact authors will in advance of the Seminar regarding their presentations.
- 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 totaling $10,000 is available for the best paper(s) submitted in response to the Call and will be presented to the author(s) at the 2022 RPM Seminar, as well as the most practical paper(s) submitted in response to this Call. An independent review committee will judge the papers anonymously and will select the best paper(s). If no paper is considered eligible, the award shall not be made. There is also no guarantee that the prize fund, set at a level to fund more than one prize, shall be exhausted.
- Format of Papers
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 E-Forum on the CAS Web Site. Key words in the abstract should be based on the CAS Research Taxonomy, also on the CAS Web Site. Authors will be required to execute a "Permission to Publish" form, which formally grants the CAS permission 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 of published papers 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 Variance: Advancing the Science of Risk, in accordance with its Submission Procedures. However, acceptance of a discussion paper for this call does not guarantee its acceptance for publication in Variance.
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 via e-mail to firstname.lastname@example.org.
Your participation in this effort will contribute to the written body of knowledge for the CAS and to the success of the 2021/2022 Ratemaking Research Call Paper Program.