About the Series
CAS monographs are authoritative, peer-reviewed, in-depth works focusing on important topics within property and casualty actuarial practice. The inaugural monograph, Stochastic Loss Reserving Using Bayesian MCMC Models, was published in January 2015.
The CAS Monograph Series initiative fulfills the goal of creating an important addition to the existing body of CAS literature, with each monograph enabling the comprehensive treatment of a single subject.
The monographs represent just one way that the CAS provides its members with access to relevant information, research and resources that they can apply directly on the job to advance in their careers.
CAS Monograph No. 1 –Stochastic Loss Reserving Using Bayesian MCMC Models, Glenn Meyers, FCAS, MAAA, CERA
In this monograph, Glenn Meyers introduces a novel way of testing the predictive power of two loss reserving methodologies. Using a database created by the CAS that consists of hundreds of loss development triangles with outcomes, the volume begins by first testing the performance of the Mack model on incurred data and the Bootstrap Overdispersed Poisson model on paid data. As the emergence of Bayesian MCMC models has provided actuaries with an unprecedented flexibility in stochastic model development, the monograph then identifies some Bayesian MCMC (Markov Chain Monte Carlo) models that improve the performance over the above models.
CAS Monograph No. 2 –Distributions for Actuaries, by David Bahnemann
In Distributions for Actuaries, David Bahnemannbrings together two important elements of actuarial practice: an academic presentation of parametric distributions and the application of these distributions in the actuarial paradigm. The focus is on the use of parametric distributions fitted to empirical claim data to solve standard actuarial problems, such as creation of increased limit factors, pricing of deductibles, and evaluating the effect of aggregate limits.
A CAS monograph is a comprehensive, peer-reviewed work on a single aspect of property casualty actuarial science that is primarily educational in nature. Papers are welcomed from anyone regardless of their profession, education, or geographic location. Submissions will be evaluated based upon the merits of the paper and not authorship. Submission guidelines are available, or can be obtained by contacting Donna Royston, CAS Publications Production Coordinator at firstname.lastname@example.org. For a synopsis of the key steps in the creation of a monograph, please read How a CAS Monograph is Created.