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Call for Monographs - Capital Modeling and Portfolio Management

Monograph Portfolio Management

The Casualty Actuarial Society, in conjunction with the CAS Monograph Committee, is pleased to extend a call for monographs on the related topics of Capital Modeling and Portfolio Management. The purpose of this call is to develop a source of literature with emphasis on the educational and professional needs of actuaries to develop and utilize capital models.

The ideal monograph will provide practicing actuaries with an authoritative introduction to Capital Modeling and integration in insurance company operations and decision making. In practice, capital models are often sourced from rating agencies, regulators or 3rd party vendors. This monograph should give actuaries the ability to assess the quality of the various offerings and recognize the benefits and limitations of the various offerings. Ideally, the monograph would go further and detail the development and parameterization of a specific simplified example, giving actuaries the tools to start building internal proprietary models.

A focus of the monograph should be on integrating the capital model into insurance company operations, given an existing capital model. The monograph should detail specific use-cases of the Capital Model, including but not limited to:

  • Capital Allocation techniques
  • Calculating return-on-capital at various segmentation levels
  • Assessing reinsurance treaty options
  • Integrating capital models directly into policy-level premium determination
  • Portfolio Assessment and Optimization
  • Correlation considerations
  • Systemic Risk Analysis

All monographs are encouraged to be accompanied by tools or code that allows the techniques discussed to be implemented, or include links to open source software and code for this purpose.

Topics noted within this Call for Monographs are not only of interest to many practicing actuaries but may also be of interest to the CAS Syllabus Committee. The Monograph Editorial Board especially welcomes proposals that enrich material currently used to train P&C actuaries. This means that monographs that are highly readable and are structurally amenable to having questions set from them are preferred. Authors are encouraged, but not required, to include examples and exercises that help teach the concepts being explained.

Authors must submit their work in accordance with the Guidelines for Submission of Monographs. The monographs will be subject to peer review prior to final acceptance. Authors of monographs that are accepted within the timeline outlined below may be invited to present their work at a related CAS Seminar or Meeting.

SCOPE

The monograph series seeks to present a balanced perspective with respect to alternative approaches to solution of a given class of problems and to foster critical thinking. Although original research is encouraged, these monographs are primarily educational.  Approaches providing balanced and critical evaluation of alternative methodologies are particularly welcome. Conditions of optimal application and the advantages/disadvantages of use should be explored, making it easier for a practitioner to choose suitable methods.

SUBMISSION GUIDELINES

Monographs should be prepared in accordance with the Variance Template, and the procedures in the Guide for Submission of Monographs. Authors will be required to execute a copyright agreement form, which formally grants the CAS permission to publish the paper. Authors are encouraged to submit working templates in spreadsheets or other open-source formats for models or methods discussed or developed in their papers. These spreadsheets and/or programs will be posted on the CAS website along with the monographs.

TIMETABLE

Timely submission according to the timetable outlined below would ensure that a paper will be ready for presentation at an upcoming, related CAS seminar or meeting.

  1. Deadline for Proposals: By January 15, 2024, authors should submit proposals, including the title, a short description of the topic(s) to be addressed, and the approach that will be taken. Each proposal should be accompanied by the resumes of the author(s), indicating how their background, education, and experience bear on their qualifications to undertake the project. A list of the authors’ publications, along with authors’ contact information, should be included with the proposal, submitted via email to the Casualty Actuarial Society, droyston@casact.org.
  2. Acceptance of Proposals: By March 29, 2024, the Committee will decide on all proposals and will contact authors accordingly.
  3. Monitoring Progress: A committee member will be assigned to work with each author to monitor the paper’s progress and to provide general guidance for completion of the paper. Interim drafts, based on a schedule proposed by the author, may be requested.
  4. Complete Draft: By September 30, 2024, the completed paper and a 200-word abstract must be received. Each paper will be screened to assure its quality of exposition and relevance to the call.
  5. Final Submission: Subject to the peer review process, accepted monographs will be due to the CAS, to be published and be available on the CAS website.

QUESTIONS

Any questions on this Call may be addressed to Donna Royston at droyston@casact.org