1. Reserve Variability Working Party Kickoff Phil Heckman Aon Risk Consultants Roger Hayne Milliman USA CLRS 2003

2. Agenda CAS Centennial Goal (CG) CAS Research Overhaul Working Party brainstorming

3. CAS CG The CAS will be globally recognized as a pre-eminent resource in educating casualty actuaries and conducting research in casualty actuarial science. CAS members will be recognized as leading experts in the evaluation of hazard risk and the integration of hazard risk with strategic, financial and operational risk.

4. CAS CG Implications “… pre-eminent resource in … conducting research in casualty actuarial science.” “… leading experts in the evaluation of hazard risk and the integration of hazard risk with strategic, financial and operational risk.”

5. Problem Statements No keepers of the state of the science Need for survey papers, syllabus material Research overload via Call Papers Role/function of the PCAS unclear

6. Proposed Solutions De-emphasize Call Paper programs Establish Working Paper and Model repository on the CAS Website Evaluate CAS Publications Develop a CAS Research Taxonomy Establish Research Corners and Working Party sessions at the major seminars Institute Working Parties

7. Whither Call Papers? Bottom-up, fast-track research source. Stimulate communication, discussion and sharing. Good in concept, in practice has been another story.

8. Call Papers Not a professional journal Not peer reviewed. Inclusive editorial policy. Inconsistent review and prize standards. Inconsistent appearance and structure of papers. Contributes to members’ filtration and overload problems.

9. Call Papers Not generating discussion Solitary practitioners produce, present No context, follow-up, formal discussion Not leading to systematic progress of the science No referencing standards, context No clear advancement of the science

10. Call Papers  Working Papers CPs are the equivalent of working papers within academia Posted on websites and discussion forums Works-in-progress, on their way to peer- reviewed journals We can still have bottom-up idea generation, idea sharing, and discussion by establishing a Working Paper (and Model) repository on the CAS Website

11. Working Paper Repository Categorized by research area Members can post and comment on posts (mini-reviews) Items receiving a lot of activity can be the material for the Research Corners at the major seminars

12. Publications Task Force Impact and notoriety of PCAS outside the CAS is NIL Forum is used / abused Large bodies of work published without formal peer review Considering some radical surgery Maybe we join the NAAJ

13. Research Taxonomy Categorization scheme for our research Should dramatically improve searches Precursor to having effective referencing standards Under development by the Research Chairs, with the assistance of Erin Clougherty and Mike Boa of the CAS Office

14. Working Parties Essentially a collective call paper task force Collective = group effort, single group work product Ideas come from the members attending major seminar Seminar has presentation of prior year’s work, selection of next year’s topics

15. Working Parties Group effort forces discussion during the production of the product Oversight by research committee Can enforce editorial standards, referencing, ensure that current state of the science is documented, as well as context and scope of new research

16. Working Parties An easy to implement answer that helps on many fronts: Solitary  Group Bottom-up + Top-down Consistency in format, referencing, etc. Member involvement Natural seminar cycle supports it

17. Working Parties Be prepared for some differences Progress will be made Ties will be broken Oversight by R&D committees will be “managed consensus” Stronger editorial hand

18. Working Parties Piloted at 2003 RCM Seminar Work product to be presented at 2004 RCM Seminar Involves two proactive research committees (Reserves, COTOR) Also to be introduced Ratemaking (March 2004)

19. Reserve Variability WP Perennial problem: solve piecewise Most techniques kill variability Not enough info in a set of triangles Need to learn to combine data from many sources Need to think of loss development as a stochastic process, increments not independent

20. What does cohort agg. dist. look like?

21. Cohort Aggregate Losses Distribution will have a probability mass for no further payments that becomes large in the tail. Severity stays up, frequency decreases with age of cohort. Need to consider this to fit tail Here ends my 2¢ worth.