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Introduction to Dynamic Financial Analysis

Published online by Cambridge University Press:  29 August 2014

Roger Kaufmann ,
Andreas Gadmer  and
Ralf Klett
Roger Kaufmann
Affiliation:
RiskLab, Department of Mathematics, ETH Zentrum, CH-8092 Zürich, Switzerland, kaufmann@math.ethz.ch
Andreas Gadmer
Affiliation:
Zürich Kosmos Versicherungen, Schwarzenbergplatz 15, A-1015 Wien, Austria, andreas.gadmer@zurich.com
Ralf Klett
Affiliation:
Zurich Financial Services, Mythenquai 2, CH-8022 Zürich, Switzerland, ralf.klett@zurich.com
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Abstract

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In the last few years we have witnessed growing interest in Dynamic Financial Analysis (DFA) in the nonlife insurance industry. DFA combines many economic and mathematical concepts and methods. It is almost impossible to identify and describe a unique DFA methodology. There are some DFA software products for nonlife companies available in the market, each of them relying on its own approach to DFA. Our goal is to give an introduction into this field by presenting a model framework comprising those components many DFA models have in common. By explicit reference to mathematical language we introduce an up-and-running model that can easily be implemented and adjusted to individual needs. An application of this model is presented as well.

Keywords

Nonlife insuranceDynamic Financial AnalysisAsset/Liability Managementstochastic simulationbusiness strategyefficient frontiersolvency testinginterest rate modelsclaimsreinsuranceunderwriting cyclespayment patterns
Type
Workshop
Information
ASTIN Bulletin: The Journal of the IAA , Volume 31 , Issue 1 , May 2001 , pp. 213 - 249
Copyright
Copyright © International Actuarial Association 2001

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