Management Strategies and Dynamic Financial Analysis

By Martin Eling, Hato Schmeiser, Thomas Parnitzke

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Dynamic financial analysis (DFA) has become an important tool in analyzing the financial condition of insurance companies. Constant development and documentation of DFA tools has occurred during recent years. However, several questions concerning the implementation of DFA systems have not yet been answered in the DFA literature. One such important issue is the consideration of management strategies in the DFA context. The aim of this paper is to study the effects of different management strategies on a nonlife insurer’s risk and return profile. Therefore, we develop several management strategies and test them numerically within a DFA simulation study.

KEYWORDS: Dynamic financial analysis, management strategies, performance measurement, risk management

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Eling, Martin, Hato Schmeiser, and Thomas Parnitzke, "Management Strategies and Dynamic Financial Analysis," Variance 2:1, 2008, pp. 52-70.

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Variance (ISSN 1940-6452) is a peer-reviewed journal published by the Casualty Actuarial Society to disseminate work of interest to casualty actuaries worldwide. The focus of Variance is original practical and theoretical research in casualty actuarial science. Significant survey or similar articles are also considered for publication. Membership in the Casualty Actuarial Society is not a prerequisite for submitting papers to the journal and submissions by non-CAS members is encouraged.