Dynamic Financial Analysis: Classification, Conception, and Implementation

Martin Eling and Thomas Parnitzke

Risk Management and Insurance Review, 2007, vol. 10, issue 1, 33-50

Abstract: Dynamic financial analysis (DFA) models an insurance company's cash flow in order to forecast assets, liabilities, and ruin probabilities, as well as full balance sheets for different scenarios. In the past years DFA has become an important tool for the analysis of an insurance company's financial situation. In particular, it is a valuable instrument for solvency control, which is now becoming important as regulators encourage insurance companies to determine risk‐based capital using internal risk management models. This article considers three aspects: First, we discuss the reasons why DFA is of special importance today. Second, we classify DFA in the context of asset liability management and analyze its fundamental concepts. As a result, we identify several implementation problems that have not yet been adequately considered in the literature, and therefore our third aspect is a discussion of these areas. In particular we consider the generation of random numbers and the modeling of nonlinear dependences in a DFA framework.

Date: 2007
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2)

Downloads: (external link)
https://doi.org/10.1111/j.1540-6296.2007.00104.x

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:bla:rmgtin:v:10:y:2007:i:1:p:33-50

Access Statistics for this article

Risk Management and Insurance Review is currently edited by Mary A. Weiss

More articles in Risk Management and Insurance Review from American Risk and Insurance Association
Bibliographic data for series maintained by Wiley Content Delivery ().