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An Integrated Dynamic Financial Analysis and Decision Support System for a Property Catastrophe Reinsurer1

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  • Lowe, Stephen P.
  • Stanard, James N.

Abstract

This paper describes the dynamic financial analysis model currently being used by a property catastrophe reinsurer to manage its business. The model is-an integral part of the day-to-day operations at the Company, and is used as a decision making tool in the underwriting, investment, and capital management processes. The paper begins by describing the framework that the Company uses for risk management. This includes a classification of the risks facing the Company, which is used to define and prioritize their implementation in the model. Also included is a description of the conceptual approach the Company takes to evaluate the tradeoff between risk and return. The paper then goes on to describe the structure and operation of the dynamic financial analysis model and provides examples of its use at the Company, along with illustrative examples of the various types of output it produces.

Suggested Citation

  • Lowe, Stephen P. & Stanard, James N., 1997. "An Integrated Dynamic Financial Analysis and Decision Support System for a Property Catastrophe Reinsurer1," ASTIN Bulletin, Cambridge University Press, vol. 27(2), pages 339-371, November.
    • Handle: RePEc:cup:astinb:v:27:y:1997:i:02:p:339-371_01
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    Citations

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    Cited by:

    1. Peter Blum & Michel Dacorogna, 2003. "Dynamic Financial Analysis - Understanding Risk and Value Creation in Insurance," Risk and Insurance 0306002, University Library of Munich, Germany.
    2. Hochrainer, S. & Mechler, R. & Pflug, G. & Lotsch, A., 2008. "Investigating the Impact of climate change on the robustness of index-based microinsurance in Malawi," Policy Research Working Paper Series 4631, The World Bank.
    3. Martin Eling & Thomas Parnitzke, 2007. "Dynamic Financial Analysis: Classification, Conception, and Implementation," Risk Management and Insurance Review, American Risk and Insurance Association, vol. 10(1), pages 33-50, March.
    4. Patrick Krieger & Carsten Lausberg, 2021. "Entscheidungen, Entscheidungsfindung und Entscheidungsunterstützung in der Immobilienwirtschaft: Eine systematische Literaturübersicht [Decisions, decision-making and decisions support systems in r," Zeitschrift für Immobilienökonomie (German Journal of Real Estate Research), Springer;Gesellschaft für Immobilienwirtschaftliche Forschung e. V., vol. 7(1), pages 1-33, April.
    5. Hato Schmeiser, 2004. "New Risk‐Based Capital Standards in the European Union: A Proposal Based on Empirical Data," Risk Management and Insurance Review, American Risk and Insurance Association, vol. 7(1), pages 41-52, March.
    6. Martin Eling & Denis Toplek, 2009. "Modeling and Management of Nonlinear Dependencies–Copulas in Dynamic Financial Analysis," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 76(3), pages 651-681, September.

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