University of St.Gallen
research platform alexandria
search projects
browse projects
by person
A B C D E F G H I J K L M N O P Q R S T U V W X Y Z
 
by year
by project type

Implementing Dynamic Financial Analysis

abstract In the changing business environment of the last few years, dynamic financial analysis (DFA) has become an important tool for the analysis of an insurance company’s financial situation. Using a simulation-based approach, 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 future scenarios. DFA offers flexible modeling and many analysis possibilities; however, its implementation involves numerous problems.

In the following research project, we wish to concentrate on these problems of DFA implementation, problems that have not been adequately considered in the DFA literature so far. But, we won’t stop
adressing these problems, as we will also point out possible methods for overcoming these problems and integrate these methods into a DFA modeling framework. Thus, our research plan consists of
classification, conception, and implementation of DFA.
   
keywords Risk Management, Asset Liability Management, Dynamic Financial Analysis, Simulation, Solvency II, Swiss Solvency Test, International Financial Reporting Standards (IFRS)
   
partner
type fundamental research project
status completed
start of project 2006
end of project 2006
additional informations
topics Dynamic Financial Analysis (classification and conception)
Dynamic Financial Analysis (model design, e.g. the implementation of management behavior or the correct mapping of dependence structures)
methods statistical and actuarial methods,
performance analysis
contact Thomas Parnitzke