DFA-Dynamic Financial Analysis†

摘要: Dynamic Financial Analysis (‘DFA’) is a systematic approach based on large-scale computer simulations for the integrated financial modeling of non-life insurance and reinsurance companies aimed at assessing risks benefits associated with strategic decisions. The most important characteristic DFA that it takes an integrated, holistic point view, contrary to classic or actuarial analysis in which different aspects one company were considered isolation from each other. Specifically, models reactions response large number interrelated risk factors including both underwriting – usually several lines business, as well asset risks. In order account long time horizons are typical reinsurance, allows dynamic projections be made periods into future, where period year, sometimes also quarter. normally reflect full structure modeled company, impact accounting tax structures. Thus, balance sheet profit-and-loss (‘P&L’) company. Technically, platform using various techniques finance science by integrating them multivariate simulation model. Given complexity such model, not anymore possible make analytical evaluations. Therefore, stochastic (also called Monte Carlo imulation), numbers random scenarios generated, reaction evaluated, resulting outcomes then analyzed statistically. Keywords: integrated management; balance projection; strategy evaluation; Monte simulation; asset-liability management; capital management; solvency