Date: Thursday, March 21 

Session: 72

ASTIN  

Stephen P. D'Arcy  curriculum

USA

Subject

Session


 
Paper
     A Dynamic Financial Analysis of the Effect of Growth on Property Liability Insurers  
 

Presentation

* * *

Summary

Dynamic Financial Analysis (DFA) represents a new area of study for insurance researchers, an area requiring new tools and new expertise. The need for DFA developed as the financial world became a more risky place, a trend that started in the 1970s when foreing exchange rates interes ratest became more volatile . DFA is a powerful business planning tool that will allow researches to assess the financial risk of individual insurers and of different business strategies. It can used to highlight the financial or operating conditions that might generate unfavorable outcomes, allowing company managers to deal with these potential conditions appropriately. DFA can provide a calibrated tool to replace intuition for measuring the effects of operational decisions. The actuarial consulting firm Miller, Herbers,Lehmann & Associates has developed a public-access DFA model that is available, via the internet, at no charge. The General approach used in this model, the key risks of U.S. property-liability insurers subject to modeling, the parameters incorporated in the financial aspects of the model, and examples of the output from the model are described in D'Arcy, Gorvett, et al. (1997 and 1998). One of the objectives of this model is to serve a learning tool for researchers interested in obtaining hands-on experience with DFA. To further this objective, we propose to utilize the public access DFA model to analyze the effect of growth on property-liability insurers. One benefit of this project will be to illustrate the data requirements of the model, the parameter selection process, the system and time requirements for running the model, the output from the model, and how a researcher can utilize the model to understand the financial or operational positions of an insurer, Additionally, this project will provide an analysis, using the DFA model, of the impact of growth rates and persistency on insurance profitability.

* * *

 
 
 Stephen P. D'Arcy

Curriculum

He is a Professor of Finance at the University of Illinois at Urbana-Champaign. He is a Fellow of the Casualty Actuarial Society, a member of the American Academy of Actuaries, Past-President of the American Risk and Insurance Association and currently a member of the Board of Directors of the Casualty Actuarial Society. 

He received his B.A. in Applied Mathematics from Harvard College and his Ph.D. in Finance from the University of Illinois. The courses he teaches include an introduction to insurance, property-liability insurance, casualty actuarial mathematics, advanced corporate finance, employee benefits and financial risk management of insurance enterprises. 

He teaches a seminar on finance and an on-line course on financial risk management for the Casualty Actuarial Society. His research interests include dynamic financial analysis, financial pricing models for property-liability insurers, catastrophe insurance futures, pension funding and regulation.

* * *

Subject

Session