Hostname: page-component-78c5997874-8bhkd Total loading time: 0 Render date: 2024-11-14T01:28:15.277Z Has data issue: false hasContentIssue false
  • English
  • Français

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

Published online by Cambridge University Press:  29 August 2014

Stephen P. Lowe  and
James N. Stanard
Stephen P. Lowe*
Affiliation:
Tillinghast – Towers Perrin
James N. Stanard*
Affiliation:
Renaissance Re Holdings, Ltd.
*
Chief Actuary, Tillinghast – Towers Perrin, 175 Powder Forest Drive, Wealogue, Connecticut 06089-9658, USA[email protected]
Chairman, President and Chief Executive Officer, Renaissunce Re Holdings, Ltd., Renaissance House, East Broadway, P. O. Box HM 2527, Hamilton HMGX, Bermuda[email protected]
Rights & Permissions [Opens in a new window]

Abstract

Core share and HTML view are not available for this content. However, as you have access to this content, a full PDF is available via the ‘Save PDF’ action button.

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.

Keywords

Asset/Liability managementCapital adequacyDynamic financial analysisExpected policyholder deficitModern portfolio theoryProperty catastrophe reinsuranceRisk managementSimulation modelsUnderwriting cycles
Type
Workshop
Information
ASTIN Bulletin: The Journal of the IAA , Volume 27 , Issue 2 , November 1997 , pp. 339 - 371
Copyright
Copyright © International Actuarial Association 1997

Footnotes

1

An earlier version of this paper was prepared for the Casualty Actuarial Society's 1996 Call for Papers on Dynamic Financial Models of Property/Casualty Insurers. An updated version was presented at the XXVII ASTIN Colloquium in Copenhagen.

References

REFERENCES

Buff, J. (1990) Extending the Efficient Frontier. Imphasis 1990/4, Tillinghast - Towers Perrin, New York.Google Scholar
Butsic, R. (1994) Solvency Measurement for Property-Liability Risk-Based Capital Applications. The Journal of Risk and Insurance Volume 61, Number 4, 656–690.CrossRefGoogle Scholar
Brennan, M. and Schwartz, E. (1982) An Equilibrium Model of Bond Pricing and a Test of Market Efficiency. Journal of Financial and Quantitative Analysis 17, 75–100.CrossRefGoogle Scholar
Daykin, C.D.et. al. (1987) Assessing the Solvency and Financial Strength of a General Insurance Company. Journal of the Institute of Actuaries 09, 114, 227–325CrossRefGoogle Scholar
Daykin, C.D. and Hey, G.B. (1990) Managing Uncertainty in a General Insurance Company. Journal of the Institute of Actuaries 09, 117, 173–277.CrossRefGoogle Scholar
Doll, D. and Sonlin, S. (1994) Optimizing ALEF Studies. Emphasis 1994/4, Tillinghast – Towers Perrin, New York.Google Scholar
Gray, W.M. (1990) Strong association between West African rainfall and U.S. landfall of intense hurricanes. Science 249, 1251–1256.CrossRefGoogle ScholarPubMed
Hartman, D.G.et. al. (1992) Property-Casualty Risk-Based Capital Requirement - A Conceptual Framework. The Forum Spring 1992, Casualty Actuarial Society, New York, 211–280.Google Scholar
Hattendorf, K. (1868) Ueber die Berechnung der Reserven und des Risico bei der Lebensversicherung. In Rundschau der Versicherungen Volume XVIII, LeipzigGoogle Scholar
Hodes, D.M.et. al. (1996) The Financial Modeling of Property/Casualty Insurance Companies. The Forum Spring 1996, Casualty Actuarial Society, New York, 3–88.Google Scholar
Markowitz, H. (1959) Portfolio Selection: Efficient Diversification of Investments. John Wiley & Sons, New York.Google Scholar
Mulvfy, J.M. and Thorlacuis, A.E. (Forthcoming in 1997) The Towers Perrin Global Capital Market Scenario Generation System: CAP:Link. In Worldwide Asset and Liability Modeling (ed. Ziembarand, W.T. and Mulvey, J.M.). Cambridge University Press.Google Scholar
Wittstein, and Kanner, (1867) Determination of the Mean Risk in Life Insurance. Deutsche Versicherunge-Zeitung.Google Scholar