2001 Call for Papers- Dynamic Financial Analysis, A Case Study

In this call paper program, participants were presented with a specific actuarial situation, including a company description and financial statements, and were asked to write a paper describing their approach and solution to the situation. By giving all participants a common starting point, we hoped to (1) encourage creative problem solving by participants using Dynamic Financial Analysis (DFA), (2) demonstrate the range of DFA approaches and models to the CAS membership, and (3) illustrate how appropriate capital levels can be determined using DFA.

This call focused on the application of DFA approaches to a given situation in order to illustrate how, appropriate capital levels can be determined using DFA. Each participant was expected to determine appropriate capital levels for the given insurance company based on standards used by ratings agendas, regulators, or financial markets. The capital standard that was adopted for this study was left to the participant but should have been defended as to the appropriateness of its use. It was expected that each paper would include the following

• Description of measures of risk and reward used in evaluation,
• Description of strategies considered,
• Description of the model used,
• Description of analytical process, and,
• Interpretation of model results/evaluation of strategies

The specific situation, company description, and financial statements are described below. Participants were responsible for selecting appropriate risk and reward measures to either optimize or control.