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Dynamic Financial Analysis DFA InsuranceCompanyCase Study

Part h Reinsurance and Asset Allocation

By John C. Burkett, Ph.D., ACAS, MAAA, Thomas S. Mclntyre, FCAS, MAAA and Stephen M. Sonlin, CFA

Swiss Re Investors 111 S. Calvert Street, Suite 1800 Baltimore, MD 21202 Phone: (410) 369-2800 Fax: (410) 369-2900

Abstract

As a result of published papers, shared research and call paper programs such as this one, the technical specifications behind Dynamic Financial Analysis (DFA) have been well developed. This has led to a high level of convergence among many of the different concepts, models and processes behind DFA. The next logical step in promoting DFA is to show how these models and processes can be implemented to produce value to the insurance industry, its policyholders and its shareholders.

This paper has been submitted in response to the Committee on Dynamic Financial Analysis 2001 Call for Papers. The authors have applied dynamic financial analysis to DFA Insurance Company (DFAIC) to address the efficiency and effectiveness of DFAIC's reinsurance programs and asset allocation strategies. The DFA model used for this analysis was the Swiss Re Investors Financial Integrated Risk Management (FIRMTM)System. This paper is Part 1 of a two-part submission. Part 2 deals with using DFA to explore capital adequacy and capital allocation issues.

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