Dynamic Financial Analysis Dfa To Determine The Optimal Level Of Equity Capital For Insurance Companies PDF Download

Risk management techniques have undergone significant changes during the last decades. One new tool that has been established in academic literature and practical application is Dynamic Financial Analysis (DFA). The method allows holistically analysing the financial situation of an insurance company. In this thesis, a DFA-model will be applied to analyse the default probabilities of an insurance company. It will focus on the different impacts of financial and insurance markets on the result of the insurance company. Furthermore, two management strategies will also be implemented in order to analyse the reliability of the model, on the one hand, and on the other hand, to investigate how the management can influence the result of the insurance company. The model will be implemented in MATLAB to ensure the efficiency of the model. With the implementation of the analysis, the aim of the thesis, to analyse different impacts of economic variables on the default probability of an insurance company, was achieved and the results were presented. Moreover, the implemented model also allowed applying other concepts from finance (e.g. Portfolio Theory). As it was the focus in this thesis to analyse the business of a non-life insurance company, it would be of interest to analyse similar impacts for a life insurance company.