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Research Working Party on the Public - Access DFA Model - Update

Research Working Party on the Public - Access DFA Model - Update. Robert J. Azari CAS Spring Meeting – June 2008. Research Working Party on the Public - Access DFA Model Morgan H. Bugbee, Co-Chairman Patrick J. Crowe, Co-Chairman Joel E. Atkins, Member Robert J. Azari, Member

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Research Working Party on the Public - Access DFA Model - Update

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  1. Research Working Party on the Public - Access DFA Model - Update Robert J. Azari CAS Spring Meeting – June 2008

  2. Research Working Party on the Public - Access DFA Model Morgan H. Bugbee, Co-Chairman Patrick J. Crowe, Co-Chairman Joel E. Atkins, Member Robert J. Azari, Member Thomas P. Conway, Member William D. Hansen, Member

  3. DFA = Dynamic Financial Analysis Excel model to simulate property & casualty insurer financial results Built in mid-90s by Miller, Rapp, Herbers and Terry and U. of Illinois Download Dynamo 3: http://www.pinnacleactuaries.com/pages/products/dynamo.asp Casualty Actuarial Society Dynamic Risk Modeling Web Site: (we plan to post Dynamo 4 to this site shortly) http://www.casact.org/research/drm/#rwp

  4. Dynamic Risk Modeling Committee Goals for Dynamic Financial Modeling Phase 1: Documentation and evaluation of the components of the existing model Phase 2: Identification of selected enhancements to the model Phase 3: Implementation of selected enhancements Phase 4: Ultimately, consider “open source” framework for public-access model

  5. Phase 1: Documentation and Evaluation of the Components of the Existing Model

  6. Working Party Phase I Product: Manual to Document and Evaluate Dynamo 3 For Each DFA Model Component: A. Description of worksheet B. How it interrelates with other components C. Errata D. Assumptions

  7. Working Party Phase I Product: New Version: Dynamo 4 Changes based on selected errata and assumptions Next Steps: Comments on manual from Dynamic Risk Modeling Committee Dynamo 4 is being reviewed by one of the original authors Post manual and Dynamo 4 on CAS web site Possible call for papers on changes to DFA model

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