Dynamic Financial Analysis of Property-Liability Insurance Companies
Gorvett, Richard Wayne
This item is only available for download by members of the University of Illinois community. Students, faculty, and staff at the U of I may log in with your NetID and password to view the item. If you are trying to access an Illinois-restricted dissertation or thesis, you can request a copy through your library's Inter-Library Loan office or purchase a copy directly from ProQuest.
Permalink
https://hdl.handle.net/2142/87446
Description
Title
Dynamic Financial Analysis of Property-Liability Insurance Companies
Author(s)
Gorvett, Richard Wayne
Issue Date
1998
Doctoral Committee Chair(s)
D'Arcy, Stephen P.
Department of Study
Finance
Discipline
Finance
Degree Granting Institution
University of Illinois at Urbana-Champaign
Degree Name
Ph.D.
Degree Level
Dissertation
Keyword(s)
Business Administration, General
Language
eng
Abstract
"This research applies state-of-the-art financial techniques to the dynamic financial modeling of property-liability (P-L) insurance companies. Dynamic financial analysis (DFA)--a relatively new concept in the P-L industry--attempts to analyze the underwriting and financial operations of an insurance company as an integrated whole. The objective of this dissertation is twofold: first, to provide a framework for current and future DFA models for the P-L insurance industry; second, to use these models to test various hypotheses concerning valuation, corporate decision-making, and optimal regulatory policy. Two types of DFA models are developed. The first is termed ""conventional"" since it builds on existing financial models in the life and P-L insurance industries. The single-period conventional model developed here incorporates insurance-specific factors, in a stochastic framework, and provides probability distributions of outcomes of key financial variables. The second type of model uses continuous-time financial techniques, which provide a more sophisticated approach to dealing with certain financial parameters. This alternative multi-period model can take many different forms, depending upon the particular specification. Each period of this model consists of a continuous-time segment between annual regulatory audits, and also allows for discrete jumps and instantaneous corporate and/or closure decisions. Parallel development of these two types of models will allow for an evaluation of the benefit of moving from a conventional to a more financially sophisticated alternative model, and will aid in the selection of appropriate parameters for future conventional models."
Use this login method if you
don't
have an
@illinois.edu
email address.
(Oops, I do have one)
IDEALS migrated to a new platform on June 23, 2022. If you created
your account prior to this date, you will have to reset your password
using the forgot-password link below.
