Zur Integration heuristischer Managementstrategien in die Dynamische Finanzanalyse

Dynamic financial analysis (DFA) has become an important tool in analyzing the financial situation of insurance companies. Constant development and documentation of DFA tools has occurred during the last years. However, several questions concerning the implementation of DFA systems have not been answered in the DFA literature to date. One such important issue is the consideration of management strategies in the DFA context. The aim of this paper is to study the effects of different management strategies on a non-life insurer’s risk and return profile. Therefore, we extend the results of a recent working paper by Eling / Parnitzke / Schmeiser (2007) with two variants and test these variants numerically within a DFA simulation study.