Dynamic Financial Analysis Model——Public DFA Model.doc

《Dynamic Financial Analysis Model——Public DFA Model.doc》由会员上传分享，免费在线阅读，更多相关内容在教育资源-天天文库。

1、ResearchWorkingPartyonthePublic-AccessDFAModelPhaseIWorkProduct:DocumentationandEvaluationofComponentsofExistingModelMorganH.Bugbee,Co-ChairmanPatrickJ.Crowe,Co-ChairmanJoelE.Atkins,MemberRobertJ.Azari,MemberThomasP.Conway,MemberWilliamD.Hansen,MemberAbstractTheResearchWorkingPartyontheP

2、ublicAccessDFAModelhaspublishedtheattachedreporttodocumentandevaluatethecomponentsofanexistingDFAmodelwhichhasbeenavailableovertheinternet.UnderthesupervisionoftheCAS-DynamicRiskModelingCommittee(DRMC),theworkinggroupwasformedtoevaluate,updateandcorrecttheDFAmodelwhichwasoutofdateandrequ

3、iredthoroughdocumentation.Theunderlyinggoaloftheworkinggroupistocreateanaccepted,documentedandwidelyavailableDFAmodeltemplate.TherevisedDFAmodelanditsdocumentationarethebasisforfuturecallpapersandresearchprojectsinvolvingDFAmodeling.TheattachedpaperisthedocumentationoftherevisedDFAmodel.

4、Thefirstsectionprovidesanoverviewofmodelfunctionality.Inthesubsequentsections,additionaldocumentationisprovidedforeachMSExcelmodelworksheetwhichdescribesthefunctionality,assumptionsanderrata.Afterreadingthepaperausershouldhaveanunderstandingoftheinnerworkingsofthemodel,howtoinputstarting

5、assumptions,triggermodelsimulationrunsandgenerateoutput.Thedocumentationshouldenabletheusertoresearchanddevelopenhancementstothemodel.TableofContentsSECTIONPAGEINTRODUCTION2ORGANIZATIONOFDOCUMENTATION9UNDERWRITINGINPUTSHEETS:XYZCOMPANYHMP-I;XYZCOMPANYWC-I10UNDERWRITINGOUTPUTSHEETS:XYZCOM

6、PANYHMP-O;XYZCOMPANYWC-O15UNDERWRITINGOUTPUTSHEET:LINESUMMARY18REINSURANCEINPUT19CATLOSSGENERATOR21INVESTMENTINPUTWORKSHEET24BOND1THRUBOND5WORKSHEETS27BONDSUMMARYWORKSHEET30STOCKSWORKSHEET31GENERALINPUTWORKSHEET33TAXCALCULATORWORKSHEET35SIMULATIONDATAWORKSHEET38RANDOMNUMBERSWORKSHEET40IN

7、VESTMENTDISTRIBUTIONWORKSHEET41OUTPUTSHEET43STATUTORYSUMMARY47GAAPSUMMARY49APPENDIXA51-55-IntroductionTheDynamicRiskModelingcommitteehasestablishedgoalsforDynamicFinancialmodeling,whichareoutlinedinthefourphasesbelow.TheCASWorkingPartyonthePublicAccessDFAModelhasbeenforme