{"id":{"repo_id":"uiuc","oai_identifier":"oai:www.ideals.illinois.edu:2142/87446"},"canonical_url":"https://search.dev.ndltd.org/etd/uiuc/oai:www.ideals.illinois.edu:2142/87446","repository":{"repo_id":"uiuc","name":"University of Illinois - Urbana-Champaign","base_url":"https://www.ideals.illinois.edu/oai-pmh"},"display":{"title":"Dynamic Financial Analysis of Property-Liability Insurance Companies","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.\"","abstract_html":""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."","abstract_has_math":false,"creators":["Gorvett, Richard Wayne"],"institution":"University of Illinois at Urbana-Champaign","degree_name":"Ph.D.","degree_level":"Dissertation","degree_discipline":"Finance","degree_department":null,"school":null,"contributors":["D'Arcy, Stephen P."],"advisors":[],"committee_chairs":[],"committee_members":[],"year":2015,"date_issued":"2015-09-28T16:03:18Z","date_published":"2015-09-28T16:03:18Z","updated_at":"2026-07-22T22:26:30Z","subjects":["Business Administration, General"],"languages":["eng"],"rights":[],"rights_urls":[],"identifier_entries":[{"key":"dc:identifier","label":"Identifier","values":["(MiAaPQ)AAI9904469"],"render_values":[{"text":"(MiAaPQ)AAI9904469","href":null,"code":true}]}]},"links":{"outbound_url":"http://hdl.handle.net/2142/87446","outbound_label":"Handle","outbound_source":"dc:identifier"},"metadata_groups":[{"id":"people","label":"People","entries":[{"key":"dc:contributor","label":"Contributor","values":["D'Arcy, Stephen P."]},{"key":"dc:creator","label":"Author","values":["Gorvett, Richard Wayne"]}]},{"id":"academic_context","label":"Academic Context","entries":[{"key":"dc:date","label":"Dc Date","values":["2015-09-28T16:03:18Z","10000-01-01","1998"]},{"key":"dc:type","label":"Dc Type","values":["text"]},{"key":"thesis:degree_discipline","label":"Discipline","values":["Finance"]},{"key":"thesis:degree_level","label":"Degree Level","values":["Dissertation"]},{"key":"thesis:degree_name","label":"Degree Name","values":["Ph.D."]},{"key":"thesis:institution_name","label":"Thesis Institution Name","values":["University of Illinois at Urbana-Champaign"]}]},{"id":"subjects_keywords","label":"Subjects and Keywords","entries":[{"key":"dc:subject","label":"Dc Subject","values":["Business Administration, General"]}]},{"id":"language_rights","label":"Language and Rights","entries":[{"key":"dc:language","label":"Dc Language","values":["eng"]}]},{"id":"identifiers","label":"Identifiers","entries":[{"key":"dc:identifier","label":"Identifier","values":["http://hdl.handle.net/2142/87446","(MiAaPQ)AAI9904469"]}]},{"id":"additional","label":"Additional Metadata","entries":[{"key":"dc:description","label":"Description","values":["\"This research applies state-of-the-art financial techniques to the dynamic financial modeling of property-liability (P-L) insurance companies. 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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. 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