Public Access Dynamic Financial Analysis (DFA) Model

The CAS Committee on Dynamic Risk Modeling has updated the Public Access DFA Model, called Dynamo, and made it available on its web site www.casact.org/research/drm.  The Committee finished the 2009 Call for Papers by awarding a prize to authors John Burkett, FCAS, MAAA, PhD, Timothy Pratt, FIAA, MAAA, Gerald Kirschner, FCAS, MAAA, Jennifer Cheslawski, ACAS, MAAA and Diana Rangelova, Fellow, Institute des Actuaires for their paper “Holistic Approach to Setting Risk Limits” which has been published in the CAS 2010 Winter eForum and presented at the 2010 Enterprise Risk Management Symposium.  This paper applied the Dynamo model to test and suggest improvements to a hypothetical company's risk limits (eg, growth rates, retentions within reinsurance program, investment policy statement limits)  from an enterprise wide capital preservation perspective.