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The Use of dynamic financial analysis to determine whether an optimal growth rate exists for a property-liability insurer
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MAP20071506353
D'Arcy, Stephen P. ‌
The Use of dynamic financial analysis to determine whether an optimal growth rate exists for a property-liability insurer / Stephen P. D'Arcy, Richard W. Gorvett
This article uses a publicly available DFA model -along with the estimated market value of an insurer, based on 1990-2001 data for stock P-L insurers and underlying financial variables- to determine optimal growth rates of a P-L insurer based on mean-variance analysis, stochastic dominance, and constraints on leverage
En: The Journal of risk and insurance. - Orlando. - Volume 71, number 4, December 2004 ; p. 583-615
1. Seguro de daños patrimoniales ‌. 2. Análisis financiero ‌. 3. Análisis de multivariables ‌. 4. Modelo estocástico ‌. I. Gorvett, Richard W. ‌. II. Title. III. Título: The Journal of risk and insurance.