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題名 Modeling Language for Dynamic Financial Analysis
作者 連育麟
Lien ,Yu-Ling
貢獻者 蔡瑞煌<br>謝明華
Tsaih, Rua-Huan<br>Sieh, Ming-Hua
連育麟
Lien ,Yu-Ling
關鍵詞 動態財務分析
模型語言
Dynamic Financial Analysis
Modeling language
Code generation
日期 2003
上傳時間 18-Sep-2009 14:26:28 (UTC+8)
摘要 本研究旨在協助產險公司建立動態財務分析系統.
Despite the promise of DFA, many insurers have grown increasingly frustrated with it. Evolution of DFA models leads to a vicious cycle of implementation, compilation and modification that disrupts the creative evolutionary modeling activity.

To overcome this obstacle, MLDFA discussed in this paper provides an improved approach that would meet the desired requirements. MLDFA architecture plays a central role in its successful development. Model Transformation Systems makes a transformation from the conceptual model into programmed model by combining conceptions of Object Oriented Programming (OOP) and Code Generation. With the object-oriented style user interface, MLDFA provides the user with means to conveniently structure the model in a natural way.

We believe that the proposed approach is suitable and feasible for the formulation and refinement of DFA models. Although MLDFA is in an early stage of implementation, it has the potential to bring DFA to a wider audience because it could help insurance companies in total cost reduction of the life cycle DFA system.
參考文獻 1. Ahlgrim, K. C., Arcy, S. P., and Gorvett, R. W., 1999 Summer, Parameterizing Interest Rate Models, Forums of the Casualty Actuarial Society, pp. 1-50
2. Berger, A. J., and Madsen, C. K., 1999, A Comprehensive System for Selecting and Evaluating DFA Model Parameters, Proceedings of the Casualty Actuarial Society Forum, pp. 51-68
3. Birge, J. R., Dempster, M. A. H., Gassmann, H. I., Gunn, E. A., King, A. J., and Wallace, S. W., 1987, A Standard Input Format for Multiperiod Stochastic Linear Programs, COAL Newsletter #17, pp. 1-19
4. Brooke, A., Kendrick, D., Meeraus, A., and Raman R., 1998, GAMS: A User`s Guide, GAMS Development Corporation
5. Choobineh, J., 1991, SQLMP: A Data Sublanguage for Representation and Formulation of Linear Mathematical Models, ORSA Journal on Computing, Volume 3, pp. 358-375
6. DFA Committee of the Casualty Actuarial Society, 1999, DFA Research Handbook -Overview of Dynamic Financial Analysis
7. Dotzauer, E., and Holmstrom, K., 1998, A Graphical User Interface for Nonlinear Programming in MATLAB, Annals of Operations Research, Modeling Languages and Approaches:Submitted
8. Economist, 1999, Capital Punishment, Volume 350, Issue 8102, pp. 61
9. Feldblum, S., 1995, Forecasting the Future: Stochastic Simulation and Scenario Testing, Forums of the Casualty Actuarial Society, pp. 151-178
10. Fourer, R., 1983, Modeling Languages Versus Matrix Generators for Linear Programming, ACM Transactions on Mathematical Software, Volume 9, pp. 143-183
11. Fourer R., Gay, D. M., and Kernighan, B. W., 1990, A Modeling Language for Mathematical Programming, Management Science, Volume 36, pp. 519-554
12. Geoffrion, A.M., 1987, An Introduction to Structured Modeling, Management Science, Volume 33, pp. 547-588
13. Geoffrion, A.M., 1989, The Formal Aspects of Structured Modeling, Operations Research, Volume 37, pp. 0-51
14. Kaufmann, R., Gadmer, A., and Klett, R., 2001, Introduction to Dynamic Financial Analysis, ASTIN Bulletin 31, pp. 214-249
15. Kuip, C.A.C., 1993, Algebraic Languages for Mathematical Programming, European Journal of Operations Research, Volume 67, pp. 25-51
16. Lent, R., 2001, DFA interest rising but still not widely popular, National Underwriter, Volume 105, pp. 10-11
17. Lowe, S., and Stanard, J., 1996, An Integrated Dynamic Financial Analysis and Decision Support System for a Property Catastrophe Reinsurer, Proceedings of the Casualty Actuarial Society Forum, pp. 89-118
18. Ostaszewski, K. M., 1998, Applications of Resampling Methods in Dynamic Financial Analysis, Proceedings of the Casualty Actuarial Society Forum, pp. 169-206
19. Pentikainen, T., Pesonen, M., and Daykin, C. D., 1993, Practical Risk Theory for Actuaries, Chapman & Hall
20. Raghunathan, S., 1996, A Structured Modeling Based Methodology to Design Decision Support System, Decision Support Systems, Volume 17, pp. 299-312
21. Tsaih, R., Liu, Y. J., Liu, W. C., and Lien, Y. L., 2004, Credit Scoring System for Small Business Loans, Decision Support Systems, Forthcoming
22. Tu, T. S., 1998, The Application of Cumulative Distribution Functions in the Stochastic Chain Ladder Model, Proceedings of the Casualty Actuarial Society Forum, pp. 389-413
23. Turban, E., 1995, Decision Support System and Expert System, 4th Edition, Prentice Hall
24. Yu, L. Y., Ji, X. D., and Wang, S. Y., 2003, Stochastic Programming Models in Financial Optimization: A Survey, Advanced Modeling and Optimization, Volume 5, pp. 1-26
描述 碩士
國立政治大學
資訊管理研究所
91356019
92
資料來源 http://thesis.lib.nccu.edu.tw/record/#G0091356019
資料類型 thesis
dc.contributor.advisor 蔡瑞煌<br>謝明華zh_TW
dc.contributor.advisor Tsaih, Rua-Huan<br>Sieh, Ming-Huaen_US
dc.contributor.author (Authors) 連育麟zh_TW
dc.contributor.author (Authors) Lien ,Yu-Lingen_US
dc.creator (作者) 連育麟zh_TW
dc.creator (作者) Lien ,Yu-Lingen_US
dc.date (日期) 2003en_US
dc.date.accessioned 18-Sep-2009 14:26:28 (UTC+8)-
dc.date.available 18-Sep-2009 14:26:28 (UTC+8)-
dc.date.issued (上傳時間) 18-Sep-2009 14:26:28 (UTC+8)-
dc.identifier (Other Identifiers) G0091356019en_US
dc.identifier.uri (URI) https://nccur.lib.nccu.edu.tw/handle/140.119/35205-
dc.description (描述) 碩士zh_TW
dc.description (描述) 國立政治大學zh_TW
dc.description (描述) 資訊管理研究所zh_TW
dc.description (描述) 91356019zh_TW
dc.description (描述) 92zh_TW
dc.description.abstract (摘要) 本研究旨在協助產險公司建立動態財務分析系統.zh_TW
dc.description.abstract (摘要) Despite the promise of DFA, many insurers have grown increasingly frustrated with it. Evolution of DFA models leads to a vicious cycle of implementation, compilation and modification that disrupts the creative evolutionary modeling activity.

To overcome this obstacle, MLDFA discussed in this paper provides an improved approach that would meet the desired requirements. MLDFA architecture plays a central role in its successful development. Model Transformation Systems makes a transformation from the conceptual model into programmed model by combining conceptions of Object Oriented Programming (OOP) and Code Generation. With the object-oriented style user interface, MLDFA provides the user with means to conveniently structure the model in a natural way.

We believe that the proposed approach is suitable and feasible for the formulation and refinement of DFA models. Although MLDFA is in an early stage of implementation, it has the potential to bring DFA to a wider audience because it could help insurance companies in total cost reduction of the life cycle DFA system.		en_US
dc.description.tableofcontents Chapter 1 Introduction
1.1 Background
1.2 Motivation and Objective
1.3 Scope
1.4 Outline
Chapter 2 Literature Review
2.1 Dynamic Financial Analysis
2.2 Modeling Language
2.3 Decision Support System
Chapter 3 System Analysis and Design
3.1 System Analysis
3.2 Design Philosophy for a New DFA System
3.3 System Architecture
3.3.1 Model Transformation Subsystem
3.3.2 Processing Subsystem
Chapter 4 System Implementation
4.1 DFA Object-Oriented Framework
4.2 Arrangement of Commonalities and Variants
4.3 User Interface Design
Chapter 5 Summary and Future Work
5.1 Conclusion
5.2 Future Work
Reference
Appendix A: AssetItem Hierarchy
Appendix B: BusinessLine Hierarchy		zh_TW
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dc.language.iso en_US-
dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G0091356019en_US
dc.subject (關鍵詞) 動態財務分析zh_TW
dc.subject (關鍵詞) 模型語言zh_TW
dc.subject (關鍵詞) Dynamic Financial Analysisen_US
dc.subject (關鍵詞) Modeling languageen_US
dc.subject (關鍵詞) Code generationen_US
dc.title (題名) Modeling Language for Dynamic Financial Analysiszh_TW
dc.type (資料類型) thesisen
dc.relation.reference (參考文獻) 1. Ahlgrim, K. C., Arcy, S. P., and Gorvett, R. W., 1999 Summer, Parameterizing Interest Rate Models, Forums of the Casualty Actuarial Society, pp. 1-50zh_TW
dc.relation.reference (參考文獻) 2. Berger, A. J., and Madsen, C. K., 1999, A Comprehensive System for Selecting and Evaluating DFA Model Parameters, Proceedings of the Casualty Actuarial Society Forum, pp. 51-68zh_TW
dc.relation.reference (參考文獻) 3. Birge, J. R., Dempster, M. A. H., Gassmann, H. I., Gunn, E. A., King, A. J., and Wallace, S. W., 1987, A Standard Input Format for Multiperiod Stochastic Linear Programs, COAL Newsletter #17, pp. 1-19zh_TW
dc.relation.reference (參考文獻) 4. Brooke, A., Kendrick, D., Meeraus, A., and Raman R., 1998, GAMS: A User`s Guide, GAMS Development Corporationzh_TW
dc.relation.reference (參考文獻) 5. Choobineh, J., 1991, SQLMP: A Data Sublanguage for Representation and Formulation of Linear Mathematical Models, ORSA Journal on Computing, Volume 3, pp. 358-375zh_TW
dc.relation.reference (參考文獻) 6. DFA Committee of the Casualty Actuarial Society, 1999, DFA Research Handbook -Overview of Dynamic Financial Analysiszh_TW
dc.relation.reference (參考文獻) 7. Dotzauer, E., and Holmstrom, K., 1998, A Graphical User Interface for Nonlinear Programming in MATLAB, Annals of Operations Research, Modeling Languages and Approaches:Submittedzh_TW
dc.relation.reference (參考文獻) 8. Economist, 1999, Capital Punishment, Volume 350, Issue 8102, pp. 61zh_TW
dc.relation.reference (參考文獻) 9. Feldblum, S., 1995, Forecasting the Future: Stochastic Simulation and Scenario Testing, Forums of the Casualty Actuarial Society, pp. 151-178zh_TW
dc.relation.reference (參考文獻) 10. Fourer, R., 1983, Modeling Languages Versus Matrix Generators for Linear Programming, ACM Transactions on Mathematical Software, Volume 9, pp. 143-183zh_TW
dc.relation.reference (參考文獻) 11. Fourer R., Gay, D. M., and Kernighan, B. W., 1990, A Modeling Language for Mathematical Programming, Management Science, Volume 36, pp. 519-554zh_TW
dc.relation.reference (參考文獻) 12. Geoffrion, A.M., 1987, An Introduction to Structured Modeling, Management Science, Volume 33, pp. 547-588zh_TW
dc.relation.reference (參考文獻) 13. Geoffrion, A.M., 1989, The Formal Aspects of Structured Modeling, Operations Research, Volume 37, pp. 0-51zh_TW
dc.relation.reference (參考文獻) 14. Kaufmann, R., Gadmer, A., and Klett, R., 2001, Introduction to Dynamic Financial Analysis, ASTIN Bulletin 31, pp. 214-249zh_TW
dc.relation.reference (參考文獻) 15. Kuip, C.A.C., 1993, Algebraic Languages for Mathematical Programming, European Journal of Operations Research, Volume 67, pp. 25-51zh_TW
dc.relation.reference (參考文獻) 16. Lent, R., 2001, DFA interest rising but still not widely popular, National Underwriter, Volume 105, pp. 10-11zh_TW
dc.relation.reference (參考文獻) 17. Lowe, S., and Stanard, J., 1996, An Integrated Dynamic Financial Analysis and Decision Support System for a Property Catastrophe Reinsurer, Proceedings of the Casualty Actuarial Society Forum, pp. 89-118zh_TW
dc.relation.reference (參考文獻) 18. Ostaszewski, K. M., 1998, Applications of Resampling Methods in Dynamic Financial Analysis, Proceedings of the Casualty Actuarial Society Forum, pp. 169-206zh_TW
dc.relation.reference (參考文獻) 19. Pentikainen, T., Pesonen, M., and Daykin, C. D., 1993, Practical Risk Theory for Actuaries, Chapman & Hallzh_TW
dc.relation.reference (參考文獻) 20. Raghunathan, S., 1996, A Structured Modeling Based Methodology to Design Decision Support System, Decision Support Systems, Volume 17, pp. 299-312zh_TW
dc.relation.reference (參考文獻) 21. Tsaih, R., Liu, Y. J., Liu, W. C., and Lien, Y. L., 2004, Credit Scoring System for Small Business Loans, Decision Support Systems, Forthcomingzh_TW
dc.relation.reference (參考文獻) 22. Tu, T. S., 1998, The Application of Cumulative Distribution Functions in the Stochastic Chain Ladder Model, Proceedings of the Casualty Actuarial Society Forum, pp. 389-413zh_TW
dc.relation.reference (參考文獻) 23. Turban, E., 1995, Decision Support System and Expert System, 4th Edition, Prentice Hallzh_TW
dc.relation.reference (參考文獻) 24. Yu, L. Y., Ji, X. D., and Wang, S. Y., 2003, Stochastic Programming Models in Financial Optimization: A Survey, Advanced Modeling and Optimization, Volume 5, pp. 1-26zh_TW