Centro de Documentacion de Fundación MAPFRE - Practical application of the risk-adjusted return on capital framework

Publication: [S.l. : s.n., 2002]Notes: Sumario: This paper applies a risk-adjusted return on capital (RAROC) framework to the financial analysis of the risk and performance of an insurance company. A case study is presented for a diversified insurer with both property & casualty and life insurance business segments. The approach first quantifies the probability distributions of the different types of risk the institution faces: non-catastrophe liability risk, catastrophe risk, life risk, asset-liability mismatch (ALM) risk, credit risk, market risk, and operating risk. These risk type distributions are then aggregated to create an integrated risk distribution for the institution Materia / lugar / evento: RAROC Rentabilidad ajustada al riesgo Gerencia de riesgos Empresas de seguros Rentabilidad bancaria Capital económico Otros autores: Lee, David H.
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