Practical application of the risk-adjusted return on capital framework

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<title>Practical application of the risk-adjusted return on capital framework</title>
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<name type="personal" usage="primary" xmlns:xlink="http://www.w3.org/1999/xlink" xlink:href="MAPA20130006130">
<namePart>Ward, Lisa S.</namePart>
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<namePart>Lee, David H.</namePart>
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<dateIssued encoding="marc">2002</dateIssued>
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<abstract displayLabel="Summary">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 </abstract>
<note type="statement of responsibility">Lisa S. Ward and David H. Lee</note>
<subject authority="lcshac" xmlns:xlink="http://www.w3.org/1999/xlink" xlink:href="MAPA20130006109">
<topic>RAROC</topic>
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<subject authority="lcshac" xmlns:xlink="http://www.w3.org/1999/xlink" xlink:href="MAPA20130006116">
<topic>Rentabilidad ajustada al riesgo</topic>
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<subject authority="lcshac" xmlns:xlink="http://www.w3.org/1999/xlink" xlink:href="MAPA20080591182">
<topic>Gerencia de riesgos</topic>
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<topic>Empresas de seguros</topic>
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<topic>Rentabilidad bancaria</topic>
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<subject authority="lcshac" xmlns:xlink="http://www.w3.org/1999/xlink" xlink:href="MAPA20130006123">
<topic>Capital económico</topic>
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