Practical application of the risk-adjusted return on capital framework

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      <subfield code="a">Ward, Lisa S.</subfield>
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      <subfield code="a">Practical application of the risk-adjusted return on capital framework</subfield>
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      <subfield code="a">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 </subfield>
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