Risk Based Capital Allocation and Risk Adjusted Performance Management in Property/Liability-Insurance : a Risk Theoretical Framework
The paper discusses several central issues of a RAPM-approach: Virtual risk adjusted capital (VRAC) on the company level, return on risk adjusted capital (RORAC), risk based capital allocation to business segments, RAPM for business segments. RORAC-based premium principles are presented and discussed as well.
Year of publication: |
1997
|
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Authors: | Albrecht, Peter |
Institutions: | Universität <Mannheim> / Lehrstuhl für ABWL, Risikotheorie, Portfolio Management und Versicherungswirtschaft |
Published in: | |
Subject: | Versicherung | Rendite | Kapitalallokation | virtual risk adjusted capital |
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