We present a model for P/L insurance companies based on Asset-Liability-Management (ALM). We show analytically for multivariate normal distributed assets and claims that an overall minimum of the required risk capital can be obtained by refining the firm's asset allocation when including a ruin...

We show that the usage of risk adjusted performance measures (RAPM), such as the RORAC or the RARORAC, as decision criterion for real investment decisions might favor projects that do not maximize shareholder value for project selection of mutually exclusive projects. We find that RAPM based on...