Related to the current discussion of value-at-risk-based capital allocation and performance management (RAPM) for manging bank capital, a risk theoretical RAPM-approach for property/liability-insurance companies is presented. The paper discuss 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.
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Paper provided by Sonderforschungsbereich 504, Universität Mannheim & Sonderforschungsbereich 504, University of Mannheim in its series Sonderforschungsbereich 504 Publications with number
97-18.
Length: 25 pages Date of creation: 01 Jun 1997 Date of revision: Handle: RePEc:xrs:sfbmaa:97-18
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