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Risk based capital allocation and risk adjusted performance management in property/liability-insurance: A risk theoretical framework

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  • Albrecht, Peter

    (Sonderforschungsbereich 504)

Abstract

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.

Suggested Citation

  • Albrecht, Peter, 1997. "Risk based capital allocation and risk adjusted performance management in property/liability-insurance: A risk theoretical framework," Sonderforschungsbereich 504 Publications 97-18, Sonderforschungsbereich 504, Universität Mannheim;Sonderforschungsbereich 504, University of Mannheim.
    • Handle: RePEc:xrs:sfbmaa:97-18
    Note: Financial support from the Deutsche Forschungsgemeinschaft, SFB 504, at the University of Mannheim, is gratefully acknowledged.
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    Cited by:

    1. Schradin, Heinrich R., 2001. "Risikoadäquate Kapitalallokation im Versicherungskonzern," Mitteilungen 1/2001, University of Cologne, Institute of Insurance Science.

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