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首页> 外文期刊>Journal of banking & finance >Economic capital and RAROC in a dynamic model
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Economic capital and RAROC in a dynamic model

机译：经济资本和Raroc在动态模型中

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We revisit the foundations of economic capital and RAROC calculations prevalent in the insurance industry by extending the canonical static setting to a dynamic model with different ways of raising capital. The dynamic results suggest two important modifications to the conventional approach to risk measurement and capital allocation. First, & ldquo;capital & rdquo; should be defined broadly to include the continuation value of the firm. Second, cash flow valuations must reflect risk adjustments to account for company effective risk aversion. We illustrate these results in a calibrated version of our model using data from a catastrophe reinsurer. We find that the dynamic modifications are practically significant & mdash;although static approximations with a properly calibrated company risk aversion are quite accurate.(c) 2021 Elsevier B.V. All rights reserved.We revisit the foundations of economic capital and RAROC calculations prevalent in the insurance industry by extending the canonical static setting to a dynamic model with different ways of raising capital. The dynamic results suggest two important modifications to the conventional approach to risk measurement and capital allocation. First, ?capital? should be defined broadly to include the continuation value of the firm. Second, cash flow valuations must reflect risk adjustments to account for company effective risk aversion. We illustrate these results in a calibrated version of our model using data from a catastrophe reinsurer. We find that the dynamic modifications are practically significant?although static approximations with a properly calibrated company risk aversion are quite accurate.
机译：我们通过以不同的筹集资金延伸到一种动态模型，重新审视经济资本和Raroc计算的普遍存在保险业的计算。动态结果表明了对风险测量和资本分配的传统方法的两个重要修改。第一，＆ldquo;资本＆rdquo;应广泛定义，包括公司的持续价值。其次，现金流量估值必须反映风险调整，以考虑公司有效的风险厌恶。我们使用来自灾难再润纳器的数据进行校准版本的校准版本。我们发现动态修改实际上是显着的和mdash;虽然具有适当校准的公司风险厌恶的静态近似是非常准确的。（c）2021 Elsevier BV保留所有权利。我们重新审视了保险中的经济资本和Raroc计算的基础。工业通过将规范静态设置扩展到具有筹集资金的不同方式的动态模型。动态结果表明了对风险测量和资本分配的传统方法的两个重要修改。首先，？资本？应广泛定义，包括公司的持续价值。其次，现金流量估值必须反映风险调整，以考虑公司有效的风险厌恶。我们使用来自灾难再润纳器的数据进行校准版本的校准版本。我们发现动态修改实际上是显着的？尽管具有适当校准的公司风险厌恶的静态近似是非常准确的。

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