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"Capital Tranching: A RAROC Approach to Assessing Reinsurance Cost Effectiveness".

Authors :
Mango, Donald
Major, John
Adler, Avraham
Bunick, Claude
Source :
Variance: Advancing the Science of Risk; 2014, Vol. 7 Issue 2, p101-109, 9p
Publication Year :
2014

Abstract

The authors discuss the paper "Capital Tranching: A RAROC Approach to Assessing Reinsurance Cost Effectiveness." They emphasize that the rule ensures that the reduction in the capital's rate of return is more than offset by the value of the risk transferred through the reinsurance. They mention the issues associated with the risk-adjusted return on capital (RAROC) approach to assess reinsurance. They also note the absence of the means to calculate reinsurance-capital tradeoff in the paper.

Details

Language :
English
ISSN :
19406444
Volume :
7
Issue :
2
Database :
Supplemental Index
Journal :
Variance: Advancing the Science of Risk
Publication Type :
Academic Journal
Accession number :
99226234