RAROC Analysis Of China's Property Insurance Company

In recent decades, the rapid development of international financial markets, world economic trends in globalization and integration of risk management has brought new challenges.2008 outbreak of the subprime crisis also reminds us of the importance of risk management in the financial industry. Insurance companies guarantee for other institutions, while deal with the risk of their own business, so it had always been the focus of research in the field of risk management.Relative to life insurance companies, Property insurance companies demanding higher liquidity, so face more severe challenges. There is a huge gap between property companies' scale, since 2004, Four companies, the average annual premium income of over ten billion, are:PICC, CPIC, Ping An Insurance and China united property insurance company. The four companies account for all of our property insurance premium income more than 70% of the total. Therefore, to study the level of these four companies risk management is necessary.In this paper, in-depth study the application of the economic capital and RAROC in our property insurance companies. First, by theoretical analysis, comparing theoretical advantages and disadvantages of various risk measurement function, select the VaR and TailVaR were analyzed, both based on detailed calculations, the configuration of economic capital and RAROC calculation method. Then use RAROC to analysis of the above four property insurance companies. Based on the perspective of the portfolio, the paper gave a method of four classifications. Then by RAROC make the evaluation and ranking for the four property companies. Finally, by perspective of RAROC to make a brief analysis of the minimum capital requirement, which is defined in "insurance company solvency regulations", Found:Under the paper's assumption, for the healthy development of enterprise, the economic capital close to the minimum capital requirements, so the paper provides a convergence possible between RAROC technology and real indicators of accounting regulation.