Measuring risk-adjusted performance for insurance: Methodological insights and applications

Any financial performance assessment methodology is regarded as meaningful and useful (for management purposes) to the extent that it reflects both the achieved business results and the risk faced in order to achieve these results. This is exactly what Risk-Adjusted Performance Measures (RAPMs) are supposed to do: provide a measure of business’ performance that would appropriately reflect the level of risk taken. The scope of this work is to provide a precise, insightful and up-to-date definition of a wide variety of RAPMs relevant for insurance business, highlighting this as a key technical area of development for both the insurance industry and the actuarial science academic research. A clear distinction is made between disclosed measures (whose methodology constitute publicly available information in the market) and internal measures used for strategic and management purposes (which is the key area of research in the current professional and scientific debate).

Dopo aver inquadrato la motivazione dell’intervento, la letteratura scientifica di riferimento e gli ambiti di applicazione per le misure di performance aggiustate per il rischio (RAPMs) nella prima sezione, nella seconda vengono discussi alcuni esempi di RAPMs, definendone di volta in volta la misura di profitto, di capitale e il risk adjustment applicato. Nella terza sezione, viene presentato un modello semplificato di Economic Capital utilizzato per calcolare varie RAPMs per un gruppo fittizio composto da tre business units e influenzato da sette risk factors. Attraverso procedure iterative di utilizzo del modello, vengono discusse le strategie ottimali in termini di strategia d’investimento, diversification benefit, strategia ALM e altre tecniche di mitigazione del rischio.