关键词: 风险调整资本, 风险调整资本收益率, 在险价值, 再保险函数

Abstract: The return on risk-adjusted capital(RORAC)is an important index of the risk-based profitability measurement, and is a valid tool to measure risk adjusted financial performance, which has been widely used in the banking industry. In recent years, in the reinsurance business for insurance companies, this index is used more and more to measure the profitability and risk. In this paper, we reconsider the return on risk-adjusted capital with reinsurance control, and we prove that, for the general reinsurance retention function, the layered reinsurance strategy is the optimal form. Furthermore, we get the optimal reinsurance layered level and the optimal return on risk-adjusted capital. Finally, we give an example and some numerical analysis.

Key words: risk-adjusted capital, return on risk-adjusted capital rate, value at risk, optimal reinsurance strategy