Quantification of Operational Risk of Health Insurance Companies in Spain Using External Data

摘要：

The new solvency requirements (Solvency Ⅱ) intend to generate a system in which the improvement in operational risk management is rewarded for insurers. Based on an external pool of operational risk losses, is developed an actuarial financial analysis to estimate the operational risk capital reserves for the solvency of health insurance companies. An external database of operational risk losses as well as their statistical treatment and the identification of their severity and frequency distributions are presented. An Operational Value at Risk (OpVaR) analysis of the data provides a more in depth-study.

关键词： risk management operational risk solvency ii opvar insured losses

作者: MARTINEZ TORRE-ENCISO,Isabel HERNANDEZ BARROS, Rafael

作者单位: Finance and Marketing Management Department, Universidad Autónoma de Madrid,Spain Financial Economic and AcountingⅢ Department,Universidad Complutense de Madrid, Spain

会议类型: 国际会议

会议名称: 2010 International Conference on Risk and Reliability Management(2010年风险与可靠性管理国际会议RRM 2010)

会议地点: 北京

会议语种:英文

页码: 350-358

在线出版日期: 2010-10-23（万方平台首次上网日期，不代表论文的发表时间）