IMPROVEMENT OF OPERATIONAL RISK MEASUREMENT UNDER THE SOLVENCY II FRAMEWORK

Risk Governance & Control: Financial Markets & Institutions

关键词: Modelling;    Operational Risk;    Skew t-copula;    the Solvency II Framework;   

DOI  :  10.22495/rgcv5i2c1art7

学科分类：社会科学、人文和艺术（综合）

来源: Virtus Interpress

【 摘 要 】

Operational risk is one of the core risks of every insurance company in accordance to the solvency capital requirement under the Solvency II regime. The target of the research is to investigate the improvement possibilities of the operational risk measurement under Solvency II regime. The authors have prepared the algorithm of the operational risk measurement under Solvency II framework that helps improve the understanding of the operational risk capital requirements. Moreover, the authors have prepared the case study about a practical usage of the suggested algorithm through the example of one non-life insurance company. The authors use, in order to perform the research, such corresponding methods as theoretical and methodological analysis of scientific literature, analytical, statistical and mathematical methods.

【 授权许可】

CC BY-NC