Scenario Analysis Approach for Operational Risk in Insurance Companies
The article deals with the possibility of calculating the required capital in insurance companies allocated to operational risk under Solvency II regulation and the aim of this article is to come up with model that can be use in insurance companies for calculating operational risk required capita...
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| Format: | Article |
| Language: | English |
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University of Finance and Administration
2020-11-01
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| Series: | ACTA VŠFS |
| Subjects: | |
| Online Access: | https://www.vsfs.cz/periodika/acta-2020-2-05.pdf |
| _version_ | 1818261509414846464 |
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| author | Vyskočil, Michal |
| author_facet | Vyskočil, Michal |
| author_sort | Vyskočil, Michal |
| collection | DOAJ |
| description | The article deals with the possibility of calculating the required capital in insurance
companies allocated to operational risk under Solvency II regulation and the aim of this
article is to come up with model that can be use in insurance companies for calculating
operational risk required capital. In the article were discussed and compared the frequency
and severity distributions where was chosen Poisson for frequency and Lognormal for
severity. For the calculation, was used only the real scenario and data from small CEE
insurance company to see the effect of the three main parameters (typical impact, Worst case
impact and frequency) needed for building the model for calculation 99,5% VaR by using
Monte Carlo simulation. Article comes up with parameter sensitivity and/or ratio sensitivity
on calculating capital. From the database arose two conclusions related to sensitivity where
the first is that the impact of frequency is much higher in the interval (0;1) than above the
interval to calculated capital and second conclusion is Worst case and Typical Case ratio,
where we saw that if the ratio is around 150 or higher the calculated capital is increasing
faster that the ration increase demonstrated on the scenario calculation. |
| first_indexed | 2024-12-12T18:48:22Z |
| format | Article |
| id | doaj.art-41ccf79a20ae41c196f3c0d2a0f84fec |
| institution | Directory Open Access Journal |
| issn | 1802-792X 1802-7946 |
| language | English |
| last_indexed | 2024-12-12T18:48:22Z |
| publishDate | 2020-11-01 |
| publisher | University of Finance and Administration |
| record_format | Article |
| series | ACTA VŠFS |
| spelling | doaj.art-41ccf79a20ae41c196f3c0d2a0f84fec2022-12-22T00:15:27ZengUniversity of Finance and AdministrationACTA VŠFS1802-792X1802-79462020-11-0114215316510.37355/acta-2020/2-05Scenario Analysis Approach for Operational Risk in Insurance CompaniesVyskočil, Michal0University of Economics in Prague, Czech RepublicThe article deals with the possibility of calculating the required capital in insurance companies allocated to operational risk under Solvency II regulation and the aim of this article is to come up with model that can be use in insurance companies for calculating operational risk required capital. In the article were discussed and compared the frequency and severity distributions where was chosen Poisson for frequency and Lognormal for severity. For the calculation, was used only the real scenario and data from small CEE insurance company to see the effect of the three main parameters (typical impact, Worst case impact and frequency) needed for building the model for calculation 99,5% VaR by using Monte Carlo simulation. Article comes up with parameter sensitivity and/or ratio sensitivity on calculating capital. From the database arose two conclusions related to sensitivity where the first is that the impact of frequency is much higher in the interval (0;1) than above the interval to calculated capital and second conclusion is Worst case and Typical Case ratio, where we saw that if the ratio is around 150 or higher the calculated capital is increasing faster that the ration increase demonstrated on the scenario calculation.https://www.vsfs.cz/periodika/acta-2020-2-05.pdfoperational riskinsurancescenario analysisdistributionsensitivity |
| spellingShingle | Vyskočil, Michal Scenario Analysis Approach for Operational Risk in Insurance Companies ACTA VŠFS operational risk insurance scenario analysis distribution sensitivity |
| title | Scenario Analysis Approach for Operational Risk in Insurance Companies |
| title_full | Scenario Analysis Approach for Operational Risk in Insurance Companies |
| title_fullStr | Scenario Analysis Approach for Operational Risk in Insurance Companies |
| title_full_unstemmed | Scenario Analysis Approach for Operational Risk in Insurance Companies |
| title_short | Scenario Analysis Approach for Operational Risk in Insurance Companies |
| title_sort | scenario analysis approach for operational risk in insurance companies |
| topic | operational risk insurance scenario analysis distribution sensitivity |
| url | https://www.vsfs.cz/periodika/acta-2020-2-05.pdf |
| work_keys_str_mv | AT vyskocilmichal scenarioanalysisapproachforoperationalriskininsurancecompanies |