Open AccessScenario Analysis Approach for Operational Risk in Insurance Companies
Author(s) -
Michal Vyskočil
Publication year - 2020
Publication title -
acta všfs/acta všfs
Language(s) - English
Resource type - Journals
eISSN - 1802-7946
pISSN - 1802-792X
DOI - 10.37355/acta-2020/2-05
Subject(s) - solvency , operational risk , sensitivity (control systems) , poisson distribution , actuarial science , capital (architecture) , interval (graph theory) , capital adequacy ratio , capital requirement , monte carlo method , econometrics , basel ii , range (aeronautics) , economics , risk management , statistics , mathematics , engineering , finance , geography , electronic engineering , profit (economics) , archaeology , combinatorics , aerospace engineering , incentive , market liquidity , microeconomics
The article deals with the possibility of calculating the required capital in insurancecompanies allocated to operational risk under Solvency II regulation and the aim of thisarticle is to come up with model that can be use in insurance companies for calculatingoperational risk required capital. In the article were discussed and compared the frequencyand severity distributions where was chosen Poisson for frequency and Lognormal forseverity. For the calculation, was used only the real scenario and data from small CEEinsurance company to see the eect of the three main parameters (typical impact, Worst caseimpact and frequency) needed for building the model for calculation 99,5% VaR by usingMonte Carlo simulation. Article comes up with parameter sensitivity and/or ratio sensitivityon calculating capital. From the database arose two conclusions related to sensitivity wherethe first is that the impact of frequency is much higher in the interval (0;1) than above theinterval 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 increasingfaster that the ration increase demonstrated on the scenario calculation.