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摘要翻译：
根据《巴塞尔二号准则》，操作风险（OpRisk）高级计量方法允许就因保险缓解而导致的资本减少拨备高达20%。本文在一系列可能的极端损失模型和多期、多风险环境下的保单情景下，研究了不同保单在资本减少的情况下的行为。考虑了一种用于模拟年损失过程的损失分布方法(LDA)，该方法涉及年损失的齐次复合泊松过程，具有由α稳定严重度组成的重尾严重度模型。目前对这类模型的分析还很少，相信保险模型在降低风险和减少资本方面将发挥更大的作用。利息的第一个问题是，在不同的保险单情况下，银行或金融机构购买重尾OpRisk损失保险何时是公平的？第二个问题与偿付能力II有关，涉及在不同保单下，保险公司在这类操作风险情况下的资本将是多少。此外，我们考虑保险公司的观点，公平保费作为一个百分比高于预期每年索赔的每一个保险单。其目的是解决与《巴塞尔协议II》下的风险值降低、偿付能力II下的SCR和不同极端损失情况下OpRisk中的公平保险费有关的问题。在此过程中，我们给出了LDA结构中损失过程和索赔过程分布的闭式解，以及Basel II和偿付能力II下的预期缺口、SCR和MCR的闭式解析解。我们还提供了包括保险缓解在内的多种风险的年度损失分布的封闭形式解析解。
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英文标题：
《Impact of Insurance for Operational Risk: Is it worthwhile to insure or
be insured for severe losses?》
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作者：
Gareth W. Peters, Aaron D. Byrnes and Pavel V. Shevchenko
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最新提交年份：
2010
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分类信息：
一级分类：Quantitative Finance 数量金融学
二级分类：Risk Management 风险管理
分类描述：Measurement and management of financial risks in trading, banking, insurance, corporate and other applications
衡量和管理贸易、银行、保险、企业和其他应用中的金融风险
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一级分类：Quantitative Finance 数量金融学
二级分类：Statistical Finance 统计金融
分类描述：Statistical, econometric and econophysics analyses with applications to financial markets and economic data
统计、计量经济学和经济物理学分析及其在金融市场和经济数据中的应用
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一级分类：Statistics 统计学
二级分类：Applications 应用程序
分类描述：Biology, Education, Epidemiology, Engineering, Environmental Sciences, Medical, Physical Sciences, Quality Control, Social Sciences
生物学，教育学，流行病学，工程学，环境科学，医学，物理科学，质量控制，社会科学
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一级分类：Statistics 统计学
二级分类：Computation 计算
分类描述：Algorithms, Simulation, Visualization
算法、模拟、可视化
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一级分类：Statistics 统计学
二级分类：Methodology 方法论
分类描述：Design, Surveys, Model Selection, Multiple Testing, Multivariate Methods, Signal and Image Processing, Time Series, Smoothing, Spatial Statistics, Survival Analysis, Nonparametric and Semiparametric Methods
设计，调查，模型选择，多重检验，多元方法，信号和图像处理，时间序列，平滑，空间统计，生存分析，非参数和半参数方法
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英文摘要：
Under the Basel II standards, the Operational Risk (OpRisk) advanced measurement approach allows a provision for reduction of capital as a result of insurance mitigation of up to 20%. This paper studies the behaviour of different insurance policies in the context of capital reduction for a range of possible extreme loss models and insurance policy scenarios in a multi-period, multiple risk settings. A Loss Distributional Approach (LDA) for modelling of the annual loss process, involving homogeneous compound Poisson processes for the annual losses, with heavy tailed severity models comprised of alpha-stable severities is considered. There has been little analysis of such models to date and it is believed, insurance models will play more of a role in OpRisk mitigation and capital reduction in future. The first question of interest is when would it be equitable for a bank or financial institution to purchase insurance for heavy tailed OpRisk losses under different insurance policy scenarios? The second question then pertains to Solvency II and addresses what the insurers capital would be for such operational risk scenarios under different policy offerings. In addition we consider the insurers perspective with respect to fair premium as a percentage above the expected annual claim for each insurance policy. The intention being to address questions related to VaR reduction under Basel II, SCR under Solvency II and fair insurance premiums in OpRisk for different extreme loss scenarios. In the process we provide closed form solutions for the distribution of loss process and claims process in an LDA structure as well as closed form analytic solutions for the Expected Shortfall, SCR and MCR under Basel II and Solvency II. We also provide closed form analytic solutions for the annual loss distribution of multiple risks including insurance mitigation.
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PDF链接：
https://arxiv.org/pdf/1010.4406
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